-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, TvjClu3m3OHoCIrFBj384KTXZxu2iOdlxY3NsnTGcRMI7KImH8u2wZx8iPHuoCA9 /9AiAmBc99Zp41xN5T/fTA== 0000927016-01-001212.txt : 20010312 0000927016-01-001212.hdr.sgml : 20010312 ACCESSION NUMBER: 0000927016-01-001212 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20001231 FILED AS OF DATE: 20010308 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FULCRUM TRUST CENTRAL INDEX KEY: 0000917323 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 061358430 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-08278 FILM NUMBER: 1563494 BUSINESS ADDRESS: STREET 1: 4225 EXECUTIVE SQUARE STREET 2: SUITE 325 CITY: LAJOLLA STATE: CA ZIP: 92037 BUSINESS PHONE: 6196775917 FORMER COMPANY: FORMER CONFORMED NAME: PALLADIAN TRUST DATE OF NAME CHANGE: 19940110 N-30D 1 0001.txt FULCRUM TRUST ANNUAL REPORT Allmerica Financial Services Annual Report - --------------------------------------- DECEMBER 31, 2000 . The Fulcrum Trust The Fulcrum Fund/SM/ ---------------- [GRAPHIC] [LOGO OF ALLMERICA] Table of Contents General Information ................................................... 2 A Letter from the Chairman ............................................ 3 The Global Interactive/Telecomm Portfolio ............................. 4 The International Growth Portfolio .................................... 5 The Growth Portfolio .................................................. 6 The Value Portfolio ................................................... 7 Financials ............................................................ F-1 For further information, see the accompanying annual report. See Client Notices on page F-21. 1 General Information Officers of First Allmerica Financial Life Insurance Company (FAFLIC) and Allmerica Financial Life Insurance and Annuity Company (AFLIAC) John F. O'Brien, President, CEO (FAFLIC) and Chairman of the Board (AFLIAC) Richard M. Reilly, President and CEO (AFLIAC) Edward J. Parry, III, Vice President, CFO and Treasurer Abigail M. Armstrong, Secretary and Counsel Investment Manager Allmerica Financial Investment Management Services, Inc. 440 Lincoln Street, Worcester, MA 01653 General Distributor Allmerica Investments, Inc. 440 Lincoln Street, Worcester, MA 01653 Independent Accountants PricewaterhouseCoopers LLP 160 Federal Street, Boston, MA 02110 Administrator, Custodian, Transfer Agent Investors Bank & Trust Company 200 Clarendon Street, Boston, MA 02116 Legal Counsel Shea & Gardner 1800 Massachusetts Avenue, N.W., Washington D.C. 20036 Officers of The Fulcrum Trust George J. Sullivan, Jr., President Paul T. Kane, Treasurer George M. Boyd, Secretary Board of Trustees of The Fulcrum Trust George J. Sullivan, Jr. Chairman/1/ Tom N. Dallape/1/ Gordon Holmes/1/ Portfolio Managers Allmerica Asset Management, Inc. 440 Lincoln Street, Worcester, MA 01653 The Strategic Income Portfolio Bee & Associates, Inc. 1225 17th Street, 26th Floor, Denver, CO 80202 The International Growth Portfolio GAMCO Investors, Inc. One Corporate Center, Rye, NY 10570-1434 The Value Portfolio The Global Interactive/Telecomm Portfolio Analytic Investors, Inc. 700 Flower Street, Suite 2400 Los Angeles, CA 90017 The Growth Portfolio /1/ Independent Trustees 2 A Letter from the Chairman [PHOTO] Dear Client: Volatility plagued both the U.S. and international markets throughout 2000. The Federal Reserve raised interest rates three times in an effort to rein in an accelerating domestic economy. The tech-heavy NASDAQ responded by declining as much as 30%, recovering in June, and collapsing again by as much as 39%. A sell-off in technology stocks effected losses in both the Dow Jones Industrial Average and the S&P 500 Index. By the end of the year, interest rate hikes, higher energy prices, reduced capital investments, and lower corporate earnings culminated in an overall fear of recession. Last year's optimism over "New Economy" stocks diminished as investors retreated from high momentum growth stocks, favoring instead the safety of value investments. International markets struggled in a similar manner, initially with rising interest rates and the bias toward over-priced stocks and then later with the U.S. technology rout spreading throughout global markets. Bankruptcies increased as capital investments diminished. In the midst of the stock market tumble, the bond market rallied as it entered the second half of the year with the Federal Reserve deciding to forego further interest rate increases. The budget surplus enhanced the performance of increasingly scarce Treasury bonds while ongoing credit concerns continued to challenge the investment grade and high yield markets. Our Strategic Income Portfolio combined with the Allmerica Investment Trust's Select Investment Grade Income Fund on July 1, 2000. While the resulting new fund has exhibited better long-term performance, it underperformed its benchmark for the year due to its emphasis on the corporate bond sector and its underweight position in the Treasury sector. Investors were taken back to school in 2000 as the financial laws of gravity created an appreciation for the traditional benefits of diversification and long-term strategic asset allocation. Given the overall decline in momentum investing, our funds performed just as we would have expected in an environment where investors assumed a more defensive posture, renewing their search for earnings at a reasonable price while abandoning the charge for aggressive growth stocks at any price. Our Growth Portfolio underperformed slightly for the year as high debt levels and uneven earnings typical of fast-growing companies plagued even the stocks of larger, more well-known companies that comprise the Portfolio. Similarly, our Global Interactive/Telecom Portfolio underperformed as investors rejected any stocks which they considered to be too highly priced. Prices subsequently declined in technology and multimedia, effectively placing the telecommunications revolution on hold. With the market's overall shift from growth investing to value investing, both the International Growth Portfolio and the Value Portfolio outperformed their respective benchmarks for the year. We encourage you to continue working with your financial advisor to build and maintain a diversified portfolio. We thank you for your business, and will continue to provide you with the tools that will enable you to fulfill your financial goals. On behalf of the Board of Trustees, /s/ George J. Sullivan, Jr. George J. Sullivan, Jr. Chairman of the Board The Fulcrum Trust 3 The Global Interactive/Telecomm Portfolio The Fulcrum Global Interactive/Telecom Portfolio returned -26.42% for the year, underperforming its benchmark, the S&P 500 Index, which returned -9.10%. At the start of 2000, the telecommunications revolution was dominating the equity markets with many multimedia companies meeting or exceeding their earnings expectations in the first quarter. However, during the second quarter investors decided that many of these stocks were too highly priced. Prices declined, with the declines spilling over into the stocks of companies in the related industries of technology and multimedia. Investors favored instead other industries where the valuations of securities, rather than projected growth rates, were rewarded. At the same time, capital in the form of high interest loans and initial public offerings dried up. Even the established communications companies providing local and long distance phone services suffered. The telecommunications revolution was put on hold. Not surprisingly, value stocks performed significantly better than growth stocks during 2000. The Portfolio's poor performance reflected this shift in sentiment. Nevertheless, over the period the manager ignored short-term commotion and made no major changes in holdings. The focus remained fixed on companies with solid long-term growth potential. This strategy reflected the manager's belief that wired and wireless telecommunications, cable television, broadcast networks, publishers, and film and television production companies may be the most prized assets in the future global economy. Looking ahead, it seems that the world is going online and that global demand for high-capacity, high-speed data transmission services, both wired and wireless, should get stronger over the next decade. A new administration could eliminate cross-ownership restrictions. Such developments could favor the innovative and technologically advanced communications companies that lead the industry. Investment Manager GAMCO Investors, Inc. About The Fund Seeks to make money by investing globally in equity securities of companies that develop, manufacture or sell interactive and/or telecommunications services and products. Portfolio Composition As of December 31, 2000, the sector allocation of net assets was: Media-Broadcasting & Publishing 31% Telephone Systems 30% Communications 12% Commercial Services 8% Entertainment & Leisure 5% Other 14% Average Annual Total Returns Years ended December 31, 2000 1 Year Life of Fund The Global Interactive/Telecomm Portfolio -26.42% 16.50% S&P 500(R)Index -9.10% 17.86% Growth of a $10,000 Investment Since 1996 The Global Interactive/Telecomm S&P 500 Portfolio Index -------------------- ------- 02/01/1996 $10,000 $10,000 06/30/1996 $ 9,720 $10,647 12/31/1996 $10,049 $11,891 06/30/1997 $11,526 $14,342 12/31/1997 $14,097 $15,589 06/30/1998 $17,124 $18,668 12/31/1998 $18,364 $20,392 06/30/1999 $22,522 $22,917 12/31/1999 $28,811 $24,682 06/30/2000 $27,048 $24,579 12/31/2000 $21,199 $22,436 The Global Interactive/Telecomm Portfolio is a portfolio of The Fulcrum Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R) is a registered trademark of the Standard & Poor's Corporation. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. 4 The International Growth Portfolio The Fulcrum Trust International Growth Portfolio returned -7.35% for the year, outperforming the MSCI EAFE Small Cap Index, which returned -9.23% for 2000. The year started with markets strengthening and foreign currencies weakening. The U.S. and European equities markets were strong, and the economies of Latin America and of the Asia-Pacific region, with the exception of Japan, were growing. Soon into 2000, however, technology, media, and telecommunications stocks, led by those tied to the Internet, started falling in the U.S. markets. International markets quickly followed suit. Although these stocks recovered somewhat in the spring, a new decline in June lasted through the fourth quarter. The period witnessed a clear shift from growth investing to value investing, demonstrated by low stock prices and sustained earnings. The year's end was the reverse of its beginning: International markets had weakened and the euro had rebounded. Within the portfolio, holdings in a specialty chemical company and a dental products company helped performance. The stock of this second company was subsequently sold when it exceeded the price target. Other positive contributors to the Fund were stocks in a manufacturing company and an oil servicing company. Holdings in a manufacturing software company and a motorcycle company were the greatest detractors from the year's performance. Looking ahead, the euro may strengthen against other major currencies. Although there may be some economic slowdown, the European equity markets may be poised for an increase in economic activity. Many of the factors that benefited the U.S. equities markets during the past decade, for example, corporate restructuring, deregulation, and increased productivity through use of technology, may prove to be equally growth enhancing for the international markets in the coming months. Average Annual Total Returns Years ended December 31, 2000 1 Year Life of Fund The International Growth Portfolio -7.35% 3.26% Morgan Stanley EAFE Small Cap Index -9.23% -4.61% Growth of a $10,000 Investment Since 1996 The Morgan Stanley International Growth Small Cap Portfolio EAFE Index -------------------- -------------- 03/26/1996 $10,000 06/30/1996 $ 7,270 12/31/1996 $10,330 $10,000 06/30/1997 $10,951 $10,300 12/31/1997 $ 9,967 $ 7,536 06/30/1998 $10,613 $ 8,574 12/31/1998 $ 9,168 $ 7,946 06/30/1999 $10,675 $ 8,905 12/31/1999 $12,584 $ 9,350 06/30/2000 $14,621 $ 9,859 12/31/2000 $11,659 $ 8,643 Investment Manager Bee & Associates, Inc. About The Fund Seeks to make money by investing internationally for long-term capital appreciation, primarily in equity securities. Portfolio Composition: As of December 31, 2000, the country allocation of net assets was: United Kingdom 21% Netherlands 19% Hong Kong 7% Norway 5% Spain 5% Canada 5% France 5% Other 33% The International Growth Portfolio is a portfolio of The Fulcrum Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The MSCI EAFE Small Cap Index is an unmanaged index of international small cap stocks. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. 5 The Growth Portfolio The Fulcrum Growth Portfolio returned -10.17% for the year, underperforming its benchmark, the Standard and Poor's 500 Index, which returned -9.10%. Market volatility dominated the first half of the year, which included a severe decline in the technology-heavy NASDAQ index. As the second half progressed, the high debt levels and uneven earnings typical of fast growing companies signaled more risk than reward to investors. Consequently, investors moved into industries such as defense and drugs, which provided more stability and better protection from the effects of an economic slowdown compared with the technology and telecommunications industries. The Portfolio's underperformance was mostly due to the declining prices of a number of technology and telecommunications stocks held. Because the stock selection method used to manage the portfolio relies on a certain stability in investor preferences, the quick switches between industries over the year made stock selection difficult. One positive strategy was to significantly increase the number of holdings, at the same time maintaining the portfolio's focus on stocks whose prices were supported by strong company financial statements. The outlook for 2001 includes likely interest rate cuts to counteract slowing growth. The scope of such cuts will depend in part on factors like the unemployment rate and oil and natural gas costs. Any escalation in either of these factors could negatively affect consumers, whose spending has been the engine for nearly a decade's worth of strong economic growth. Volatility will probably continue to plague the markets, and there are many stocks among the S&P 500 whose prices are still high historically. Nevertheless, many companies are forecasting strong growth rates. The probability of strong earnings could be improved if companies find it easier to borrow to fund growth. Investment Manager Analytic Investors, Inc. About The Fund Seeks to make money by investing primarily in securities selected for their long-term growth prospects. Portfolio Composition As of December 31, 2000, the sector allocation of net assets was: Pharmaceuticals 13% Computers & Information 7% Industrial - Diversified 6% Computer Software & Processing 6% Telephone Systems 6% Financial Services 5% Oil & Gas 5% Banking 5% Other 47% Average Annual Total Returns Years ended December 31, 2000 1 Year Life of Fund The Growth Portfolio -10.17% 5.40% S&P 500(R) Index -9.10% 17.86% Growth of a $10,000 Investment Since 1996 The Growth Portfolio S&P 500 Index -------------------- ------------- 02/01/1996 $10,000 $10,000 06/30/1996 $ 9,410 $10,647 12/31/1996 $10,840 $11,891 06/30/1997 $12,160 $14,342 12/31/1997 $11,950 $15,859 06/30/1998 $11,970 $18,668 12/31/1998 $12,010 $20,392 06/30/1999 $13,870 $22,917 12/31/1999 $14,420 $24,682 06/30/2000 $13,985 $24,579 12/31/2000 $12,954 $22,436 The Growth Portfolio is a portfolio of The Fulcrum Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R) is a registered trademark of the Standard & Poor's Corporation. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. 6 The Value Portfolio The Fulcrum Value Portfolio returned 28.67% for the year, significantly outperforming its benchmark, the S&P 500 Index, which returned -9.10%. The year began with a high, but unsustainable, growth rate of nearly 5%. During the first two quarters the Federal Reserve continued raising interest rates to forestall inflation, but by June the series of rate increases had contributed to an economic slowdown. High oil prices also helped slow growth. By November, rising commodity prices, a weak euro, and virtually no credit available helped push down stock prices even further. Indications of an imminent interest rate cut led to a brief, transient upturn, with the equities markets in significant decline for the year. Overall, there were no material changes in the Portfolio's holdings. Contributing to the positive performance were holdings in consumer product companies and in small industrial companies supplying the oil exploration industry. To a lesser extent, the stocks of companies providing basic ingredients to food companies also boosted performance. On the other hand, stocks of "nutraceutical" companies, which sell herbal, supplementary, and vitamin products, detracted from returns. Looking ahead, the impact of higher oil prices on consumer spending should lessen by mid-year when the economy could show some signs of improvement. Such a scenario would favor earnings growth of small companies, many of which are likely to overtake larger companies. The stocks of these relatively small but growing companies are often undervalued, providing the kinds of opportunities the manager seeks for the Portfolio. Average Annual Total Returns Years ended December 31, 2000 1 Year Life of Fund The Value Portfolio 28.67% 18.23% S&P 500(R) Index -9.10% 17.86% Growth of a $10,000 Investment Since 1996 The Value Portfolio S&P 500 Index ------------------- ------------- 02/01/1996 $10,000 $10,000 06/30/1996 $10,840 $10,647 12/31/1996 $11,513 $11,891 06/30/1997 $13,259 $14,342 12/31/1997 $15,236 $15,859 06/30/1998 $16,941 $18,668 12/31/1998 $16,377 $20,392 06/30/1999 $17,697 $22,917 12/31/1999 $17,716 $24,682 06/30/2000 $20,438 $24,579 12/31/2000 $22,795 $22,436 Investment Manager GAMCO Investors, Inc. About The Fund Seeks to make money by investing in companies that are believed to be undervalued and may achieve significant capital appreciation. Portfolio Composition: As of December 31, 2000, the sector allocation of net assets was: Beverages, Food & Tobacco 20% Commercial Services 10% Forest Products & Paper 9% Heavy Machinery 9% Electric Utilities 7% Automotive 6% Media - Broadcasting & Publishing 4% Other 35% The Value Portfolio is a portfolio of The Fulcrum Trust. Portfolio composition will vary over time. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R) is a registered trademark of the Standard & Poor's Corporation. Performance numbers are net of all fund operating expenses, but do not include insurance charges. If performance information included the effect of these additional charges, it would have been lower. 7 The Global Interactive/Telecomm Portfolio PORTFOLIO OF INVESTMENTS . December 31, 2000 - --------------------------------------------------------------------------------
Value Shares (Note 2) - --------------------------------------------------------------- COMMON STOCKS - 99.9% Advertising - 0.6% 3,500 Ackerley Group, Inc. $ 31,500 ---------- Commercial Services - 7.8% 11,000 Cendant Corp.* 105,875 3,000 Moody's Corp. 77,062 6,000 Unitedglobalcom, Inc. Class A* 81,750 1,000 Vivendi Universal SA* 65,824 800 Vivendi Universal SP ADR 52,250 ---------- 382,761 ---------- Communications - 11.9% 1,500 American Tower Corporation, Class A* 56,812 21,000 CoreComm, Ltd.* 104,015 2,000 Leap Wireless International, Inc.* 50,000 2,000 Nextel Communications, Inc., Class A* 49,500 3,000 NTL, Inc.* 71,812 9,000 Paxson Communications Corp.* 107,437 11,000 Telecom Italia Mobile SPA 87,782 500 Telecom Italia SPA-Sp ADR 55,156 ---------- 582,514 ---------- Computer Software & Processing - 0.4% 25,000 Pacific Century Cyberworks 16,188 344 Pacific Century Cyberworks, Ltd. ADR 2,107 ---------- 18,295 ---------- Electric Utilities - 0.4% 1,500 Citizens Utilities Co., Class B* 19,687 ---------- Electronics - 2.4% 1,629 Gemstar-TV Guide International, Inc.* 75,138 2,000 PubliCARD, Inc.* 3,250 600 Sony Corp. ADR 41,850 ---------- 120,238 ---------- Entertainment & Leisure - 4.8% 5,000 Blockbuster Inc., Class A 41,875 4,000 EMI Group, Plc 32,908 5,000 Gaylord Entertainment Co.* 104,375 2,000 Walt Disney Co. 57,875 ---------- 237,033 ---------- Insurance - 2.9% 3,500 The Liberty Corp. 142,406 ---------- Lodging - 3.1% 2,000 Aztar Corp.* 25,875 20,000 Hilton Group, Plc 62,524 6,000 Hilton Hotels Corp. 63,000 ---------- 151,399 ---------- Media - Broadcasting & Publishing - 31.1% 2,000 Acme Communications, Inc.* 18,250 200 BHC Communications, Inc., Class A 25,850 2,500 Cablevision Systems Corp.* 212,344 2,000 Fisher Companies, Inc. 110,000 18,000 Granite Broadcasting Corp.* 18,000
Value Shares (Note 2) - -------------------------------------------------------------------- Media - Broadcasting & Publishing (continued) 8,000 Gray Communications Systems, Inc., Class B $ 117,500 5,000 Holdingmaatschappij De Telegraaf NV 101,395 4,500 Lee Enterprises, Inc. 134,156 3,000 Media General, Inc., Class A 109,200 1,000 Meredith Corp. 32,187 3,000 NBC Internet, Inc., Class A* 10,500 5,000 Price Communications Corp.* 84,062 2,000 Pulitzer, Inc. 93,700 1,000 Rogers Communications, Inc., Class B 17,000 8,000 Salem Communications Corp., Class A* 119,500 280 Seat Paginne Gialle S.p.A. 625 5,500 Spanish Broadcasting System, Inc., Class A* 27,500 1,500 The McClatchy Company, Class A 63,937 1,000 Time Warner, Inc. 52,240 3,000 USA Networks, Inc.* 58,313 1,500 Viacom, Inc., Class A* 70,500 1,500 Young Broadcasting, Inc., Class A* 50,227 ---------- 1,526,986 ---------- Oil & Gas - 1.1% 2,000 MCN Energy Group, Inc. 55,375 ---------- Retailers - 1.1% 8,000 Lillian Vernon Corp. 56,000 ---------- Telephone Systems - 29.8% 1,500 360networks, Inc.* 19,125 17,000 AT&T Corp. - Liberty Media Group, Class A* 230,563 1,000 AT&T Wireless Group* 17,313 2,500 Cable & Wireless, Plc ADR 99,688 2,500 CenturyTel, Inc. 89,375 1,000 Cia de Telecomunicaciones de Chile SA, ADR* 13,188 5,000 Commonwealth Telephone Enterprises, Inc.* 175,000 10,000 Loral Space & Communications, Ltd.* 31,875 1,000 Microcell Telecommunications, Inc.* 19,000 5 NTT Mobile Communications Network, Inc. 86,192 5,000 Rogers Wireless Communications, Inc., Class B* 88,438 1,090 SK Telecom Co., Ltd. ADR 25,683 2,500 Sprint Corp. (PCS Group)* 51,094 4,000 Swisscom AG ADR 102,500 750 Telefonica SA, ADR* 37,500 1,400 Telephone and Data Systems, Inc. 126,000 4,000 Teligent, Inc.* 7,750 2,000 Telus Corp. 51,875 1,200 Viatel, Inc.* 4,463 500 Vimpel-Communications ADR* 7,438 1,800 VoiceStream Wireless Corp.* 181,125 ---------- 1,465,185 ---------- Water Companies - 2.5% 1,200 SJW Corp. 122,400 ---------- Total Common Stocks 4,911,779 ---------- (Cost $5,631,033)
See Notes to Financial Statements. - -------------------------------------------- F-1 The Global Interactive/Telecomm Portfolio PORTFOLIO OF INVESTMENTS, Continued . December 31, 2000 - --------------------------------------------------------------------------------
Value Shares (Note 2) - ------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS - 2.2% Electric Utilities - 2.2% 2,000 Citizens Utilities Co., 5.00%, 1/15/23 $ 106,000 ---------- Total Convertible Preferred Stocks 106,000 ---------- (Cost $105,850) Total Investments - 102.1% 5,017,779 ---------- (Cost $5,736,883) Net Other Assets and Liabilities - (2.1)% (103,123) ---------- Total Net Assets - 100.0% $4,914,656 ==========
- ------------------ * Non-income producing security. ADR American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At December 31, 2000, the aggregate cost of investment securities for tax pur- poses was $5,777,990. Net unrealized appreciation (depreciation) aggregated $(760,211), of which $499,516 related to appreciated investment securities and $(1,259,727) related to depreciated investment securities. For the period ended December 31, 2000, the Portfolio has elected to defer $83,419 of capital losses attributable to Post-October losses. Distributions from long-term capital gains for the year ended December 31, 2000 were $1,412,958. OTHER INFORMATION For the year ended December 31, 2000, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $5,658,758 and $5,508,765 of non-governmental issuers, respectively. See Notes to Financial Statements. ------------------------------------------------------ F-2 The International Growth Portfolio PORTFOLIO OF INVESTMENTS . December 31, 2000 - --------------------------------------------------------------------------------
Value Shares (Note 2) - ---------------------------------------------------- COMMON STOCKS - 92.5% Canada - 5.1% 9,100 Danier Leather, Inc. $ 66,742 5,330 Shermag, Inc. 23,100 ---------- 89,842 ---------- Finland - 2.2% 1,400 Vaisala Oyj 38,781 ---------- France - 5.2% 7,000 Lectra Systemes* 91,628 ---------- Hong Kong - 6.8% 203,000 Hung Hing Printing Group, Ltd. 79,386 260,937 Lung Kee (Bermuda) Holdings 42,156 ---------- 121,542 ---------- Israel - 3.8% 1,800 Orbotech, Ltd. 67,162 ---------- Italy - 4.2% 41,300 Ducati Motor Holding SpA* 75,157 ---------- Japan - 3.4% 4,200 Yamaichi Electronics Co., Ltd. 61,082 ---------- Mexico - 3.3% 137,999 Nadro SA, Class B 58,876 ---------- Netherlands - 18.7% 1,580 Draka Holding NV 85,160 3,100 Hunter Douglas NV 84,998
Value Shares (Note 2) - ----------------------------------------------- Netherlands (continued) 7,000 Toolex International NV $ 79,533 2,800 Van Melle NV 83,477 ---------- 333,168 ---------- Norway - 5.1% 5,800 ProSafe ASA* 89,674 ---------- Spain - 5.1% 5,448 Cortefiel, S.A. 90,547 ---------- Sweden - 4.5% 5,500 Hoganas AB, Class B 80,745 ---------- Switzerland - 4.4% 275 Geberit International AG 77,388 ---------- United Kingdom - 20.7% 49,000 Britax International, Plc 79,158 4,600 ESC Medical Systems, Ltd. 55,488 110,000 McBride, Plc 105,304 32,400 Photobition Group, Plc 48,464 16,100 Victrex, Plc 79,472 ---------- 367,886 ---------- Total Common Stocks 1,643,478 ---------- (Cost $1,797,715) Total Investments - 92.5% 1,643,478 ---------- (Cost $1,797,715) Net Other Assets and Liabilities - 7.5% 133,992 ---------- Total Net Assets - 100.0% $1,777,470 ==========
- ------------------ *Non-income producing security. FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At December 31, 2000, the aggregate cost on investment securities for tax pur- poses was $1,797,715. Net unrealized appreciation (depreciation) aggregated $(154,237), of which $197,104 related to appreciated investment securities and $(351,341) related to depreciated investment securities. For the period ended December 31, 2000, the Portfolio has elected to defer $189,476 of capital losses attributable to Post-October losses. Distributions from long-term capital gains for the year ended December 31, 2000 were $31,347. OTHER INFORMATION For the year ended December 31, 2000, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $1,415,766 and $2,613,749 of non-governmental issuers, respectively. Industry Concentration of Common Stocks as a Percntageeof Net Assets (Unaudited): Electrical Equipment 8.2% Industrial - Diversified 6.8 Home Construction, Furnishings & Appliances 6.1 Electronics 6.0 Household Products 5.9 Computer Software & Processing 5.2 Commercial Services 5.1 Oil & Gas 5.0 Beverages, Food & Tobacco 4.7 Chemicals 4.5 Forest Products & Paper 4.5 Heavy Machinery 4.5 Metals 4.5 Building Materials 4.4 Automotive 4.2 Retailers 3.8 Pharmaceuticals 3.3 Medical Supplies 3.1 Advertising 2.7 Net Other Assets and Liabilities 7.5 ----- Total 100.0% =====
See Notes to Financial Statements. - -------------------------------------------- F-3 The Growth Portfolio PORTFOLIO OF INVESTMENTS . December 31, 2000 - --------------------------------------------------------------------------------
Value Shares (Note 2) - ----------------------------------------------------------- COMMON STOCKS - 95.8% Aerospace & Defense - 2.3% 1,027 Boeing Co. $ 67,782 ---------- Apparel Retailers - 0.1% 103 Limited, Inc. 1,757 ---------- Automotive - 0.4% 200 Goodrich (B.F.) Co. 7,275 275 Visteon Corp. 3,162 ---------- 10,437 ---------- Banking - 5.4% 1,802 Bank of America Corp. 82,667 114 Bank of New York Co., Inc. 6,291 305 Chase Manhattan Corp. 13,858 1,485 FleetBoston Financial Corp. 55,780 ---------- 158,596 ---------- Beverages, Food & Tobacco - 4.4% 1,933 Archer-Daniels-Midland Co. 28,995 1,205 Conagra, Inc. 31,330 1,095 General Mills, Inc. 48,796 490 Philip Morris Cos., Inc. 21,560 ---------- 130,681 ---------- Building Materials - 0.8% 520 Home Depot, Inc. 23,758 ---------- Commercial Services - 2.7% 515 Automatic Data Processing, Inc. 32,606 280 Convergys Corp.* 12,687 1,197 Equifax, Inc. 34,339 ---------- 79,632 ---------- Communications - 1.3% 146 Andrew Corp.* 3,175 230 Network Appliance, Inc.* 14,763 580 Nortel Networks Corp. 18,596 30 Scientific Atlanta, Inc. 977 ---------- 37,511 ---------- Computer Software & Processing - 5.7% 545 America Online, Inc.* 18,966 264 Cabletron Systems, Inc.* 3,976 867 Microsoft Corp.* 37,606 2,445 Oracle Corp.* 71,058 144 PeopleSoft, Inc.* 5,355 710 Sun Microsystems, Inc.* 19,791 150 VERITAS Software Corp.* 13,125 ---------- 169,877 ---------- Computers & Information - 7.4% 1,105 Cisco Systems, Inc.* 42,266 1,150 Compaq Computer Corp. 17,307 1,265 Dell Computer Corp.* 22,058 100 EMC Corp.* 6,650 889 Hewlett-Packard Co. 28,059
Value Shares (Note 2) - ------------------------------------------------------------------------ Computers & Information (continued) 969 International Business Machines Corp. $ 82,365 315 Siebel Systems, Inc.* 21,302 ---------- 220,007 ---------- Cosmetics & Personal Care - 2.0% 745 Procter & Gamble Co. 58,436 ---------- Electric Utilities - 4.4% 485 AES Corp.* 26,857 787 Dominion Resources, Inc. 52,729 1,174 Reliant Energy, Inc. 50,849 ---------- 130,435 ---------- Electrical Equipment - 1.4% 1,170 American Power Conversion Corp.* 14,479 208 Eastman Kodak Co. 8,190 240 Emerson Electric Co. 18,915 ---------- 41,584 ---------- Electronics - 4.4% 605 Advanced Micro Devices* 8,357 330 Analog Devices, Inc.* 16,892 65 Broadcom Corp.* 5,460 2,893 Intel Corp. 86,971 191 LSI Logic Corp.* 3,264 62 Molex, Inc. 2,201 180 Motorola, Inc. 3,645 65 Novellus Systems, Inc.* 2,336 ---------- 129,126 ---------- Entertainment & Leisure - 1.8% 1,800 Walt Disney Co. 52,088 ---------- Financial Services - 4.9% 2,125 Citigroup, Inc. 108,508 360 Fannie Mae 31,230 35 Morgan (J.P.) & Co., Inc. 5,792 ---------- 145,530 ---------- Forest Products & Paper - 3.4% 612 Bemis Co. 20,540 1,148 Kimberly-Clark Corp. 81,152 ---------- 101,692 ---------- Health Care Providers - 0.4% 92 Wellpoint Health Networks, Inc.* 10,603 ---------- Heavy Construction - 0.1% 60 Kaufman and Broad Home Corp. 2,021 ---------- Home Construction, Furnishings & Appliances - 0.5% 280 Centex Corp. 10,518 119 Pulte Corp. 5,020 ---------- 15,538 ---------- Household Products - 0.3% 174 Illinois Tool Works, Inc. 10,364 ----------
See Notes to Financial Statements. ------------------------------------------------------ F-4 The Growth Portfolio PORTFOLIO OF INVESTMENTS, Continued . December 31, 2000 - --------------------------------------------------------------------------------
Value Shares (Note 2) - -------------------------------------------------------------- Industrial - Diversified - 5.5% 3,407 General Electric Co. $ 163,323 ---------- Insurance - 2.4% 325 Loews Corp. 33,658 330 MGIC Investment Corp. 22,254 225 Torchmark Corp. 8,648 104 Unitedhealth Group, Inc. 6,383 ---------- 70,943 ---------- Media - Broadcasting & Publishing - 1.7% 599 McGraw-Hill Cos., Inc. 35,116 305 Time Warner, Inc. 15,933 ---------- 51,049 ---------- Medical Supplies - 1.0% 232 Boston Scientific Corp.* 3,176 450 Medtronic, Inc. 27,169 ---------- 30,345 ---------- Metals - 0.6% 1,155 Barrick Gold Corp. 18,919 ---------- Oil & Gas - 5.2% 35 Anadarko Petroleum Corp. 2,488 230 Ashland, Inc. 8,255 520 Chevron Corp. 43,908 138 Conoco, Inc., Class B 3,993 305 Devon Energy Corp. 18,596 631 Rowan Cos., Inc.* 17,037 895 Sunoco, Inc. 30,150 1,020 USX-Marathon Group 28,305 ---------- 152,732 ---------- Pharmaceuticals - 12.8% 435 Abbott Laboratories 21,070 500 Bristol-Myers Squibb Co. 36,969 840 Johnson & Johnson 88,253 745 Lilly (Eli) & Co. 69,332 878 Merck & Co., Inc. 82,203 1,665 Pfizer, Inc. 76,590 109 Sigma Aldrich Corp. 4,285 ---------- 378,702 ---------- Restaurants - 2.5% 15,375 Smith & Wollensky Restaurant Group(a)(b) 74,184 ----------
Value Shares (Note 2) - --------------------------------------------------------------- Retailers - 3.8% 775 AutoZone, Inc.* $ 22,088 1,046 May Department Stores Co. 34,257 1,406 Sears Roebuck & Co. 48,859 126 Wal-Mart Stores, Inc. 6,694 ---------- 111,898 ---------- Telephone Systems - 6.1% 1,763 BellSouth Corp. 72,173 618 Qwest Communications International, Inc.* 25,338 1,544 SBC Communications, Inc. 73,726 199 Verizon Communications 9,975 ---------- 181,212 ---------- Textiles, Clothing & Fabrics - 0.1% 57 Liz Claiborne, Inc. 2,373 ---------- Total Common Stocks 2,833,135 ---------- (Cost $2,986,708) Par Value ------- U.S. GOVERNMENT OBLIGATION (d) - 1.8% U.S. Treasury Bills - 1.8% $55,000 6.00%, 04/19/01 (c) 54,010 ---------- Total U.S. Government Obligation 54,010 ---------- (Cost $54,010) Total Investments - 97.6% 2,887,145 ---------- (Cost $3,040,718) Net Other Assets and Liabilities - 2.4% 70,674 ---------- Total Net Assets - 100.0% $2,957,819 ==========
- ------------------ * Non-income producing security. (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold, in transactions exempt from registra- tion, to qualified institutional buyers. At December 31, 2000, these secu- rities amounted to $74,184 or 2.5% of net assets. (b) Security is valued by management (Note 1). (c) Security has been deposited as initial margin on futures contracts. At December 31, 2000, the Portfolio's open futures contracts were as follows:
Number of Contracts Contract Expiration Aggregate Market Value at Purchased Type Date Cost December 31, 2000 - --------- -------- ---------- --------- ----------------- 5 S&P 500 March 2001 $341,525 $333,750 ======== ========
(d) Effective yield at time of purchase. See Notes to Financial Statements. - -------------------------------------------- F-5 The Growth Portfolio PORTFOLIO OF INVESTMENTS, Continued . December 31, 2000 - -------------------------------------------------------------------------------- FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At December 31, 2000, the aggregate cost of investment securities for tax pur- poses was $3,071,735. Net unrealized appreciation (depreciation) aggregated $(184,590), of which $219,193 related to appreciated investment securities and $(403,783) related to depreciated investment securities. For the period ended December 31, 2000, the Portfolio has elected to defer $114,816 of capital losses attributable to Post-October losses. Distributions from long-term capital gains for the year ended December 31, 2000 were $65,836. OTHER INFORMATION For the year ended December 31, 2000, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $8,749,122 and $9,883,890 of non-governmental issuers, respectively. See Notes to Financial Statements. ------------------------------------------------------ F-6 The Value Portfolio PORTFOLIO OF INVESTMENTS . December 31, 2000 - --------------------------------------------------------------------------------
Value Shares (Note 2) - ----------------------------------------------------------- COMMON STOCKS - 100.1% Advertising - 0.4% 3,000 Ackerley Group, Inc. $ 27,000 ---------- Aerospace & Defense - 2.9% 2,500 Sequa Corp., Class B* 139,375 15,000 The Fairchild Corp., Class A* 82,500 ---------- 221,875 ---------- Automotive - 5.7% 2,000 ArvinMeritor, Inc. 22,750 10,000 AutoNation, Inc.* 60,000 3,000 Borg-Warner Automotive, Inc. 120,000 2,000 Dana Corp. 30,625 20,000 Earl Scheib, Inc.* 48,750 5,000 Navistar International Corp.* 130,937 1,000 Standard Motor Products, Inc. 7,375 4,000 Tenneco Automotive, Inc. 12,000 ---------- 432,437 ---------- Beverages, Food & Tobacco - 19.8% 5,000 Archer-Daniels-Midland Co. 75,000 10,000 Corn Products International, Inc. 290,625 12,000 Flowers Industries, Inc. 189,000 5,000 H.J. Heinz Co. 237,187 5,000 Hercules, Inc. 95,312 6,500 Keebler Food Co. 269,344 4,000 Kellogg Co. 105,000 25,000 PepsiAmericas Cos.(a) 0 2,000 Ralston Purina Group 52,250 1,000 The J.M. Smucker Co. 27,950 3,000 The Topps Co., Inc.* 27,562 25,000 Weider Nutrition International, Inc. 53,125 5,108 Whitman Corp. 83,635 ---------- 1,505,990 ---------- Chemicals - 1.9% 3,000 Ferro Corp. 69,000 2,000 Hawkins Chemical, Inc. 16,750 3,000 Quaker Chemical Corp. 56,437 ---------- 142,187 ---------- Commercial Services - 10.4% 2,000 Aaron Rents, Inc., Class A 26,875 3,000 Allied Waste Industries, Inc.* 43,687 2,160 Invitrogen Corp.* 186,570 6,000 Newport News Shipbuilding, Inc. 312,000 3,000 Republic Services, Inc.* 51,562 8,500 Rollins, Inc. 170,531 ---------- 791,225 ---------- Communications - 0.7% 2,000 Allen Telecom, Inc.* 35,875 4,000 CoreComm, Ltd.* 19,812 ---------- 55,687 ---------- Computer Software & Processing - 1.0% 15,000 Genuity, Inc.* 75,937 ----------
Value Shares (Note 2) - -------------------------------------------------------------- Cosmetics & Personal Care - 0.7% 2,000 International Flavors & Fragrances, Inc. $ 40,625 8,000 Twinlab Corp.* 13,500 ---------- 54,125 ---------- Electric Utilities - 6.9% 3,000 Bangor Hydro-Electric Co. 77,062 6,000 Citizens Utilities Co., Class B* 78,750 10,000 El Paso Electric Co.* 132,000 3,000 GPU, Inc. 110,438 5,000 Northeast Utilities 121,250 2,000 Progress Energy, Inc.(a) 0 ---------- 519,500 ---------- Electrical Equipment - 3.1% 4,000 AMETEK, Inc. 103,750 5,000 Thomas & Betts Corp. 80,938 5,000 UCAR International, Inc.* 48,750 ---------- 233,438 ---------- Entertainment & Leisure - 2.0% 6,000 Gaylord Entertainment Co.* 125,250 15,000 GC Companies, Inc.* 30,000 ---------- 155,250 ---------- Food Retailers - 1.3% 10,000 Ingles Markets, Inc., Class A 100,625 ---------- Forest Products & Paper - 8.5% 5,000 Greif Bros. Corp. 142,500 5,000 Nashua Corp. 22,200 20,000 Pactiv Corp.* 247,500 5,000 Willamette Industries, Inc. 234,688 ---------- 646,888 ---------- Heavy Machinery - 9.1% 3,000 Ampco-Pittsburgh Corp. 36,000 20,000 Baldwin Technology Co., Class A* 30,000 10,000 Fedders Corp. 46,250 2,000 Fedders Corp., Class A 8,375 20,000 Federal-Mogul Corp. 46,250 7,500 Flowserve Corp.* 160,313 10,000 Gerber Scientific, Inc. 85,625 2,000 IDEX Corp. 66,250 1,000 Modine Manufacturing Co. 20,750 3,500 SPS Technologies, Inc.* 191,844 ---------- 691,657 ---------- Industrial - Diversified - 0.1% 1,600 Harbor Global Company, Ltd.* 8,000 ---------- Insurance - 3.4% 2,500 Argonaut Group, Inc. 52,500 5,000 The Liberty Corp. 203,438 ---------- 255,938 ----------
See Notes to Financial Statements. - -------------------------------------------- F-7 The Value Portfolio PORTFOLIO OF INVESTMENTS, Continued . December 31, 2000 - --------------------------------------------------------------------------------
Value Shares (Note 2) - ---------------------------------------------------------------- Lodging - 3.5% 4,000 Aztar Corp.* $ 51,750 20,000 Hilton Hotels Corp. 210,000 3,000 Trump Hotels & Casino Resorts, Inc.* 5,813 ---------- 267,563 ---------- Media - Broadcasting & Publishing - 3.7% 10,000 Gray Communications Systems, Inc., Class B 146,875 2,000 Lee Enterprises, Inc. 59,625 2,000 Media General, Inc., Class A 72,800 ---------- 279,300 ---------- Metals - 3.4% 4,000 CIRCOR International, Inc. 40,000 2,000 Crane Co. 56,875 1,000 Curtiss-Wright Corp. 46,500 8,000 Watts Industries, Inc., Class A 111,000 ---------- 254,375 ---------- Oil & Gas - 2.5% 2,000 MCN Energy Group, Inc. 55,375 6,000 Southwest Gas Corp. 131,250 ---------- 186,625 ---------- Pharmaceuticals - 1.1% 2,500 Carter-Wallace, Inc. 83,438 ---------- Retailers - 3.6% 1,000 Harcourt General, Inc. 57,200 12,000 Lillian Vernon Corp. 84,000 4,000 Neiman Marcus Group, Inc., Class B* 132,500 ---------- 273,700 ----------
Value Shares (Note 2) - ----------------------------------------------------------------- Telephone Systems - 1.0% 3,000 AT&T Corp. $ 51,938 2,000 AT&T Corp. - Liberty Media Group, Class A* 27,125 ---------- 79,063 ---------- Textiles, Clothing & Fabrics - 0.5% 2,500 Wolverine World Wide, Inc. 38,125 ---------- Transportation - 1.8% 3,000 ANC Rental Corp.* 10,500 3,000 Avis Rent A Car, Inc.* 97,688 500 GATX Corp. 24,938 ---------- 133,126 ---------- Water Companies - 1.1% 10,000 Azurix Corp.* 81,875 ---------- Total Common Stocks 7,594,949 ---------- (Cost $7,794,742) Total Investments - 100.1% 7,594,949 ---------- (Cost $7,794,742) Net Other Assets and Liabilities - (0.1)% (6,551) ---------- Total Net Assets - 100.0% $7,588,398 ==========
- ------------------ * Non-income producing security. (a) Contingent Value Obligation FEDERAL INCOME TAX INFORMATION (SEE NOTE 2) At December 31, 2000, the aggregate cost of investment securities for tax pur- poses was $7,854,479. Net unrealized appreciation (depreciation) aggregated $(259,530), of which $713,622 related to appreciated investment securities and $(973,152) related to depreciated investment securities. Distributions from long-term capital gains for the year ended December 31, 2000 were $1,934,464. OTHER INFORMATION For the year ended December 31, 2000, the aggregate cost of purchases and the proceeds of sales, other than from short-term investments, included $7,241,370 and $5,746,620 of non-governmental issuers, respectively. See Notes to Financial Statements. ------------------------------------------------------ F-8 The Fulcrum Trust STATEMENTS OF ASSETS AND LIABILITIES . December 31, 2000 - --------------------------------------------------------------------------------
Global Interactive/ International Telecomm Growth Growth Value Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------- ASSETS: Investments: Investments at cost.... $ 5,736,883 $ 1,797,715 $ 3,040,718 $ 7,794,742 Net unrealized depreciation.......... (719,104) (154,237) (153,573) (199,793) ----------- ----------- ----------- ----------- Total investments at value................. 5,017,779 1,643,478 2,887,145 7,594,949 Cash and foreign currency *............. -- 135,027 98,965 57,940 Receivable for investments sold....... -- 58,748 -- -- Interest and dividend receivables............ 2,589 8,563 3,482 9,127 Receivable for expense reimbursement.......... 3,557 5,485 5,858 4,234 Dividend tax reclaim receivables............ 580 2,639 -- -- Prepaid insurance expense................ 2,526 937 1,409 2,503 ----------- ----------- ----------- ----------- Total Assets........... 5,027,031 1,854,877 2,996,859 7,668,753 ----------- ----------- ----------- ----------- LIABILITIES: Payable for investments purchased.............. -- 35,681 -- -- Advisory fee payable.... -- 390 627 26,004 Trustees' fees payable.. 3,833 1,366 2,163 3,976 Payable to custodian.... 65,939 7,921 7,154 3,777 Payable for shares repurchased............ 1,575 209 386 3,579 Payable for variation margin................. -- -- 4,550 -- Accrued expenses and other payables......... 41,028 31,840 24,160 43,019 ----------- ----------- ----------- ----------- Total Liabilities...... 112,375 77,407 39,040 80,355 ----------- ----------- ----------- ----------- NET ASSETS.............. $ 4,914,656 $ 1,777,470 $ 2,957,819 $ 7,588,398 =========== =========== =========== =========== NET ASSETS consist of: Paid-in capital......... $ 5,757,652 $ 1,484,166 $ 3,047,560 $ 7,509,859 Undistributed (distribution in excess of) net investment income (loss).......... (292) (1,725) 13,816 -- Accumulated (distribution in excess of) net realized gain (loss) on investments sold, futures contracts, forward foreign currency contracts and foreign currency transactions.. (123,620) 450,134 57,791 278,332 Net unrealized depreciation of investments, assets and liabilities in foreign currency and futures contracts.............. (719,084) (155,105) (161,348) (199,793) ----------- ----------- ----------- ----------- TOTAL NET ASSETS........ $ 4,914,656 $ 1,777,470 $ 2,957,819 $ 7,588,398 =========== =========== =========== =========== Shares of beneficial interest outstanding (unlimited authorization, par value of $0.001 per share).... 486,496 158,758 254,153 624,241 NET ASSET VALUE, Offering and redemption price per share (Net Assets/Shares Outstanding)............ $ 10.10 $ 11.20 $ 11.64 $ 12.16 =========== =========== =========== ===========
- --------------------------------- * Cost $132,536 for International Growth Portfolio. See Notes to Financial Statements. - -------------------------------------------- F-9 The Fulcrum Trust STATEMENTS OF OPERATIONS . For the Year Ended December 31, 2000 - --------------------------------------------------------------------------------
Global Interactive/ International Telecomm Growth Growth Value Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------- INVESTMENT INCOME Interest................. $ 18,089 $ 5,752 $ 23,716 $ 9,559 Dividends................ 66,319 55,102 43,304 113,007 Less net foreign taxes withheld................ (2,333) (5,630) (31) -- ------------ ---------- ---------- ----------- Total investment income.. 82,075 55,224 66,989 122,566 ------------ ---------- ---------- ----------- EXPENSES Investment advisory fees.................... 187,195 99,965 5,603 203,919 Custodian and Fund accounting fees......... 53,264 57,554 60,808 52,004 Legal fees............... 18,249 865 5,285 8,422 Audit fees............... 32,751 14,593 15,354 28,712 Trustees' fees........... 8,138 7,404 3,945 7,359 Reports to shareholders.. 12,573 11,668 10,111 12,976 Amortization of organization costs...... 533 534 534 534 Insurance................ 4,952 2,905 3,597 5,068 Miscellaneous............ 63 65 65 65 ------------ ---------- ---------- ----------- Total expenses before reimbursements.......... 317,718 195,553 105,302 319,059 Less expense reimbursements.......... (16,847) (55,209) (52,129) (20,114) ------------ ---------- ---------- ----------- Total expenses net of expense reimbursements.. 300,871 140,344 53,173 298,945 ------------ ---------- ---------- ----------- NET INVESTMENT INCOME (LOSS)................... (218,796) (85,120) 13,816 (176,379) ------------ ---------- ---------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investments sold........ 1,890,717 542,977 146,736 2,370,667 Net realized loss on futures contracts....... -- -- (10,377) -- Net realized loss on foreign currency transactions............ (356) (9,307) -- -- Net change in unrealized depreciation of investments and futures contracts............... (3,821,764) (486,413) (568,725) (192,492) Net change in unrealized appreciation (depreciation) of assets and liabilities in foreign currency........ 19 (275) -- -- Net change in unrealized appreciation (depreciation) of foreign forward currency contracts............... -- (766) -- -- ------------ ---------- ---------- ----------- NET GAIN (LOSS) ON INVESTMENTS.............. (1,931,384) 46,216 (432,366) 2,178,175 ------------ ---------- ---------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............... $ (2,150,180) $ (38,904) $ (418,550) $ 2,001,796 ============ ========== ========== ===========
See Notes to Financial Statements. ------------------------------------------------------ F-10 The Fulcrum Trust STATEMENTS OF CHANGES IN NET ASSETS - ------------------------------------------------------------------------------------------------------------------------------
Global Interactive/ International Growth Telecomm Portfolio Portfolio Growth Portfolio Value Portfolio - ------------------------------------------------------------------------------------------------------------------------------ Years Ended Years Ended Years Ended Years Ended December 31, December 31, December 31, December 31, 2000 1999 2000 1999 2000 1999 2000 1999 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS at beginning of year... $ 8,781,782 $ 5,433,249 $ 2,937,386 $ 2,664,454 $ 4,703,077 $ 4,671,295 $ 7,872,687 $ 8,988,926 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Increase (decrease) in net assets resulting from operations: Net investment income (loss)...... (218,796) (210,192) (85,120) (12,118) 13,816 10,277 (176,379) 3,917 Net realized gain on investments sold and foreign currency transactions....... 1,890,361 1,389,421 533,670 323,719 136,359 926,058 2,370,667 1,145,729 Net change in unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currency... (3,821,745) 2,112,984 (487,454) 582,457 (568,725) (56,459) (192,492) (545,444) ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Net increase (decrease) in net assets resulting from operations.... (2,150,180) 3,292,213 (38,904) 894,058 (418,550) 879,876 2,001,796 604,202 ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Distributions to shareholders from: Net investment income............. -- (1,612) -- (13,007) (10,277) -- -- (5,859) Net realized gain on investments........ (1,906,969) (1,071,940) (31,347) -- (405,841) -- (2,069,694) (926,098) ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Total distributions..... (1,906,969) (1,073,552) (31,347) (13,007) (416,118) -- (2,069,694) (931,957) ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Capital share transactions: Net proceeds from sales of shares.... 1,598,129 3,892,877 596,555 575,704 452,181 1,324,267 389,457 1,532,025 Issued to shareholders in reinvestment of distributions...... 1,906,969 1,073,552 31,347 13,007 416,118 -- 2,069,694 931,957 Cost of shares repurchased........ (3,315,075) (3,836,557) (1,717,567) (1,196,830) (1,778,889) (2,172,361) (2,675,542) (3,252,466) ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Net increase (decrease) from capital share transactions...... 190,023 1,129,872 (1,089,665) (608,119) (910,590) (848,094) (216,391) (788,484) ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Total increase (decrease) in net assets............ (3,867,126) 3,348,533 (1,159,916) 272,932 (1,745,258) 31,782 (284,289) (1,116,239) ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- NET ASSETS at end of year................ $ 4,914,656 $ 8,781,782 $ 1,777,470 $ 2,937,386 $ 2,957,819 $ 4,703,077 $ 7,588,398 $ 7,872,687 =========== =========== =========== =========== =========== =========== =========== =========== Undistributed (distribution in excess of) net investment income (loss).............. $ (292) $ (2) $ (1,725) $ 83 $ 13,816 $ 10,277 $ -- $ -- =========== =========== =========== =========== =========== =========== =========== =========== OTHER INFORMATION: Share transactions: Sold................ 74,955 202,391 43,473 57,913 33,282 102,674 28,666 110,731 Issued to shareholders in reinvestment of distributions...... 182,585 50,760 2,250 1,240 33,104 -- 167,469 73,447 Repurchased......... (172,357) (194,425) (127,332) (116,733) (138,420) (165,339) (184,661) (236,397) ----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding....... 85,183 58,726 (81,609) (57,580) (72,034) (62,665) 11,474 (52,219) =========== =========== =========== =========== =========== =========== =========== ===========
See Notes to Financial Statements. - -------------------------------------------- F-11 The Fulcrum Trust FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Income from Investment Operations Less Distributions ------------------------------------------------- ---------------------------------------------------- Net Asset Net Net Realized Dividends Distributions Value Investment and Unrealized Total from from Net from Net Year Ended Beginning Income Gain (Loss) on Investment Investment Realized Return of Total December 31, of Year (Loss)(/2/) Investments Operations Income Capital Gains Capital Distributions ------------ --------- ----------- -------------- ---------- ---------- ------------- --------- ------------- Global Interactive/ Telecomm Portfolio(/1/) 2000 $21.88 $(0.45) $(5.26) $(5.71) $ -- $(6.07) $ -- $(6.07) 1999 15.86 (0.52) 9.43 8.91 -- (/5/) (2.89) -- (2.89) 1998(/3/) 13.32 (0.23) 4.26 4.03 -- (1.49) -- (1.49) 1997 10.00 0.08 3.95 4.03 (0.04) (0.67) -- (0.71) 1996(/4/) 10.00 (0.75) 0.80 0.05 -- -- (0.05) (0.05) International Growth Portfolio(/1/) 2000 $12.22 $(0.54) $(0.33)(/6/) $(0.87) $ -- $(0.15) $ -- $(0.15) 1999 8.94 (0.05) 3.37 3.32 (0.04) -- -- (0.04) 1998(/3/) 9.72 0.05 (0.83) (0.78) -- -- -- -- 1997 10.33 0.10 (0.63) (0.53) (0.05) (0.03) -- (0.08) 1996(/4/) 10.00 (4.16) 4.67 0.51 -- -- (0.18) (0.18) Growth Portfolio(/1/) 2000 $14.42 $ 0.06 $(1.42) $(1.36) $(0.04) $(1.38) $ -- $(1.42) 1999 12.01 0.03 2.38 2.41 -- -- -- -- 1998(/3/) 11.95 (0.05) 0.11 0.06 -- -- -- -- 1997 10.84 (0.02) 1.13 1.11 -- -- -- -- 1996(/4/) 10.00 (2.96) 3.80 0.84 -- -- -- -- Value Portfolio(/1/) 2000 $12.85 $(0.28) $ 3.93 $ 3.65 $ -- $(4.34) $ -- $(4.34) 1999 13.52 0.01 1.07 1.08 (0.01) (1.74) -- (1.75) 1998(/3/) 13.50 -- 1.01 1.01 -- (0.99) -- (0.99) 1997 10.88 0.17 3.35 3.52 (0.09) (0.81) -- (0.90) 1996(/4/) 10.00 (0.64) 2.15 1.51 -- -- (0.63) (0.63)
- ------------------ * Annualized ** Not Annualized (a) Including reimbursements and waivers of certain operating expenses. (b) Excluding reimbursements and waivers of certain operating expenses. (1) Value Portfolio, Growth Portfolio and Global Interactive/Telecomm Portfolio all commenced operations on February 1, 1996. International Growth Portfo- lio commenced operation on March 26, 1996. (2) Net investment income (loss) per share before reimbursement of certain operating expenses by the investment advisers were $(0.48) in 2000, $(0.58) in 1999, $(0.50) in 1998, $(0.62) in 1997 and $(1.34) in 1996 for Global Interactive/Telecomm Portfolio; $(0.88) in 2000, $(0.40) in 1999, $(0.29) in 1998, $(0.45) in 1997, and $(7.56) in 1996 for International Growth Portfolio; $(0.14) in 2000, $(0.17) in 1999, $(0.52) in 1998, $(0.68) in 1997, and $(5.61) in 1996 for Growth Portfolio; and $(0.31) in 2000, $(0.08) in 1999, $(0.22) in 1998, $(0.34) in 1997, and $(1.22) in 1996 for Value Portfolio. (3) Total return measures the change in the value of an investment for the period indicated. For the year ended December 31, 1998, the total return includes capital infusions totaling $41,096. Absent the infusions, total returns for Global/Interactive Telecomm Portfolio, International Growth Portfolio, Growth Portfolio and Value Portfolio would have been 30.11%, (8.23)%, 0.33%, and 7.33%, respectively. (4) For the period ended, December 31, 1996, the total return includes capital infusions totaling $228,823. Absent the infusions, total returns for Global Interactive/Telecomm Portfolio, International Growth Portfolio, Growth Portfolio, and Value Portfolio would have been (6.68)%, (46.50)%, (41.75)%, and 7.64%, respectively. (5) Distribution is less than $0.005 per share. (6) Amount shown does not correspond with the net realized and unrealized gain on investments for the period due to the timing of sales and repurchases of fund shares in relation to fluctuating market values of the fund's invest- ments. See Notes to Financial Statements. ------------------------------------------------------ F-12 The Fulcrum Trust - --------------------------------------------------------------------------------
Ratios/Supplemental Data ------------------------------------------------------------------------------------------------------- Ratios To Average Net Assets ------------------------------------------------------- Net Increase Net Asset Net Assets (Decrease) Value End of Net Investment Portfolio in Net Asset End of Total Period Income (Loss) Operating Expenses Management Turnover Value Period Return(/3/)(/4/) (000's) (a) (b) (a) (b) Fee Rate - ------------ --------- ---------------- ---------- ------- ------- --------- --------- ---------- --------- $(11.78) $10.10 (26.42)% $4,915 (2.89)% (3.11)% 3.97% 4.19% 2.47% 76% 6.02 21.88 56.89% 8,782 (2.95)% (3.25)% 1.45% 4.22% 2.47% 45% 2.54 15.86 30.27% 5,433 (2.06)% (4.38)% 3.33% 5.65% 1.96% 65% 3.32 13.32 40.24% 3,016 0.64% (5.14)% 1.47% 7.26% 0.27% 114% -- 10.00 0.49%** 594 (8.32)%* (14.82)%* 9.83%* 16.45%* 0.80%* 71%** $ (1.02) $11.20 (7.35)% $1,777 (3.16)% (5.21)% 5.21% 7.26% 3.71% 55% 3.28 12.22 37.26% 2,937 (0.42)% (2.97)% 1.50% 5.27% 1.21% 57% (0.78) 8.94 (8.02)% 2,664 0.55% (3.06)% 1.53% 5.14% 0.05% 60% (0.61) 9.72 (5.25)% 3,207 0.97% (4.36)% 1.78% 7.11% 0.58% 13% 0.33 10.33 5.13%** 97 (56.37)%* (92.05)%* 67.76%* 126.26%* 0.80%* 116%** $ (2.78) $11.64 (10.17)% $2,958 0.35% (0.97)% 1.34% 2.66% 0.14% 248% 2.41 14.42 20.07% 4,703 0.21% (1.14)% 1.20% 2.91% 0.36% 351% 0.06 12.01 0.50% 4,671 (0.39)% (4.21)% 1.22% 5.04% 0.00% 573% 1.11 11.95 10.24% 4,464 (0.16)% (5.38)% 0.90% 6.12% 0.20% 209% 0.84 10.84 8.40%** 148 (31.31)%* (58.37)%* 34.15%* 63.54%* 0.80%* 580%** $ (0.69) $12.16 28.67% $7,588 (2.23)% (2.48)% 3.78% 4.03% 2.58% 74% (0.67) 12.85 8.17% 7,873 0.05% (0.52)% 1.20% 1.76% 0.00% 15% 0.02 13.52 7.49% 8,989 0.01% (1.88)% 1.41% 3.30% 0.30% 70% 2.62 13.50 32.36% 6,585 1.30% (2.60)% 0.84% 4.75% 0.14% 177% 0.88 10.88 15.13%** 900 (6.55)%* (12.40)%* 8.19%* 14.13%* 0.80%* 74%**
See Notes to Financial Statements. - -------------------------------------------- F-13 The Fulcrum Trust NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 1.ORGANIZATION The Fulcrum Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company organized as a Massachusetts business trust. The Trust is intended to serve as an investment medium for (i) variable life insurance policies and variable annuity contracts offered by insurance companies; (ii) certain qualified pen- sion and retirement plans, as permitted by Treasury Regulations; and (iii) life insurance companies and advisers to the Portfolios and their affiliates. The Trust is comprised of four portfolios: Global Interactive/Telecomm Portfolio, International Growth Portfolio, Growth Portfolio and Value Portfolio (collec- tively, the "Portfolios"). Effective July 1, 2000, shares of the Allmerica Investment Trust Select Investment Grade Income Fund were substituted at the separate account level for the shares of the Select Strategic Income Portfolio of the Trust and the Select Strategic Income Portfolio was subsequently dis- solved (see Note 8). 2.SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with accounting princi- ples generally accepted in the United States of America requires management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements: Security Valuation: Equity securities which are traded on a recognized exchange are valued at the last quoted sales price available at the time of closing of the New York Stock Exchange or, if there were no sales that day, at the mean of the closing bid and asked price. Over-the-counter securities are valued at the last available price in the market prior to the time of valuation. Securities that are primarily traded on foreign exchanges generally are valued at the closing values of such securities on their respective exchanges. Corporate debt securities and debt securities of the U.S. Government and its agencies (other than short term-investments) are valued by an independent pricing service approved by the Board of Trustees which utilizes market quotations and transac- tions, quotations from dealers and various relationships among securities in determining value. If not valued by a pricing service, such securities are val- ued at prices obtained from independent brokers. Short-term investments that mature in 60 days or less are valued at amortized cost. This method involves valuing a portfolio security initially at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. Securities for which market quotations are not readily available are valued at fair market value as determined in good faith by management under the direction of the Board of Trustees. In determining fair value, management considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not neces- sarily represent an amount that might ultimately be realized, since such amounts depend on future market and economic developments. However, because of the inherent uncertainty of valuation, those estimated valued may differ sig- nificantly from the values that would have been used had a ready market for the investments existed, and the differences could be material to the investment. At December 31, 2000, one equity security with a value of $74,184 or 2.51% of net assets of the Growth Portfolio was valued by management under the direction of the Board of Trustees. Forward Foreign Currency Contracts: All Portfolios may enter into forward for- eign currency contracts whereby the Portfolios agree to exchange a specific currency at a specific price at a future date in an attempt to hedge against fluctuations in the value of the underlying currency of certain portfolio instruments. Forward foreign currency contracts are valued at the daily exchange rate of the underlying currency with any fluctuations recorded as unrealized gains or losses. Receivables and payables of forward foreign cur- rency contracts are presented on a net basis in the Statements of Assets and Liabilities. Gains or losses on the purchase or sale of forward foreign cur- rency contracts having the same ------------------------------------------------------ F-14 The Fulcrum Trust NOTES TO FINANCIAL STATEMENTS, Continued - -------------------------------------------------------------------------------- settlement date and broker are recognized on the date of offset, otherwise gains and losses are recognized on the settlement date. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of the Portfolios, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts used for hedging purposes limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Portfolios could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Foreign Currency Translation: Investment valuations, other assets and liabili- ties denominated in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investments and income and expenses are translated into U.S. dollars based upon exchange rates prevailing on the respective dates of such transactions. That portion of unrealized gains or losses on investments due to fluctuations in foreign currency exchange rates is not separately disclosed. Security Transactions and Investment Income: Security transactions are recorded as of trade date. Realized gains and losses from security transactions are determined on the basis of identified cost. Interest income, including amorti- zation of premium and accretion of discount on securities, is accrued daily. Dividend income is recorded on the ex-dividend date, except that certain divi- dends from foreign securities are recorded as soon as the Portfolios are informed of the ex-dividend date. Federal Income Taxes: The Trust treats each Portfolio as a separate entity for Federal income tax purposes. Each Portfolio intends to continue to qualify as a "regulated investment company" under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying, each Portfolio will not be subject to Federal income taxes to the extent it distributes all of its taxable income and net realized gains, if any, for its fiscal year. In addition, by distributing during each calendar year substantially all of its net investment income, capi- tal gains and certain other amounts, if any, each Portfolio will not be subject to Federal excise tax. Therefore, no Federal income tax provision is required. Withholding taxes on foreign dividend income and gains have been paid or pro- vided for in accordance with the applicable country's tax rules and rates. Distributions to Shareholders: Dividends from net investment income and distri- butions of any net realized capital gains of each Portfolio are currently declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements. Distributions to shareholders are recorded on ex- dividend date. Income and capital gain distributions are determined in accor- dance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing book and tax treatments in the timing of the recognition of gains or losses, includ- ing "Post-October Losses", foreign currency gains and losses, and losses deferred due to wash sales; and permanent differences due to differing treat- ments for paydown gains/losses on mortgage-backed securities, foreign currency transactions, market discount, and non-taxable dividends. Any taxable income or gain remaining at fiscal year end is distributed in the following year. Perma- nent book and tax basis differences relating to shareholder distributions will result in reclassifications to paid in capital. Undistributed net investment income may include temporary book and tax basis differences which will reverse in a subsequent period. Permanent book-tax differences, if any, are not included in ending undistributed net investment income for the purposes of cal- culating net investment income per share in the Financial Highlights. Futures Contracts: All Portfolios may enter into futures contracts for the delayed delivery of securities at a fixed price at some future date or the change in value of a specified financial index over a predetermined time peri- od. Cash or securities are deposited with the brokers in order to establish and maintain a position. Subsequent payments made or received by the Portfolio based on the daily change in the market value of the position are recorded as unrealized gain or loss until the contract is closed out, at which time the gain or loss is realized. - -------------------------------------------- F-15 The Fulcrum Trust NOTES TO FINANCIAL STATEMENTS, Continued - -------------------------------------------------------------------------------- Expenses: The Trust accounts separately for assets, liabilities and operations of each Portfolio. Expenses directly attributed to a Portfolio are charged to the Portfolio, while expenses which are attributable to more than one Portfolio of the Trust are allocated among the respective Portfolios. Cash Account: From time to time the Portfolios may leave cash overnight in their account. Investors Bank & Trust Company ("IBT") has been contracted on behalf of the Portfolios to sweep these moneys into a demand note account, which will pay interest equal to 75% of that days U.S. Treasury Bill rate back to the Portfolios. During the year ended December 31, 2000, interest in the amount of $17,892, $5,745, $20,029, and $9,539 was earned by Global Interactive/Telecomm Portfolio, International Growth Portfolio, Growth Portfo- lio and Value Portfolio, respectively. Repurchase Agreements: Each Portfolio may engage in repurchase agreement trans- actions with institutions that the Portfolio Manager has determined are credit- worthy pursuant to guidelines established by the Trust's Board of Trustees. Each Portfolio requires that the securities purchased in a repurchase agreement transaction be transferred to the Trust's Custodian in a manner that is intended to enable the Portfolio to obtain those securities in the event of a counterparty default. The Portfolio Manager monitors the value of the securi- ties, including accrued interest, daily to ensure that the value of the collat- eral equals or exceeds amounts due under the repurchase agreement. Repurchase agreement transactions involve certain risks in the event of default or insol- vency of the counterparty, including possible delays or restrictions upon the Portfolio's ability to dispose of the underlying securities, and a possible decline in the value of the underlying securities during the period while the Portfolio seeks to assert its right. 3.INVESTMENT MANAGEMENT, ADMINISTRATION AND OTHER TRANSACTIONS Allmerica Financial Investment Management Service, Inc. ("AFIMS" or the "Manag- er") serves as overall Manager of the Trust. As Manager, AFIMS is responsible for general administration of the Trust as well as monitoring and evaluating the performance of the Portfolio Managers. AFIMS, a Massachusetts corporation, is registered with the Securities and Exchange Commission as an investment adviser. AFIMS is an indirect wholly-owned subsidiary of Allmerica Financial Corporation ("AFC"). The Portfolio Managers for the Portfolios are as follows: GAMCO Investors, Inc. ("GAMCO") serves as the Portfolio Manager of Global Interactive/Telecomm Port- folio and Value Portfolio; Bee & Associates, a division of Denver Investment Advisors LLC ("Bee"), serves as the Portfolio Manager of International Growth Portfolio; and Analytic Investors, Inc. ("Analytic") serves as the Portfolio Manager of Growth Portfolio. At December 31, 2000, GAMCO has invested approximately $238,343 in Global Interactive/Telecomm Portfolio and $192,052 in Value Portfolio. During the year ended December 31, 2000, GAMCO purchased 8,793 shares with an aggregate value of $91,243 and 4,178 shares with an aggregate value of $51,510 of Global Interactive/Telecomm Portfolio and Value Portfolio, respectively. IBT provides portfolio accounting and custody services to the Trust and receives fees and reimbursement of certain out-of-pocket expenses for its serv- ices from the Trust. AFIMS has entered into an Administrative Services Agree- ment with IBT, whereby IBT performs certain administrative services for the Portfolios and is entitled to receive an administrative fee and certain out-of- pocket expenses. AFIMS is solely responsible for the payment of the administra- tive fee to IBT. As part of the custody contract, the custodian bank has a lien on the securities of a Portfolio to cover any advances made by the custodian bank. Global Interactive/Telecomm Portfolio and Value Portfolio placed a significant portion of their portfolio transactions through Gabelli & Company, Inc. and Instinet, affiliated entities of the Portfolio Manager, GAMCO Investors, Inc. Total brokerage commissions paid to Gabelli & Company, Inc., during the year ended December 31, 2000 amounted to $9,238 for Global Interactive/Telecomm Portfolio and $25,190 for Value Portfolio. Total brokerage commissions paid to Instinet during the year ended December 31, 2000 amounted to $1,076 for Global Interactive/Telecomm Portfolio and $1,120 for Value Portfolio. ------------------------------------------------------ F-16 The Fulcrum Trust NOTES TO FINANCIAL STATEMENTS, Continued - -------------------------------------------------------------------------------- The Trust pays no salaries or compensation to any of its officers. Trustees who are not directors, officers or employees of the Trust or any investment adviser are reimbursed for their travel expenses in attending meeting of the Trustees, and receive quarterly meeting and retainer fees for their services. Such amounts are paid by the Trust. 4.MANAGEMENT FEES Each Portfolio pays a monthly advisory fee equal to a Basic Fee plus or minus an Incentive Fee. The Basic Fee is at an annual rate of 2.0% of average daily net assets. The Incentive Fee rate ranges from -2.0% to +2.0%, depending on a comparison of the Portfolio's performance and the performance of a selected benchmark index over the past 12 months. The monthly Basic and Incentive Fee is calculated by multiplying one-twelfth of the fee rates on an annual basis by the average daily net assets of the previous 12 months. The aggregate annual fee rates range from 0.0% to 4.0%. Each Portfolio Manager receives 80% of the fee, and AFIMS receives the remaining 20%. If the absolute performance of a Portfolio is negative, the monthly advisory fee will be the lesser of the fee calculated as described above or an alterna- tive monthly advisory fee, which under certain circumstances results in the Portfolios paying either no advisory fee or a lower monthly advisory fee at the annual rate of 1.0% or at the annual rate of 2.0% of average daily net assets depending on a comparison of the Portfolio's negative performance and the per- formance of a selected benchmark over the past 12 months. 5.EXPENSE LIMITATIONS AND CONTINGENT REIMBURSEMENT OBLIGATIONS AFIMS has agreed to limit certain operating expenses for the year ended Decem- ber 31, 2000 to the extent that each Portfolio's "other expenses" (i.e. exclud- ing management fees) exceed the following expense limitations (expressed as an annualized percentage of average daily net assets): Global Interactive/Telecomm Portfolio, 1.50%; International Growth Portfolio, 1.50%; Growth Portfolio, 1.20%; and Value Portfolio, 1.20%. At December 31, 2000, the aggregate amount of 2000 expenses reimbursed subject to repayment were as follows: Global Interactive/Telecomm Portfolio, $16,847; International Growth Portfolio, $55,209; Growth Portfolio, $52,129; and Value Portfolio, $20,114. The aggregate amount of 1999 expenses reimbursed subject to repayment were as follows: Global Interactive/Telecomm Portfolio, $21,353; International Growth Portfolio, $73,873; Growth Portfolio, $66,781; and Value Portfolio, $47,639. The Portfolios are required to repay all or a portion of any reimbursement of expenses received under these arrangements provided that average net assets have grown or expenses have declined sufficiently to allow repayment without causing the Portfolio's ratio of other expenses to average daily net assets to exceed the applicable other expense limitation rates in effect at the time the expense limitation was calculated as specified above. The Portfolio's reim- bursement liability for 1998 expense limitations expired on December 31, 2000. The Portfolios' reimbursement liability for 1999 and 2000 expense limitations will cease two years after each respective calendar year. 6.SHARES OF BENEFICIAL INTEREST The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited number of shares of beneficial interest for the Portfolios, with a par value of $0.001 per share. 7.FOREIGN SECURITIES All Portfolios may purchase securities of foreign issuers. Investing in foreign securities involves special risks not typically associated with investing in securities of U.S. issuers. The risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers. - -------------------------------------------- F-17 The Fulcrum Trust NOTES TO FINANCIAL STATEMENTS, Continued - -------------------------------------------------------------------------------- 8.PLAN OF SUBSTITUTION An order has been issued by the Securities and Exchange Commission ("SEC") approving the substitution at the separate account level of shares of the Allmerica Investment Trust Select Investment Grade Income Fund ("SIGIF") for all of the shares of the Allmerica Investment Trust Select Income Fund ("SIF"), funds also managed by AFIMS, and all of the shares of Strategic Income Portfo- lio ("SIP"). To the extent required by law, approvals of the substitutions were also obtained from state insurance regulators in certain jurisdictions. The effect of the substitutions was to replace SIF shares and SIP shares with SIGIF shares. The substitutions were effective on July 1, 2000. On July 1, 2000, SIGIF shares were substituted for all of the shares of SIF and all of the shares of SIP. The substitutions were accomplished by an exchange of 174,686,958 shares of SIGIF for the 191,246,857 shares then outstanding (each valued at $0.951) of SIF and for the 134,606 shares then outstanding (each val- ued at $9.52) of SIP. The substitutions qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the Portfo- lios or the separate account level of shares. SIF's net assets and SIP's net assets, including $4,795,620 and $46,607, respectively, of unrealized deprecia- tion, were combined with SIGIF for total net assets after the substitutions of $425,857,321. ------------------------------------------------------ F-18 The Fulcrum Trust REPORT OF INDEPENDENT ACCOUNTANTS - -------------------------------------------------------------------------------- To the Board of Trustees and Shareholders of The Fulcrum Trust In our opinion, the accompanying statements of assets and liabilities, includ- ing the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The Global Interactive/Telecomm Portfolio, The International Growth Portfolio, The Growth Portfolio, and The Value Portfolio, (constituting The Fulcrum Trust, hereafter referred to as the "Trust") at December 31, 2000, the results of each of their operations, the changes in each of their net assets and the financial highlights for the peri- ods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial high- lights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by man- agement, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2000 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Boston, Massachusetts February 14, 2001 - -------------------------------------------- F-19 The Fulcrum Trust OTHER INFORMATION - -------------------------------------------------------------------------------- SHAREHOLDER VOTING RESULTS: (UNAUDITED) A special meeting of the Trust's shareholders was held on August 18, 2000 at which shareholders approved one proposal. The voting results were as follows: International Growth Portfolio To approve a new Portfolio manager Agreement, pursuant to which Bee & Associ- ates, a division of Denver Investment Advisors, LLC, would continue to serve as Portfolio Manager for the International Growth Portfolio.
Shares Shares Shares For Against Abstaining Total - --------------------------------------------------------------- Number of Votes Cast: 193,777 757 12,615 207,149 Percentage of Votes Cast: 93.54% 0.37% 6.09% 100.00%
A special meeting of the Trust's shareholders was held on January 8, 2001 at which shareholders approved one proposal. The voting results were as follows: Growth Portfolio To approve a new Portfolio manager Agreement, pursuant to which Analytic Investors, Inc., a division of United Asset Management Corporation, a wholly- owned subsidiary division of Old Mutual plc, would continue to serve as Portfo- lio Manager for the Growth Portfolio.
Shares Shares Shares For Against Abstaining Total - --------------------------------------------------------------- Number of Votes Cast: 285,018 0 11,934 296,952 Percentage of Votes Cast: 95.98% 0.00% 4.02% 100.00%
------------------------------------------------------ F-20 The Fulcrum Trust REGULATORY DISCLOSURES - -------------------------------------------------------------------------------- The performance data quoted represents past performance and the investment return and principal value of an investment will fluctuate so that an invest- or's shares, when redeemed, may be worth more or less than their original cost. This report and the financial statements contained herein are submitted for the general information of the shareholders of the Portfolios and are not autho- rized for distribution to prospective investors in The Fulcrum FundSM Variable Annuity of Allmerica Financial Life Insurance and Annuity Company or First Allmerica Financial Life Insurance Company unless accompanied or preceded by effective prospectuses for The Fulcrum FundSM Variable Annuity of Allmerica Financial Life Insurance and Annuity Company or First Allmerica Financial Life Insurance Company, and The Fulcrum Trust, which include important information related to charges and expenses. CLIENT NOTICES - -------------------------------------------------------------------------------- This annual report includes financial statements for The Fulcrum Trust. It does not include financial statements for the separate accounts that correspond to the Fulcrum FundSM Variable Annuity contracts. Separate account financial statements are not provided. ------------------------------------------------------ F-21 [LOGO OF ALLMERICA] THE ALLMERICA FINANCIAL COMPANIES --------------------------------- First Allmerica Financial Life Insurance Company . Allmerica Financial Life Insurance and Annuity Company (all states except NY) Allmerica Trust Company, N.A. . Allmerica Investments, Inc. . Allmerica Investment Management Company, Inc. . Financial Profiles, Inc. The Hanover Insurance Company . AMGRO, Inc. . Allmerica Financial Alliance Insurance Company . Allmerica Asset Management, Inc. Allmerica Financial Benefit Insurance Company . Citizens Insurance Company of America . Citizens Management Inc. 440 Lincoln Street, Worcester, Massachusetts 01653 -----END PRIVACY-ENHANCED MESSAGE-----