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WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
JUNE 29, 2001
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WORLD MONITOR TRUST II--SERIES F
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Dear Interest Holder:
Enclosed is the report for the period from May 26, 2001 to June 29, 2001 for
World Monitor Trust II--Series F ('Series F'). The net asset value of an
interest as of June 29, 2001 was $100.90, a decrease of 2.28% from the May 25,
2001 value of $103.25. The year-to-date return for Series F was a decrease of
5.61% as of June 29, 2001. Additionally, the return for the quarterly period
from March 31, 2001 to June 29, 2001 was a decrease of 10.30%.
Quarterly Market Overview
The global economy remained sluggish during the second quarter of 2001 and as a
result, U.S. and global stock markets continued their downward trend. In the
U.S., heightened concerns regarding cutbacks in industrial production and future
sales caused downward revisions of corporate earnings. Business investment and
capital spending were weak and appeared to be decreasing further, reflecting in
part the downtrend in manufacturing output. Labor demand weakened considerably
and unemployment rose. Consumer spending held up relatively well despite
deceleration in income, reduced household net worth, and deterioration in
consumer sentiment. Economic activity in foreign industrial countries
decelerated as well, due in part to softening of the U.S. economy, weakness in
world high-tech markets and the downward adjustment in global equity prices.
Expansion in Europe, the United Kingdom and Canada slowed significantly, while
the Japanese economy slowed after a brief rebound late last year. In addition,
economic growth in many developing countries softened, reflecting in part weaker
external demand. In the U.S., overall inflation, as measured by the Consumer
Price Index (CPI), increased slightly, but was held down by a deceleration in
energy prices.
As a result of weak global economies, equity markets continued to perform poorly
during most of the quarter. In April, U.S. equity markets, particularly the
NASDAQ, rallied briefly after the U.S. Federal Reserve (Fed) called an
unscheduled meeting to lower interest rates before falling once again amid
continuing softening economies and fears of weak corporate earnings. Markets
rose briefly once again in June following the U.S. Federal Reserve's 25 basis
point interest rate cut. This smaller than anticipated rate reduction seemed to
signal a cessation of the Fed's recent series of aggressive rate cuts and caused
many investors to exit the bond market and invest in equities.
Interest rate instruments trended upward throughout most of the quarter as major
central banks cut short-term interest rates in an attempt to bolster slowing
economies. The U.S. Federal Reserve cut rates three times during the quarter
lowering rates from 4.50% to 3.75%. The European Central Bank and the Bank of
England cut interest rates by 25 basis points in May. This was the third
interest rate reduction in five months for the Bank of England. Global bonds
reversed downward towards quarter-end as the Fed cut rates by only 25 basis
points, driving many investors out of interest rate instruments and into
equities.
In foreign exchange markets, the Japanese yen started the quarter strong before
weakening against the U.S. dollar and other foreign currencies. This followed a
government report that Japan's GDP shrank in the first quarter, generating fears
that the Japanese economy may be slipping into recession. The Canadian dollar
posted gains against the U.S. dollar as economic reports showed a 1.7% increase
in exports to the U.S. in June. The British pound reached a 15 year low against
the U. S. dollar in June amid concern that England would join the European
Monetary Union. The euro declined against the U.S. dollar as well, amid signs of
continuing weakness in the European economy.
Energy prices fell in response to growing inventory levels of crude oil and
related products. The American Petroleum Institute reported that the U.S.
gasoline supply had reached its highest level in two years. Swelling energy
inventories fed fears of an overall weakening demand for fuels in the slowing
global economy. Additionally, the market fell when tropical storm Allison caused
less damage along the Gulf Coast than was originally feared.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded:
Interest Rate (-): Prices of most interest rate instruments trended upward
throughout most of the quarter due to short-term interest rate cuts by major
central banks in an attempt to bolster slowing economies. Short positions in
U.S. government and euro bonds resulted in losses for Series F.
Currency (-): After a strong start, the Japanese yen declined against the U.S.
dollar and many European currencies as the Japanese economy exhibited signs of
weakness. Long Japanese yen positions resulted in losses. Short Australian
dollar positions resulted in losses in April as prices rallied following a 50
basis point interest rate cut by the Reserve Bank of Australia. The euro
declined against the U.S. dollar, Swiss franc and other foreign currencies amid
fears of weakening European economies resulting in losses for long euro
positions.
Index (-): Weak global economies and concerns regarding corporate earnings
resulted in continued poor performance in the equity markets. S&P 500, Nikkei
Dow and DAX positions resulted in losses for Series F.
Energy (-): Long crude and heating oil positions resulted in losses as
increased inventories and weakening demand drove prices downward.
Metal (-): Gold prices rallied to a ten month high in May before reversing
course amid rumors that Russia would sell a portion of its gold reserve. Long
gold positions incurred losses for Series F. Rate cuts by U.S. and European
central banks stirred fears of inflation driving metal prices higher. Short
nickel and aluminum positions resulted in losses.
The estimated net asset value per interest as of July 31, 2001 was $102.13.
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 (212) 778-1017.
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 unit 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.
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STATEMENT OF OPERATIONS
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For the period from May 26, 2001 to
June 29, 2001
Revenues:
Realized gain on commodity transactions.... $ 106,707
Change in unrealized commodity positions... (281,584)
Interest income............................ 30,441
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(144,436)
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Expenses:
Commissions................................ 58,264
Management fee............................. 19,448
Other transaction fees..................... 6,147
Other expenses............................. 8,522
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92,381
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Net loss................................... $ (236,817)
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<Table>
STATEMENT OF CHANGES IN NET ASSET VALUE
For the period from May 26, 2001 to
June 29, 2001
<Caption>
Per
Total Interest
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Net asset value at beginning of
period (99,488.107 interests)... $10,271,701 $ 103.25
Contributions..................... 518,700
Net loss.......................... (236,817)
Redemptions....................... (425,589)
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Net asset value at end of
period (100,374.538
interests)...................... $10,127,995 100.90
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Change in net asset
value per interest........................... $ (2.35)
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Percentage change.............................. (2.28)%
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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