WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
DECEMBER 29, 2000
WORLD MONITOR TRUST II--SERIES F
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Dear Interest Holder:
Enclosed is the report for the period from November 25, 2000 to December 29,
2000 for World Monitor Trust II--Series F ('Series F'). The net asset value of
an interest as of December 29, 2000 was $106.91, an increase of 1.18% from the
November 24, 2000 value of $105.66. The year-to-date return for Series F, which
commenced trading March 1, 2000, was an increase of 6.91% as of December 29,
2000. Additionally, the return for the quarterly period from September 30, 2000
to December 29, 2000 was an increase of 11.24%.
Quarterly Market Overview
In the final quarter of 2000, U.S. economic growth slowed appreciably from its
rapid pace during the first three quarters. The fourth quarter evidenced a
decrease in aggregate demand, a slowdown in industrial production and employment
rates, and a gradual increase in inflation rates. Consumer prices, as measured
by the CPI, rose considerably due to a sizeable increase in natural gas prices
and an increase in core inflation. On average, economic expansion in industrial
countries other than the U.S. slowed significantly during the fourth quarter as
well. Additionally, in the fourth quarter, economic activity appeared to have
decelerated in many developing countries.
In equity markets, mixed reports on corporate earnings together with indications
of slower growth in U.S. economic activity and uncertainty regarding energy
prices contributed to volatile markets and a sharp drop in equity prices
throughout the quarter. Technology stocks, in particular, came under severe
downward pressure from the slowdown in corporate earnings.
Negative equity performance throughout the quarter and mounting fear of a global
economic slowdown contributed to a bond market rally as investors continued
their flight to quality from the stock market. Prices of long- and short-term
interest rate instruments rose as signs of a weakening economy raised
expectations that the U.S. Federal Reserve would initiate interest rate cuts.
European debt instruments rallied amid speculation that the European Central
Bank and other Central Banks in Europe would match any interest rate cut by the
U.S. Federal Reserve. The recent strength of the euro further helped support
this rally. Japanese government bonds reached an 18-month high in November in
response to a decline in equity markets. In addition, the Bank of Japan
succumbed to pressure from the Liberal Democratic Party to cut interest rates,
further boosting bond prices.
In currency markets, the U.S. dollar moved up slightly against the euro and
other currencies early in the quarter, but the release of weaker than expected
U.S. economic data mid-quarter reversed this trend. The rapid decline in the
U.S. economy relative to Europe contributed to the weakening of the U.S. dollar,
which ended the year sharply lower against most major European currencies.
Political and economic uncertainty in Japan continued to support the U.S. dollar
against the Japanese yen. Consequently, the dollar ended the year up versus the
yen, which fell to a sixteen month low against the dollar.
The fourth quarter saw a volatile energy market with natural
gas prices reaching record highs while crude oil prices fell
precipitously. Recent below average temperatures in the Midwestern and Northern
United States coupled with historically low inventory levels contributed to the
sharp spike in natural gas prices. The resumption of Iraqi crude oil exports
helped reduce supply concerns and crude prices declined.
Soybean markets rallied sharply in November following a decision by the European
Union to ban meat based animal feed, which was expected to boost demand for
soybean meal. Germany, France and Italy were the first nations to adopt the ban
in order to contain the spread of Bovine Spongiform Encephalopathy, otherwise
known as 'mad-cow disease'.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded:
Financial (+): Mounting fears of a global economic slowdown drove prices of
interest rate instruments higher. Long positions in U.S. Treasury notes and
bonds, eurobonds and Japanese Government bonds resulted in gains.
Energy (+): Natural gas markets ended a year long uptrend surging to an all
time high in December as low supplies were strained by unusually cold
temperatures in the U.S. Long natural gas positions resulted in gains.
Currency (+): Short Japanese yen positions resulted in gains as the yen dropped
to new lows against the U.S. dollar in November and December due to concerns
regarding Japan's economic instability. Long positions in the euro, Canadian
dollar and British pound produced gains as they rose against the U.S. dollar in
response to a weakening U.S. economy.
Index (-): Most major indexes ended the quarter lower due to slowing U.S. and
global economies and lower than expected corporate earnings. Long positions in
the NASDAQ and S&P 500 indexes resulted in losses.
Metals (-): Copper prices fell in mid November as metal markets reacted
negatively to a choppy U.S. stock market and a slowing domestic economy. Long
copper positions resulted in losses.
The actual net asset value per interest as of December 31, 2000 was $106.90. The
estimated net asset value per interest as of January 26, 2001 was $103.16. Past
performance is not necessarily indicative of future results.
Should you have any questions, please contact your Prudential Securities
Financial Advisor. For account status inquiries, contact Prudential Securities
Client Services at 1-800-535-2077.
Sincerely yours,
/s/ Eleanor L. Thomas
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President and Director
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
Please note that the value which appears on your Prudential Securities statement
is an estimated value at calendar month-end. The actual value as of the last
Friday of the month is contained in this report.
<CATION>
STATEMENT OF OPERATIONS
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For the period from November 25, 2000 to
December 29, 2000
Revenues:
Realized gain on commodity transactions...... $ 395,298
Change in unrealized commodity positions..... (253,158)
Interest income.............................. 40,500
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182,640
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Expenses:
Incentive fee................................ 14,849
Commissions.................................. 44,890
Management fee............................... 15,105
Other transaction fees....................... 3,363
Other expenses............................... 11,285
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89,492
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Net gain..................................... $ 93,148
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STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from November 25, 2000 to
December 29, 2000
Per
Total Interest
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Net asset value at beginning of
period (73,855.423 interests)..... $7,803,644 $ 105.66
Contributions....................... 53,000
Net gain............................ 93,148
Redemptions......................... (23,517)
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Net asset value at end of
period (74,137.895 interests)..... $7,926,275 106.91
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Change in net asset
value per interest............................ $ 1.25
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Percentage change............................... 1.18%
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I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust II--Series F is accurate and
complete.
PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC.
/s/ Barbara J. Brooks
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by: Barbara J. Brooks
Chief Financial Officer