<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q/A
AMENDMENT NO. 1
[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
FOR THE QUARTERLY PERIOD ENDED: SEPTEMBER 30, 2000
COMMISSION FILE NUMBER: 0-23950
THE FULCRUM FUND LIMITED PARTNERSHIP
(Exact name of registrant as specified in its charter)
CONNECTICUT 06-1456461
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
Two American Lane, P.O. Box 5150, Greenwich, Connecticut 06831-8150
(Address of principal executive offices, including zip code)
Registrant's telephone number, including area code: (203) 861-1000
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes X No
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<PAGE> 2
EXPLANATORY NOTE
The Company is amending its Quarterly Report on Form 10-Q for the quarter ended
September 30, 2000 (the "10-Q") to correct previously reported information in
Statements of Changes in Partners' Capital (Net Asset Value) for the Nine
Months Ended September 30, 2000 and 1999.
THE FULCRUM FUND LIMITED PARTNERSHIP
QUARTER ENDED SEPTEMBER 30, 2000
INDEX
<TABLE>
<CAPTION>
PAGE
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<S> <C>
PART 1 - FINANCIAL INFORMATION
Item 1 Financial Statements
Statements of Financial Condition as of September 30, 2000 (unaudited)
and December 31, 1999 (audited) 3
Schedule of Securities as of September 30, 2000 (unaudited) 4
Statements of Operations for the Three Months and Nine Months Ended
September 30, 2000 (unaudited) and 1999 (unaudited) 5
Statements of Changes in Partners Capital (Net Asset Value) for
the Nine Months Ended September 30, 2000 (unaudited) and 1999 (unaudited) 6
Notes to Financial Statements (unaudited) 7-10
SIGNATURES
</TABLE>
<PAGE> 3
THE FULCRUM FUND LIMITED PARTNERSHIP
(Formerly The Dennis Fund Limited Partnership)
STATEMENTS OF FINANCIAL CONDITION
September 30, 2000 (Unaudited) and December 31, 1999 (Audited)
-----------
<TABLE>
<CAPTION>
September 30, December 31,
2000 1999
----------- -----------
<S> <C> <C>
ASSETS
Equity in broker trading accounts
Cash $20,684,681 $ 4,415,465
Unrealized gain on open contracts 227,976 0
----------- -----------
Deposits with broker 20,912,657 4,415,465
Cash and cash equivalents 1,671,236 30,682,976
Fixed income securities (cost, including
accrued interest, - $7,440,192 and $13,774,520) 7,484,652 13,616,310
Subscriptions receivable 63,921 127,813
----------- -----------
Total assets $30,132,466 $48,842,564
=========== ===========
LIABILITIES
Accounts payable $ 5,741 $ 72,870
Commissions and other trading fees
on open contracts 2,799 0
General Partner offering fee 83,501 136,856
Advisor management fee 44,688 71,329
Redemptions payable 2,433,737 828,716
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Total liabilities 2,570,466 1,109,771
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PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner:
A Units - 107.1387 units outstanding at
September 30, 2000 and December 31, 1999 112,569 172,443
B Units - 278.1820 and 217.7298 units outstanding
at September 30, 2000 and December 31, 1999 279,255 334,048
Limited Partners:
A Units - 4,323.5708 and 6,263.5875 units outstanding
at September 30, 2000 and December 31, 1999 4,542,706 10,081,458
B Units - 22,540.5473 and 24,210.7330 units outstanding
at September 30, 2000 and December 31, 1999 22,627,470 37,144,844
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Total partners' capital
(Net Asset Value) 27,562,000 47,732,793
----------- -----------
$30,132,466 $48,842,564
=========== ===========
</TABLE>
See accompanying notes.
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THE FULCRUM FUND LIMITED PARTNERSHIP
(Formerly The Dennis Fund Limited Partnership)
SCHEDULE OF SECURITIES
September 30, 2000
(Unaudited)
FIXED INCOME SECURITIES - 27.2% *
<TABLE>
<CAPTION>
Face Value Description Value
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<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS - 13.5% *
1,050,000 U.S. Treasury Notes, 5.75%, 8/15/03 $1,052,104
600,000 U.S. Treasury Notes, 6.625%, 5/31/02 618,387
2,000,000 U.S. Treasury Notes, 5.875%, 11/30/01 2,031,008
----------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST, INCLUDING ACCRUED INTEREST, - $3,692,648) 3,701,499
----------
FEDERAL AGENCY OBLIGATIONS - 13.7% *
350,000 Federal Home Loan Bank Agency Bond, 4.875%, 1/22/02 346,337
1,200,000 Federal Home Loan Mortgage Corporation Agency
Bond, 5.75%, 7/15/03 1,191,850
2,000,000 Federal Home Loan Mortgage Corporation Agency
Bond, 7.00%, 2/15/03 2,039,769
200,000 Federal National Mortgage Association Agency Bond,
6.03%, 10/23/00 205,197
----------
TOTAL FEDERAL AGENCY OBLIGATIONS
(COST, INCLUDING ACCRUED INTEREST, - $3,747,544) 3,783,153
----------
TOTAL FIXED INCOME SECURITIES
(COST, INCLUDING ACCRUED INTEREST, - $7,440,192) $7,484,652
==========
</TABLE>
* Percent of September 30, 2000 Net Asset Value is shown for each category.
See accompanying notes.
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<PAGE> 5
THE FULCRUM FUND LIMITED PARTNERSHIP
(Formerly The Dennis Fund Limited Partnership)
STATEMENTS OF OPERATIONS
For the Three Months Ended September 30, 2000 and 1999 and
For the Nine Months Ended September 30, 2000 and 1999
(Unaudited)
-----------
<TABLE>
<CAPTION>
Three Months Nine Months
Ended Ended
September 30, September 30,
2000 1999 2000 1999
---- ---- ---- ----
<S> <C> <C> <C> <C>
INCOME
Commodity trading gains (losses)
Realized $ (1,353,259) $ (5,928,597) $(13,102,449) $ 5,486,771
Change in unrealized 793,270 (2,965,529) 227,976 (2,195,554)
------------ ------------ ------------ ------------
Gain (loss) from commodity trading (559,989) (8,894,126) (12,874,473) 3,291,217
------------ ------------ ------------ ------------
Fixed income securities gains (losses)
Realized (50,395) (28,338) (150,040) (189,129)
Change in unrealized 114,421 170 202,670 (73,406)
------------ ------------ ------------ ------------
Gain (loss) from fixed income securities 64,026 (28,168) 52,630 (262,535)
------------ ------------ ------------ ------------
Interest income 459,924 601,203 1,668,044 1,411,493
------------ ------------ ------------ ------------
Total income (loss) (36,039) (8,321,091) (11,153,799) 4,440,175
------------ ------------ ------------ ------------
EXPENSES
Brokerage commissions 1,521,859 592,891 4,162,513 1,599,078
General Partner offering fee 258,415 422,897 1,037,129 1,052,377
Advisor management fee 151,564 241,361 596,964 642,195
Advisor incentive fee 0 0 0 2,103,117
Operating expenses 60,556 75,243 196,342 119,387
------------ ------------ ------------ ------------
Total expenses 1,992,394 1,332,392 5,992,948 5,516,154
------------ ------------ ------------ ------------
NET (LOSS) $ (2,028,433) $ (9,653,483) $(17,146,747) $ (1,075,979)
============ ============ ============ ============
A UNITS
NET INCOME (LOSS) PER A UNIT
(based on weighted average number of
A Units outstanding during the period) $ (68.59) $ (357.57) $ (536.71) $ 40.65
============ ============ ============ ============
INCREASE (DECREASE) IN NET
ASSET VALUE PER A UNIT $ (76.87) $ (358.77) $ (558.85) $ 31.38
============ ============ ============ ============
B UNITS
NET (LOSS) PER B UNIT
(based on weighted average number of
B Units outstanding during the period) $ (66.56) $ (346.45) $ (553.22) $ (78.56)
============ ============ ============ ============
INCREASE (DECREASE) IN NET
ASSET VALUE PER B UNIT $ (72.54) $ (343.72) $ (530.37) $ 13.21
============ ============ ============ ============
</TABLE>
See accompanying notes.
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<PAGE> 6
THE FULCRUM FUND LIMITED PARTNERSHIP
(Formerly The Dennis Fund Limited Partnership)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
Partners' Capital
-------------------------------------------------------------------------------
A Units B Units
-------------------------------------- ---------------------------------------
General Limited General Limited
Units Partner Partners Units Partner Partners Total
----- ------- -------- ----- ------- -------- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Nine Months Ended
September 30, 2000
Balances at December 31, 1999 6,370.7262 $ 172,443 $ 10,081,458 24,428.4628 $ 334,048 $ 37,144,844 $ 47,732,793
Net (loss) for the nine months
ended September 30, 2000 (59,874) (3,001,491) (129,793) (13,955,589) (17,146,747)
Additions 0.0000 0 0 5,329.1474 75,000 7,980,341 8,055,341
Redemptions (1,940.0167) 0 (2,537,261) (6,938.8809) 0 (8,542,126) (11,079,387)
----------- ------------ ------------ ------------ ------------ ------------ ------------
Balances at September
30, 2000 4,430.7095 $ 112,569 $ 4,542,706 22,818.7293 $ 279,255 $ 22,627,470 $ 27,562,000
============ ============ ============ ============ ============ ============ ============
Nine Months Ended September
30, 1999
Balances at December 31, 1998 7,030.3295 $ 195,979 $ 12,663,939 12,891.7732 $ 232,161 $ 22,467,100 $ 35,559,179
Net income (loss) for the nine
months ended September 30, 1999 3,362 274,871 670 (1,354,882) (1,075,979)
Additions 0.0000 0 0 12,388.3767 69,000 23,542,039 23,611,039
Redemptions (483.3209) 0 (956,882) (788.4436) 0 (1,508,641) (2,465,523)
------------ ------------ ------------ ------------ ------------ ------------ ------------
Balances at September 30, 1999 6,547.0086 $ 199,341 $ 11,981,928 24,491.7063 $ 301,831 $ 43,145,616 $ 55,628,716
============ ============ ============ ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
A Unit B Unit
------------------------------------------------------- ------------------------------------------------------
Net Asset Value Per Unit Net Asset Value Per Unit
------------------------------------------------------- ------------------------------------------------------
September 30, December 31, September 30, December 31, September 30, December 31, September 30, December 31,
2000 1999 1999 1998 2000 1999 1999 1998
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$1,050.68 $1,609.53 $1,860.59 $1,829.21 $1,003.86 $1,534.23 $1,773.97 $1,760.76
========= ========= ========= ========= ========= ========= ========= =========
</TABLE>
See accompanying notes.
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<PAGE> 7
THE FULCRUM FUND LIMITED PARTNERSHIP
(Formerly The Dennis Fund Limited Partnership)
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
-----------
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Partnership
The Fulcrum Fund Limited Partnership, formerly The Dennis Fund
Limited Partnership, (the Partnership) is a Connecticut
limited partnership which operates as a commodity pool. The
Partnership engages in the speculative trading of futures
contracts and options on futures contracts. It is subject to
the regulations of the Commodity Futures Trading Commission,
an agency of the United States (U.S.) government which
regulates most aspects of the commodity futures industry;
rules of the National Futures Association, an industry
self-regulatory organization; and the requirements of
commodity exchanges and Futures Commission Merchants (brokers)
through which the Partnership trades.
During 1999, the Partnership became subject to the
informational requirements of the Securities Exchange Act of
1934. Accordingly, the Partnership is subject to the
regulations of the Securities and Exchange Commission.
Investments made prior to April 30, 1997 are referred to as "A
Units" and investments made on or after April 30, 1997 are
referred to as "B Units." The initial net asset value per B
Unit was the net asset value per A Unit at April 30, 1997. The
only difference between A Units and B Units are the advisor
management and incentive fee rates as further described in
Note 3.
B. Method of Reporting
The Partnership's financial statements are presented in
accordance with generally accepted accounting principles,
which require the use of certain estimates made by the
Partnership's management.
C. Commodities
Gains or losses are realized when contracts are liquidated.
Net unrealized gains or losses on open contracts (the
difference between contract purchase price and quoted market
price) are reflected in the statement of financial condition.
Any change in net unrealized gain or loss from the preceding
period is reported in the statement of operations. Brokerage
commissions include other trading fees and are charged to
expense when contracts are opened.
D. Cash and Cash Equivalents
Cash and cash equivalents includes cash and all highly liquid
investments, including money market mutual funds and other
investments with a maturity of three months or less from the
date of purchase.
E. Fixed Income Securities
Fixed income securities are reported at market value plus
accrued interest. Fixed income securities transactions are
accounted for on the trade date. Interest income is recorded
on the accrual basis.
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<PAGE> 8
THE FULCRUM FUND LIMITED PARTNERSHIP
(Formerly The Dennis Fund Limited Partnership)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
-----------
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
F. Income Taxes
The Partnership prepares calendar year U.S. and state
information tax returns and reports to the partners their
allocable shares of the Partnership's income, expenses and
trading gains or losses.
G. Foreign Currency Transactions
The Partnership's functional currency is the U.S. dollar;
however, it transacts business in currencies other than the
U.S. dollar. Assets and liabilities denominated in currencies
other than the U.S. dollar are translated into U.S. dollars at
the rates in effect at the date of the statement of financial
condition. Income and expense items denominated in currencies
other than the U.S. dollar are translated into U.S. dollars at
the rates in effect during the period. Gains and losses
resulting from the translation to U.S. dollars are reported in
income currently.
Note 2. GENERAL PARTNER
The General Partner of the Partnership is Kenmar Advisory Corp.,
which conducts and manages the business of the Partnership. The
Limited Partnership Agreement requires the General Partner to
maintain a capital account of no less than the lesser of 1% of the
aggregate capital accounts of all partners or $500,000.
For managing the continuing offering of units, the General Partner
receives a monthly offering fee equal to 0.25% (3% annually) of that
month's beginning Net Asset Value (as defined in the Limited
Partnership Agreement) of the Partnership. The General Partner
rebates to One Million Dollar Investors (as defined in the
Confidential Private Placement Memorandum and Disclosure Document)
who invested in the Partnership prior to August 1, 2000, a monthly
amount equal to two-thirds of the offering fee applicable to such One
Million Dollar Investors. Additionally, effective August 1, 2000, the
General Partner rebates to Three Million Dollar Investors (as
defined) and Five Million Dollar Investors (as defined) a monthly
amount equal to one-third and two-thirds, respectively, of the
offering fee applicable to such Three Million Dollar Investors and
Five Million Dollar Investors. All rebates to One Million Dollar
Investors, Three Million Dollar Investors and Five Million Dollar
Investors are made by issuing additional B Units.
A portion of the brokerage commissions paid by the Partnership to the
broker is, in turn, paid by the broker to the General Partner.
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<PAGE> 9
THE FULCRUM FUND LIMITED PARTNERSHIP
(Formerly The Dennis Fund Limited Partnership)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
-----------
Note 3. COMMODITY TRADING ADVISOR
The Partnership has an advisory agreement with Dennis Trading Group,
Inc. (the commodity trading advisor) pursuant to which the A Units
pay a monthly management fee of 1/6 of 1% (2% annually) of the
month-end Net Asset Value of the subaccount (as defined in the
advisory agreement) and a quarterly incentive fee equal to 25% of the
Net New Trading Profits (as defined). The commodity trading advisor
and General Partner each receive one-half of the management and
incentive fees applicable to A Units. Pursuant to the advisory
agreement, the B Units pay a monthly management fee of 1/12 of 1.75%
(1.75% annually) of the month-end Net Asset Value of the subaccount
(as defined) and a quarterly incentive fee equal to 27.5% of the Net
New Trading Profits (as defined). The commodity trading advisor
receives 3/7 of the management fee and 7/11 of the incentive fee
applicable to B Units and the General Partner receives 4/7 of the
management fee and 4/11 of the incentive fee applicable to B Units.
Note 4. DEPOSITS WITH BROKER
The Partnership deposits cash with ED & F Man Inc. to act as broker
subject to Commodity Futures Trading Commission regulations and
various exchange and broker requirements. Margin requirements are
satisfied by the deposit of cash with such broker. The Partnership
earns interest income on its cash deposited with the broker.
Note 5. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Partnership are made by subscription agreement,
subject to acceptance by the General Partner. The subscription price
is equal to the Net Asset Value of the units purchased plus a 5%
selling commission, unless such selling commission is waived in whole
or in part by the General Partner. Additions to partners' capital are
shown net of such selling commissions which amounted to $100,493 and
$253,334 during the nine months ended September 30, 2000 and 1999,
respectively.
The Partnership is not required to make distributions, but may do so
at the sole discretion of the General Partner. A Limited Partner may
request and receive redemption of units owned, subject to
restrictions in the Limited Partnership Agreement.
Note 6. TRADING ACTIVITIES AND RELATED RISKS
The Partnership engages in the speculative trading of U.S. and
foreign futures contracts and options on U.S. and foreign futures
contracts (collectively, "derivatives"). The Partnership is exposed
to both market risk, the risk arising from changes in the market
value of the contracts, and credit risk, the risk of failure by
another party to perform according to the terms of a contract.
Purchase and sale of futures and options on futures contracts
requires margin deposits with the broker. Additional deposits may be
necessary for any loss on contract value. The Commodity Exchange Act
requires a broker to segregate all customer transactions and assets
from such broker's proprietary activities. A customer's cash and
other property (for example, U.S. Treasury bills) deposited with a
broker are considered commingled with all other customer funds
subject to the broker's segregation requirements. In the event of a
broker's insolvency, recovery may be limited to a pro rata share of
segregated funds available. It is possible that the recovered amount
could be less than total cash and other property deposited.
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<PAGE> 10
THE FULCRUM FUND LIMITED PARTNERSHIP
(Formerly The Dennis Fund Limited Partnership)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
-----------
Note 6. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
The Partnership has a substantial portion of its assets on deposit
with brokers and dealers in securities and other financial
institutions in connection with its cash management activities. In
the event of a financial institution's insolvency, recovery of
Partnership assets on deposit may be limited to account insurance or
other protection afforded such deposits.
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Partnership is exposed to a market risk
equal to the value of futures contracts purchased and unlimited
liability on such contracts sold short. As both a buyer and seller of
options, the Partnership pays or receives a premium at the outset and
then bears the risk of unfavorable changes in the price of the
contract underlying the option. Written options expose the
Partnership to potentially unlimited liability, and purchased options
expose the Partnership to a risk of loss limited to the premiums
paid.
The General Partner has established procedures to actively monitor
market risk and minimize credit risk. The Limited Partners bear the
risk of loss only to the extent of the market value of their
respective investments and, in certain specific circumstances,
distributions and redemptions received.
Note 7. SUBSEQUENT EVENTS
Effective November 1, 2000, Dennis Trading Group, Inc. was replaced
as the commodity trading advisor of the Partnership with Beacon
Management Corporation (USA) (Beacon). In addition, the Partnership
hired Stonebrook Structured Products LLC's ("Stonebrook") Volatility
Hedge Program, an overlay program designed to hedge the positions
of traditional trend-following programs during periods identified by
Stonebrook's systems as "high-risk". The Partnership has an advisory
agreement with Beacon pursuant to which the Partnership will pay a
monthly management fee of 1/12 of 2% (2% annually) of the month-end
Net Asset Value of the subaccount (as defined in the advisory
agreement) and a quarterly incentive fee equal to 20% of Net New
Trading Profits (as defined). Beacon will pay up to 22.5% of its
management and incentive fees to the General Partner. The Partnership
has an advisory agreement with Stonebrook pursuant to which the
Partnership will pay a monthly management fee equal to 1/12 of 1% (1%
annually) of the month-end Net Asset Value of the subaccount (as
defined) and a quarterly incentive fee equal to 10% of Net New
Trading Profits (as defined). Stonebrook will pay the entire
incentive fee to the General Partner. The General Partner has agreed
to rebate to the Partnership all of the incentive fees it is entitled
to from Beacon and Stonebrook through March 31, 2001.
On October 10, 2000, the name of the Partnership was changed from
The Dennis Fund Limited Partnership to The Fulcrum Fund Limited
Partnership.
Note 8. INTERIM FINANCIAL STATEMENTS
The statement of financial condition as of September 30, 2000,
including the September 30, 2000 schedule of securities, the
statements of operations for the three months and nine months ended
September 30, 2000 and 1999, and the statements of changes in
partners' capital (net asset value) for the nine months ended
September 30, 2000 and 1999, are unaudited. In the opinion of
management, such financial statements reflect all adjustments, which
were of a normal and recurring nature, necessary for a fair
presentation of financial position as of September 30, 2000, and the
results of operations for the three months and nine months ended
September 30, 2000 and 1999.
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<PAGE> 11
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
THE DENNIS FUND LIMITED PARTNERSHIP
By: Kenmar Advisory Corp., general partner
Dated: December 4, 2000 By: /s/ Kenneth A. Shewer
---------------------
Kenneth A. Shewer
Chairman
(Duly Authorized Officer of the General
Partner)
Dated: December 4, 2000 By: /s/ Thomas J. DiVuolo
---------------------
Thomas J. DiVuolo
Senior Vice President (Principal Financial
and Accounting Officer of the Registrant)
