<PAGE>   1


                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549


                                    Form 10-Q


             [X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
                       THE SECURITIES EXCHANGE ACT OF 1934


                 FOR THE QUARTERLY PERIOD ENDED: MARCH 31, 2001

                         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
                                              -----   -----

<PAGE>   2


                      THE FULCRUM FUND LIMITED PARTNERSHIP
                          QUARTER ENDED MARCH 31, 2001
                                      INDEX

                                                                           PAGE
                                                                           ----

PART I - FINANCIAL INFORMATION

Item 1.   Financial Statements ........................................       1

           Statements of Financial Condition as of March 31, 2001
           (unaudited) and December 31, 2000 (audited) ................       3

           Statements of Operations for the Three Months Ended
           March 31, 2001 and 2000 (unaudited) ........................       4

           Statements of Changes in Partners' Capital (Net Asset Value)
           for the Three Months Ended March 31, 2001 and 2000
           (unaudited) ................................................       5

          Notes to Financial Statements  (unaudited) ..................       6

  Item 2. Management's Discussion and Analysis of Financial Condition
          and Results of Operations ...................................   12-14

  Item 3. Quantitative and Qualitative Disclosures About Market Risk ..      14


PART II - OTHER INFORMATION

  Item 2. Changes in Securities and Use of Proceeds ...................      15

  Item 6. Exhibits and Reports on Form 8-K ............................      15

SIGNATURES ............................................................      16


                                       2



<PAGE>   3


                      THE FULCRUM FUND LIMITED PARTNERSHIP
                        STATEMENTS OF FINANCIAL CONDITION
           March 31, 2001 (Unaudited) and December 31, 2000 (Audited)
                              --------------------




                                                   March 31,      December 31,
                                                     2001              2000
                                                     ----              ----
ASSETS
    Equity in broker trading accounts
       Cash                                      $13,110,575       $14,619,061
       Unrealized gain on open contracts           6,635,269         4,921,853
       Option premiums paid                          814,500                 0
                                                 -----------       -----------

              Deposits with broker                20,560,344        19,540,914

    Cash and cash equivalents                      2,454,080           462,653
    Fixed income securities (cost, including
       accrued interest, - $997,490
       and $3,652,487)                             1,042,340         3,731,704
    Subscriptions receivable                         107,136            30,337
                                                 -----------       -----------

              Total assets                       $24,163,900       $23,765,608
                                                 ===========       ===========

LIABILITIES
    Accounts payable                             $    43,709       $    57,310
    Commissions and other trading fees
       on open contracts                              37,240            35,355
    General Partner offering fee                      52,260           102,107
    Advisor management fees                           58,878           107,359
    Advisor incentive fees                           424,094           462,919
    Redemptions payable                              440,646           842,003
                                                 -----------       -----------

              Total liabilities                    1,056,827         1,607,053
                                                 -----------       -----------

PARTNERS' CAPITAL (NET ASSET VALUE)
    General Partner - 204.7556 units outstanding
       at March 31, 2001 and December 31, 2000       254,207           234,496
    Limited Partners - 18,407.2110 and
       19,143.4771 units outstanding at
       March 31, 2001 and December 31, 2000       22,852,866        21,924,059
                                                 -----------       -----------

              Total partners' capital
                  (Net Asset Value)               23,107,073        22,158,555
                                                 -----------       -----------

                                                 $24,163,900       $23,765,608
                                                 ===========       ===========



                             See accompanying notes.

                                       -3-


<PAGE>   4


                      THE FULCRUM FUND LIMITED PARTNERSHIP
                            STATEMENTS OF OPERATIONS
               For the Three Months Ended March 31, 2001 and 2000
                                   (Unaudited)
                              --------------------




                                                         Three Months
                                                             Ended
                                                           March 31,
                                                     2001              2000
                                                     ----              ----
INCOME
    Commodity trading gains
       Realized                                  $   843,162       $ 1,449,338
       Change in unrealized                        1,713,416           272,179
                                                 -----------       -----------
              Gain from commodity trading          2,556,578         1,721,517
                                                 -----------       -----------
    Fixed income securities gains (losses)
       Realized                                       99,057           (99,700)
       Change in unrealized                          (34,367)           54,030
                                                 -----------       -----------
              Gain (loss) from fixed income
                securities                            64,690           (45,670)
                                                 -----------       -----------
    Interest income                                  149,683           657,307
                                                 -----------       -----------
              Total income                         2,770,951         2,333,154
                                                 -----------       -----------
EXPENSES
    Brokerage commissions                            206,470         1,164,684
    General Partner offering fee                     160,629           423,775
    Advisor management fees                          167,462           255,683
    Advisor incentive fees                           424,094                 0
    Operating expenses                                27,017            73,629
                                                 -----------       -----------
              Total expenses                         985,672         1,917,771
                                                 -----------       -----------
              NET INCOME                         $ 1,785,279       $   415,383
                                                 ===========       ===========
A UNITS
    NET INCOME PER A UNIT
       (based on weighted average number of
       A Units outstanding during the period)                      $     26.65
                                                                   ===========
    INCREASE IN NET ASSET VALUE PER A UNIT                         $     22.59
                                                                   ===========
B UNITS
    NET INCOME PER B UNIT
       (based on weighted average number of
       B Units outstanding during the period)                      $      9.93
                                                                   ===========
    INCREASE IN NET ASSET VALUE PER B UNIT                         $     22.65
                                                                   ===========
NET INCOME PER UNIT
    (based on weighted average number of
    Units outstanding during the period)         $     93.36
                                                 ===========
    INCREASE IN NET ASSET VALUE PER UNIT         $     96.27
                                                 ===========



                             See accompanying notes.

                                       -4-


<PAGE>   5


                      THE FULCRUM FUND LIMITED PARTNERSHIP
          STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
               For the Three Months Ended March 31, 2001 and 2000
                                   (Unaudited)
                              --------------------

<TABLE>
<CAPTION>

                                                                     Partners' Capital
                                        ------------------------------------------------------------------------------
                                                 General                  Limited                      Total
                                        ----------------------   -------------------------   -------------------------
                                          Units        Amount       Units         Amount        Units        Amount
                                          -----        ------       -----         ------        -----        ------
<S>                                     <C>          <C>         <C>           <C>           <C>           <C>
Three Months Ended March 31, 2001
---------------------------------
Balances at December 31, 2000             204.7556   $ 234,496   19,143.4771   $21,924,059   19,348.2327   $22,158,555
Net income for the three months
   ended March 31, 2001                                 19,711                   1,765,568                   1,785,279
Additions                                   0.0000           0      373.9234       444,412      373.9234       444,412
Redemptions                                 0.0000           0   (1,110.1895)   (1,281,173)  (1,110.1895)   (1,281,173)
                                        ----------   ---------   -----------   -----------   -----------   -----------
Balances at March 31, 2001                204.7556   $ 254,207   18,407.2110   $22,852,866   18,611.9666   $23,107,073
                                        ==========   =========   ===========   ===========   ===========   ===========

                                                     Net Asset Value Per Unit
                                                     ------------------------
                                                     March 31,   December 31,
                                                        2001        2000
                                                        ----        ----
                                                     $1,241.52   $  1,145.25
                                                     =========   ===========
</TABLE>

<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>
Three Months Ended March 31, 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 income for the three months
    ended March 31, 2000                                 2,420       166,571                       4,931       241,461      415,383
Additions                                   0.0000           0             0    2,418.7381             0     4,252,538    4,252,538
Redemptions                              (161.0086)          0      (287,881)  (1,037.4910)            0    (1,795,228)  (2,083,109)
                                        ----------   ---------   -----------   -----------   -----------   -----------  -----------
Balances at March 31, 2000              6,209.7176   $ 174,863   $ 9,960,148   25,809.7099   $   338,979   $39,843,615  $50,317,605
                                        ==========   =========   ===========   ===========   ===========   ===========  ===========


                                                            A Units                     B Units
                                                     -----------------------   -------------------------
                                                     Net Asset Value Per Unit  Net Asset Value Per Unit
                                                     -----------------------   -------------------------
                                                     March 31,   December 31,   March 31,    December 31,
                                                       2000         1999           2000         1999
                                                       ----         ----           ----         ----
                                                     $1,632.12   $  1,609.53   $  1,556.88   $  1,534.23
                                                     =========   ===========   ===========   ===========
</TABLE>



                             See accompanying notes.

                                       -5-


<PAGE>   6


                      THE FULCRUM 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 (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 in effect prior to November
                  1, 2000, as further described in Note 3.

                  Effective January 1, 2001, A Units and B Units were converted
                  into a single Unit utilizing the Net Asset Value per B Unit on
                  December 31, 2000 of $1,145.25. The amounts reflected in the
                  financial statements assume this conversion into a single Unit
                  occurred on December 31, 2000. Accordingly, after the
                  conversion of Units, the total number of outstanding Units at
                  December 31, 2000 was 19,348.2327.

                  On October 10, 2000, the name of the Partnership was changed
                  from The Dennis Fund Limited Partnership to The Fulcrum Fund
                  Limited Partnership.

           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.







                                       -6-


<PAGE>   7


                      THE FULCRUM FUND LIMITED PARTNERSHIP
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)
                              --------------------



Note 1.    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
           (CONTINUED)
           -----------

           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. Any change in net unrealized
                  gain or loss from the preceding period is reported in the
                  statement of operations. Interest income is recorded on the
                  accrual basis.

           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.




                                       -7-


<PAGE>   8


                      THE FULCRUM FUND LIMITED PARTNERSHIP
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)
                              --------------------



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. All rebates to One Million Dollar Investors
           prior to January 1, 2001, were made by issuing additional B Units.
           Effective January 1, 2001, all rebates to One Million Dollar
           Investors are made by issuing additional 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.

Note 3.    COMMODITY TRADING ADVISORS
           --------------------------

           Effective November 1, 2000, the Partnership has advisory agreements
           with Beacon Management Corporation (USA) (Beacon) and Stonebrook
           Structured Products, LLC (Stonebrook) (the "commodity trading
           advisors"). Pursuant to the advisory agreement with Beacon, the
           Partnership pays 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 pays up to 22.5% of its
           management and incentive fees to the General Partner. Pursuant to the
           advisory agreement with Stonebrook, the Partnership pays 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
           pays the entire incentive fee to the General Partner. During the
           period November 1, 2000 to March 31, 2001, the General Partner waived
           its right to all incentive fees to which it was entitled from Beacon
           and Stonebrook; accordingly, such incentive fees were not charged to
           the Partnership and the advisor incentive fees reported in the
           statement of operations have been reduced by the amount of such
           incentive fees waived by the General Partner.







                                       -8-


<PAGE>   9


                      THE FULCRUM FUND LIMITED PARTNERSHIP
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)
                              --------------------



Note 3.    COMMODITY TRADING ADVISORS (CONTINUED)
           -------------------------------------

           Prior to November 1, 2000, the Partnership had an advisory agreement
           with Dennis Trading Group, Inc. (Dennis), a commodity trading
           advisor, pursuant to which the A Units paid 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
           received one-half of the management and incentive fees applicable to
           A Units. Pursuant to the advisory agreement, the B Units paid 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). Dennis received 3/7 of the management fee and 7/11 of
           the incentive fee applicable to B Units and the General Partner
           received 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 $5,450 and
           $39,151 during the three months ended March 31, 2001 and 2000,
           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.




                                       -9-


<PAGE>   10


                      THE FULCRUM FUND LIMITED PARTNERSHIP
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)
                              --------------------



Note 6.    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
           ------------------------------------------------

           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.

           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.    INTERIM FINANCIAL STATEMENTS
           ----------------------------

           The statement of financial condition as of March 31, 2001, and the
           statements of operations and changes in partners' capital (net asset
           value) for the three months ended March 31, 2001 and 2000, 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 March
           31, 2001, and the results of operations for the three months ended
           March 31, 2001 and 2000.







                                      -10-


<PAGE>   11


                      THE FULCRUM FUND LIMITED PARTNERSHIP
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)
                              --------------------



Note 8.    FINANCIAL HIGHLIGHTS
           --------------------

           The following information contains per unit operating performance
           data for a unit outstanding during the entire three months ended
           March 31, 2001, and other supplemental financial data. This
           information has been derived from information presented in the
           financial statements.

                                                             Three months ended
                                                               March 31, 2001
                                                                 (Unaudited)
                                                                 -----------
           PER UNIT PERFORMANCE
           (for a unit outstanding throughout the entire period)
           -----------------------------------------------------

           Net asset value per unit at December 31, 2000         $  1,145.25
                                                                 -----------

           Income from operations:
                  Net investment income *                             (32.92)
                  Net realized and change in unrealized
                    gain from trading **                              129.19
                                                                 -----------

                         Total income from operations                  96.27
                                                                 -----------

           Net asset value per unit at March 31, 2001            $  1,241.52
                                                                 ===========

           TOTAL RETURN ***                                             8.41%


           SUPPLEMENTAL DATA

           Ratio to average net assets:
                  Expenses *, +                                        14.27%
                  Net investment income *, +                          (11.53)%

           --------------------
           *      Excludes brokerage commissions
           **     Includes brokerage commissions
           ***    Not annualized
           +      Annualized







                                      -11-




<PAGE>   12



ITEM 2.    MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
           RESULTS OF OPERATIONS.

The assets of the Fulcrum Fund Limited Partnership, formerly The Dennis Fund
Limited Partnership (the "Partnership") are used to engage, directly or
indirectly, in the speculative trading of (1) commodities, futures contracts,
forward contracts, foreign exchange commitments, exchange for physicals, swap
contracts, spot (cash) commodities and other items, options on the foregoing,
and any rights pertaining to the foregoing contracts, instruments or investments
("Commodities") and (2) options, warrants, or other rights and any other
investment or transaction (together with the Commodities, "Investments") that
the Partnership's general partner, Kenmar Advisory Corp. (the "General Partner")
deems, in its sole discretion, to be consistent with the objectives of the
Partnership. From time to time, a portion of such proceeds may be used for
transactions in the cash markets or for interbank trading.

The assets of the Partnership are deposited with E.D. & F. Man International
Inc. (the "Broker") in a trading account established by the Partnership for the
commodity trading advisor and are used by the Partnership as margin to engage in
trading. Such assets are held in either a non-interest bearing bank account or
in securities approved by the Commodity Futures Trading Commission for
investment of customer funds. In addition, certain of the Partnership's assets
may also be placed in a custodian account with a cash manager to maximize the
interest earned on assets not committed as margin.

CAPITAL RESOURCES

The Partnership does not have, nor does it expect to have, any capital assets.
Redemptions and sales of units of limited partnership interest ("Units") in the
future will affect the amount of funds available for trading Investments in
subsequent periods.

There are only three factors that affect the Partnership's capital resources:
(i) the trading profit or loss generated by the Advisor (including interest
income); (ii) the money invested or redeemed by the limited partners of the
Partnership (the "Limited Partners"); and (iii) capital invested or redeemed by
the General Partner. The General Partner has maintained, and shall maintain, at
all times a capital account in such an amount, up to a total of $500,000, as is
necessary for the General Partner to maintain a one percent (1%) interest in the
capital, income and losses of the Partnership. All capital contributions by the
General Partner necessary to maintain such capital account balance shall be
evidenced by Units of general partnership interest, each of which shall have an
initial value equal to the Net Asset Value per Unit (as defined below) at the
time of such contribution. The General Partner, in its sole discretion, may
withdraw any excess above its required capital contribution without notice to
the Limited Partners. The General Partner, in its sole discretion, may also
contribute any greater amount to the Partnership, for which it shall receive, at
its option, additional Units of general partnership interest at their
then-current Net Asset Value.

"Net Asset Value" of the Partnership is defined as total assets of the
Partnership, including, but not limited to, all cash and cash equivalents,
accrued interest, earned discount, and open Commodities positions, less total
liabilities, including, but not limited to, brokerage commissions that would be
payable with respect to the closing of open Commodities positions, all as
determined in accordance with the principles set forth in the Limited
Partnership Agreement of the Partnership, dated June 18, 1996 and as amended on
December 15, 1997 (the "Partnership Agreement") or, where no such principles are
specified therein, in accordance with United States generally accepted
accounting principles applied on a consistent basis ("GAAP"). The term "Net
Asset Value per Unit" is defined in the Partnership Agreement to mean the Net
Asset Value of the Partnership divided by the number of Units outstanding as of
the date of determination.

RESULTS OF OPERATIONS

The success of the Partnership is dependent upon the ability of the Advisor to
generate trading profits through the speculative trading of Investments
sufficient to produce capital appreciation after payment of all fees and
expenses. Future results will depend in large part upon the Investment markets
in general, the performance of the Advisor, the amount of additions and
redemptions, and changes in interest rates. Due to the highly leveraged nature
of Investment trading, small price movements may result in substantial losses.
Because of the nature of these factors and their interaction, it is impossible
to predict future operating results.

The Partnership incurs substantial charges from the payment of brokerage
commissions to the Broker, management and/or incentive fees to the Advisor,
management fees, offering fees and/or incentive fees to the General Partner and
operating


                                       12


<PAGE>   13


expenses. The Partnership is required to make substantial trading profits to
avoid depletion and exhaustion of its assets from the above-mentioned fees and
expenses.

Due to the nature of the Partnership's business, the Partnership's trading
results depend on the Advisor and the ability of its individual trading system
to take advantage of price movement or other profit opportunities in the
Investment markets. The Advisor trades in various markets at different times and
prior activity in a particular market does not mean that such markets will be
actively traded by an Advisor or will be profitable in the future. Consequently,
the results of operations of the Partnership can only be discussed in the
context of the overall trading activities of the Partnership, the Advisor's
trading activities on behalf of the Partnership as a whole and how the
Partnership has performed in the past.

In 1999 and 2000, Commodity Trading Advisors and the managed futures industry as
a whole experienced their worst annualized performance since 1994.
Trend-following CTAs, such as Dennis Trading Group (DTG), the former trading
advisor for the Partnership, had a particularly difficult time owing to a marked
lack of trends in all but a few markets. In November 2000, DTG resigned as the
Advisor and was replaced by the Meka program of the Beacon Management
Corporation ("Beacon"). That replacement coincided with a shift in the market
environment as trends began to emerge throughout the global marketplace. In
fact, for many commodities trading advisors, the fourth quarter of 2000 proved
to be a very favorable period, as these trends were of sufficient magnitude and
duration to lift many trading advisors into positive territory for the year. For
the industry as a whole it was one of the strongest performance periods in
recent memory.

In general, CTAs analyze the movement of prices in the commodity and financial
futures markets to identify trends and the opportunities for profit which
accompany them. Because a CTA can take long or short positions in the futures
markets, the direction of a trend is less important than the existence of a
trend itself. Beacon or another CTA has the potential to generate profits when
prices are identified as trending downward, by going short or selling ahead of a
price decline, and when prices appear to be trending upward, by going long or
buying ahead of the rise in price. When prices are moving sideways (i.e., with
little movement up or down) or are exhibiting significant short-term volatility
(such as rapid intra-day or inter-day price swings) trends are few and far
between, and CTA profits can be flat or negative.

Some CTAs monitor long-term trends, some intermediate term, a few short-term.
Beacon's trading strategy concentrates largely on long-term trends. The globally
diversified portfolio is usually invested in all markets at all times, in
varying degrees depending on current market volatility and price trends. DTG,
the Partnership's former trading advisor, followed a strategy similar to
Beacon's. The Partnership has hired Stonebrook's Volatility Hedge Program to
mitigate risk during periods of market volatility. During 2000, DTG's trading
policy was to increase leverage in its positions at the end of a profitable day
and to decrease leverage at the end of a losing day. During much of 2000, there
were very few consecutive profitable days. This meant that in most instances
where leverage was increased at the end of a profitable day it was followed by a
losing day thus increasing the loss. Conversely, since there were very few
consecutive profitable days, on most profitable days DTG had committed the
lowest leverage thus decreasing the profit for that day. The Company also
believes that this had an adverse effect on its 2000 results.

Set forth below is a comparison of the results of operations of the Partnership
for the three-month period ended March 31, 2001 and 2000.

As of March 31, 2001, the Net Asset Value of the Partnership was $23,107,073, an
increase of approximately 4.28% from its Net Asset Value of $22,158,555 at
December 31, 2000. The Partnership's subscriptions and redemptions for the
quarter ended March 31, 2001 totaled $444,412 and $1,281,173, respectively. For
the quarter ended March 31, 2001, the Partnership had revenues comprised of
$942,219 in realized gains, $1,679,049 in change in unrealized gains and
$149,683 in interest income compared to revenues comprised of $1,349,638 in
realized gains, $326,209 in change in unrealized gains and $657,307 in interest
income for the same period in 2000. The total income for the first quarter of
2001 increased by $437,797 from the same period in 2000, while total expenses
decreased by $932,099 between these periods. The Net Asset Value per Unit
increased 8.41% from $1,145.25 at December 31, 2000 to $1,241.52 at March 31,
2001. The Partnership's positive performance for the quarter ended March 31,
2001, resulted primarily from positions in global interest rates, grains,
currencies and metals.

For the reasons described in this Management's Discussion and Analysis, past
performance is not indicative of future results. As a result, any recent
increases in net realized or unrealized trading gains may have no bearing on any
results that may be obtained in the future.




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<PAGE>   14
LIQUIDITY

Although there is no public market for the Units, a Limited Partner may redeem
its Units in the Partnership as of any month-end upon ten (10) days' written
notice to the General Partner in the form of a request for redemption.

With respect to the Partnership's trading, in general, the Advisor will trade
only Investments that have sufficient liquidity to enable it to enter and close
out positions without causing major price movements. Notwithstanding the
foregoing, most United States commodity exchanges limit the amount by which
certain commodities may move during a single day by regulations referred to as
"daily price fluctuation limits" or "daily limits." Pursuant to such
regulations, no trades may be executed on any given day at prices beyond daily
limits. The price of a futures contract has occasionally moved the daily limit
for several consecutive days, with little or no trading, thereby effectively
preventing a party from liquidating its position. While the occurrence of such
an event may reduce or effectively eliminate the liquidity of a particular
market, it will not limit ultimate losses and may in fact substantially increase
losses because of this inability to liquidate unfavorable positions. In
addition, if there is little or no trading in a particular futures or forward
contract that the Partnership is trading, whether such illiquidity is caused by
any of the above reasons or otherwise, the Partnership may be unable to execute
trades at favorable prices and/or may be unable or unwilling to liquidate its
position prior to its expiration date, thereby requiring the Partnership to make
or take delivery of the underlying interest of the Investment.

The Partnership's trading also may be impacted by the various conflicts of
interest between the Partnership and the General Partner, the Advisor,
Stonebrook, the Broker, and their affiliates.

SAFE HARBOR STATEMENT

The discussions above and under the heading "Item 3. Quantitative and
Qualitative Disclosures About Market Risk" contain certain "forward-looking
statements" (as such term is defined in Section 21E of the Securities Exchange
Act of 1934) that are based on the beliefs of the Partnership, as well as
assumptions made by, and information currently available to, the Partnership.
Words such as "expects," "anticipates" and similar expressions have been used to
identify "forward-looking statements" but are not the exclusive means of
identifying such statements. A number of important factors could cause the
Partnership's actual results, performance or achievements for 2001 and beyond to
differ materially from the results, performance or achievements expressed in, or
implied by, such forward-looking statements. These factors include, without
limitation, risk of failure by third parties to perform according to contract
terms and the factors described above and under the heading "Item 3.
Quantitative and Qualitative Disclosures About Market Risk." See "Management's
Discussion and Analysis of Financial Condition and Results of Operations - Risk
Factors" in our Annual Report on Form 10-K for the year ended December 31, 2000
for further discussion.

ITEM 3.    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

Derivative instruments involve varying degrees of off-balance sheet market risk.
Changes in the level or volatility of interest rates or foreign currency
exchange rates or the market values of the financial instruments or commodities
underlying such derivative instruments frequently result in changes in the
Partnership's unrealized profit (loss) on such derivative instruments as
reflected in the Statements of Financial Condition included herein. The
Partnership's exposure to market risk is influenced by a number of factors,
including the relationships among derivative instruments held by the
Partnership, as well as the volatility and liquidity of the markets in which the
financial instruments are traded. There has been no material change, during the
three months ended March 31, 2001, in the sources of the Partnership's exposure
to market risk.

The General Partner has procedures in place intended to control the
Partnership's exposure to market risk, although there can be no assurance that
it will, in fact, succeed in doing so. These procedures focus primarily on
monitoring the trading of the Advisor selected from time to time for the
Partnership, calculating the Net Asset Value of the Advisors' respective
Partnership accounts as of the close of business on each day and reviewing
outstanding positions for over-concentrations - both on an Advisor-by-Advisor
and an overall Partnership basis. While the General Partner will not itself
intervene in the markets to hedge or diversify the Partnership's market
exposure, the General Partner may urge the Advisor to reallocate positions, or
itself reallocate Partnership assets among different Advisors (although
typically only as of the end of a month) in an attempt to avoid
over-concentrations. However, such interventions would be unusual. Except in
cases in which it appears that an Advisor has begun to deviate from past
practice or trading policies or to be trading erratically, the General Partner's
basic risk control procedures consist of the ongoing process of Advisor
monitoring and selection, with the market risk controls being applied by the
Advisor itself.


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<PAGE>   15


                           PART II - OTHER INFORMATION

ITEM 2.    CHANGES IN SECURITIES AND USE OF PROCEEDS.

In June, 1996, the Partnership commenced a private placement of Units in
reliance on the exemptions afforded by, among others, Section 4(2) of the 1933
Act and Rule 506 of Regulation D promulgated thereunder. Units are offered
monthly at a price per Unit equal to the then-current Net Asset Value per Unit
plus a selling commission equal to 5% unless such selling commission is waived
in whole or in part. The minimum subscription is $26,250 for new investors other
than Employee Benefit Plans or $10,500 for Employee Benefit Plans and existing
Limited Partners, which amounts include selling commissions of $1,250 and $500,
respectively.

During the first quarter of 2001, 373.9234 Units were sold for a total of
$444,412.

ITEM 6.    EXHIBITS AND REPORTS ON FORM 8-K.

B.         REPORTS ON FORM 8-K.

The Partnership did not file any reports on Form 8-K during the first quarter of
2001.


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<PAGE>   16


                                   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 FULCRUM FUND LIMITED PARTNERSHIP

                                   By: Kenmar Advisory Corp., general partner

Dated: May 15, 2001        By:     /s/ Kenneth A. Shewer
                               ------------------------------------------------
                                   Kenneth A. Shewer
                                   Chairman (Duly Authorized Officer of the
                                   General Partner)


Dated: May 15, 2001        By:     /s/ Thomas J. DiVuolo
                               ------------------------------------------------
                                   Thomas J. DiVuolo
                                   Senior Vice President (Principal Financial
                                   and Accounting Officer of the Registrant)




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