You don't need to make an annual report, but the solid feeling of community comes from transparency and inclusion. Instead of keeping all figures and data locked up for your top investors only, involve your users and make them feel ownership and like they were part of the success you experienced over the past 12 months.
Again, Airbnb does a great job at this with a beautifully designed annual report.
Foursquare also did something similar when they hit 10 million users and periodically to showcase the evolution of the platform.