WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
MARCH 30, 2001
WORLD MONITOR TRUST II--SERIES F
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Dear Interest Holder:
Enclosed is the report for the period from February 24, 2001 to March 30, 2001
for World Monitor Trust II--Series F ('Series F'). The net asset value of an
interest as of March 30, 2001 was $112.48, an increase of 9.32% from the
February 23, 2001 value of $102.89. The year-to-date return for Series F was an
increase of 5.22% as of March 30, 2001.
Quarterly Market Overview
The first quarter of 2001 brought a global economic slowdown to most world
markets, characterized by negative earning reports, layoffs and low
manufacturing numbers. Investor concerns regarding earnings sparked lower equity
prices and tighter terms on credit. Consumer spending and business capital
investment decelerated markedly, partly due to decreased consumer and business
confidence. This weakening, which was especially evident in durable goods
industries, led to large cutbacks in manufacturing outputs as numerous firms
attempted to cut excess inventory. In addition, elevated energy costs drained
consumer purchasing power and added to business costs, adversely affecting
profits and stock market valuations. Except for energy prices, inflation rates
remained subdued throughout the quarter.
In light of the rapid weakening in economic expansion in recent months and
deterioration in business and consumer confidence, the U.S. Federal Reserve
followed a relatively aggressive policy, lowering rates three times during the
first quarter of 2001. The Fed's attempt to avoid recession in the U.S. included
a surprising 50 basis point cut between regularly scheduled Federal Open Market
Committee meetings for a total 150 basis point reduction for the quarter. The
Fed saw little inflation risk due to reduced pressure on resources which stemmed
from sluggish performance of the economy and relatively subdued expectations of
inflation. Other central banks followed the Fed's lead lowering interest rates
as well. In Japan, ongoing economic weakness reinforced expectations that the
Bank of Japan (BOJ) would reinstate its zero interest rate policy. While it
stopped short of directly cutting rates, in March the BOJ announced that it
would take other measures to guide rates lower. As poor corporate earnings and
weak economic data were released throughout the quarter, investors moved assets
from equity markets to fixed income, driving bond markets higher.
Equity markets performed poorly across the board during the first quarter as
foreign stock markets generally followed the downtrend of the U.S. markets.
Technology stocks led the way and the NASDAQ fell to its lowest level in nearly
two years. Losses in the Dow Jones and NASDAQ brought these indexes under the
key 10,000 and 2,000 levels, respectively, and the DAX, FTSE, CAC-40 and Nikkei
experienced similar losses.
In foreign exchange markets, the U.S. dollar rose slightly against many foreign
currencies throughout the quarter, reflecting expectations that some of those
economies might be adversely affected by slower economic growth in the United
States. Additionally, the U.S. dollar strengthened as investors around the globe
felt that it was safest in this time of economic uncertainty. The dollar also
rose versus the Japanese yen throughout the quarter, reflecting continuing
economic stagnation in Japan. The euro rose against the U.S. dollar at the
beginning of the quarter as prospects for U.S. short-term economic growth
deteriorated relative to those for Europe. Later in the quarter, the euro traded
lower against the dollar as weak economic data was released in Germany and the
European Central Bank decided to leave interest rates unchanged, which dampened
the outlook for European Union growth.
Energy prices generally remained high throughout most of the quarter. Crude oil
prices increased in January as OPEC announced a likely 5% cut in production. In
March, an agreement by OPEC members to cut production for the second time this
year was not enough to overcome concerns that slowing economies will reduce oil
consumption and prices declined slightly.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded:
Interest Rate (): Fear of a U.S. recession and falling equity prices together
with the U.S. Federal Reserve's rate reduction strategy resulted in a flight to
quality in the bond market. Bond prices soared throughout the quarter and gains
resulted from long positions in U.S. Treasury notes, eurobonds and Japanese
government bonds.
Currency (): Short Japanese yen positions resulted in gains as the yen dropped
due to continued signs of weakness in the Japanese economy and expectations that
the Bank of Japan would reinstate its zerointerest rate policy. Gains resulted
from short Australian dollar, British pound and euro positions as many foreign
currencies weakened against the U.S. dollar during the quarter.
Index (): Weakness in the U.S. economy and negative earning reports from blue
chip and technology companies caused U.S. and foreign equity markets to tumble
throughout the quarter. Short S&P 500, NASDAQ and Nikkei Dow positions resulted
in gains.
Energy (): Short energy positions resulted in losses as prices generally
remained high during the first quarter of the year. Crude oil prices moved up in
January as OPEC announced production cuts.
The estimated net asset value per interest as of April 30, 2001 was $102.64.
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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Eleanor L. Thomas
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.
STATEMENT OF OPERATIONS
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For the period from February 24, 2001 to
March 30, 2001
Revenues:
Realized gain on commodity transactions.... $ 781,122
Change in unrealized commodity positions... 192,873
Interest income............................ 37,728
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1,011,723
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Expenses:
Incentive fee.............................. 113,487
Commissions................................ 54,556
Management fee............................. 18,303
Other transaction fees..................... 4,675
Other expenses............................. 12,669
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203,690
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Net gain................................... $ 808,033
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STATEMENT OF CHANGES IN NET ASSET VALUE
For the period from February 24, 2001 to
March 30, 2001
Per
Total Interest
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Net asset value t beginning of
period (81,225.730 interests).... $ 8,357,397 $ 102.89
Contributions...................... 969,591
Net gain........................... 808,033
Redemptions........................ (120,328)
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Net asset value at end of
period (89,031.675 interests).... $10,014,693 112.48
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Change in net asset
value per interest............................ $ 9.59
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Percentage change............................... 9.32%
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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