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WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
SEPTEMBER 28, 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 September 1, 2001 to September 28,
2001 for World Monitor Trust II--Series F ('Series F'). The net asset value of
an interest as of September 28, 2001 was $110.48, an increase of 6.82% from the
August 31, 2001 value of $103.43. The year-to-date return for Series F was an
increase of 3.35% as of September 28, 2001. Additionally, the return for the
quarterly period from June 30, 2001 to September 28, 2001 was an increase of
9.49%.
We are shocked and saddened by the events of September 11th and our thoughts are
with everyone affected by the tragedy. In light of the attacks, we contacted
Series F's trading manager who reported that they continue to follow their
trading systems and function normally. Prudential Securities Futures Management
Inc., the Managing Owner of Series F, continues normal operations as well.
During this difficult period, Series F continued to provide portfolio
diversification and low correlation to traditional asset classes such as stocks
and bonds. For the month of September the S&P 500 decreased 8.17% while Series F
increased 6.82%. While we can not predict future economic activity, we remain
confident in the viability of the trading strategy within Series F.
Quarterly Market Overview
The pace of global economic activity remained slow throughout the third quarter
of 2001. Weakened business expenditure and efforts to reduce inventory resulted
in decreased manufacturing activity. Labor demand declined in most sectors and
the unemployment rate edged up to 4.9% in August. After a period of strength,
the U.S. dollar fell against most major foreign currencies, particularly the
Japanese yen, the euro and the Swiss franc. Global equity markets fell
throughout most of the quarter while short- and long-term interest rates
declined pushing bond prices higher. Consumer spending weakened slightly, but
generally remained strong through most of the quarter, supported in part by low
mortgage rates, tax rebates, declining energy prices and widespread discounting
of retail prices. Consumer confidence remained at moderately favorable levels
during the first two months of the quarter and helped moderate economic
weakness. Growth in many foreign industrial economies, including Japan and much
of Europe, weakened during the third quarter as well. Financial conditions
deteriorated markedly in Argentina and many other developing countries.
The terrorist attacks of September 11th further weakened the sluggish U.S. and
global economies. Equity markets throughout the world plunged in the week
following the attacks. The Dow Jones industrial average suffered its worst
percentage loss since the Great Depression due to uncertainty about how the
economy would perform as a result of these attacks and other threats of
terrorism. U.S. equity indexes recovered somewhat at the end of September as
interest rate cuts by the U.S. Federal Reserve and fiscal stimuli by Congress
combined to help fuel an economic rebound. Global equity markets followed suit
rebounding from earlier lows as well.
The U.S. dollar's downward trend against many foreign currencies accelerated
after September 11th. As a result of the attacks, many investors switched
exposure from the U.S. dollar to other currencies such as the Swiss franc,
British pound and euro all of which rose against the U.S. dollar.
U.S. and European interest rate instruments rose throughout most of the quarter
as data indicated persistent weakness in the U.S. economy. The U.S. Federal
Reserve lowered interest rates by 25 basis points in August in an effort to
stimulate the economy. Interest rate instruments continued to rally in the wake
of September 11th as the U.S. Federal Reserve moved to inject liquidity into the
economy, cutting interest rates 50 basis points on September 17th to 3%. This
move was soon followed by the Central Bank of Canada, the European Central Bank
and Swiss National Central Bank who also lowered their rates 0.50%.
Energy prices began the quarter low, but peaked sharply immediately after the
September 11th attacks amid worries of a potential interruption in supplies.
Energy prices soon reversed course as concerns of decreased demand caused by a
global economic recession outweighed fears of scarcity. Two weeks after the
attacks, oil prices plunged more than 12% to a 22-month low of $23 a barrel.
OPEC leaders announced that with prices within their $22 to $28 a barrel target,
they see no need to alter output and assured that there will be no disruption in
supplies.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded:
Interest rate (+): Long U.S. and European bond positions resulted in gains
throughout the quarter as many central banks lowered interest rates in an
effort to boost weakening economies.
Currency (+): Long Swiss franc, Australian dollar and Canadian dollar positions
resulted in gains for Series F as these currencies strengthened against the U.S.
dollar. The U.S. dollar continued to decline against foreign currencies after
September 11th as investors sought to decrease their exposure to the dollar.
Index (+): The attacks on September 11th further weakened slowing global
economies and declining equity markets. Short positions in the Nikkei Dow,
London FTSE and Euro DAX index resulted in gains for Series F.
Metal (+): Short copper and aluminum positions resulted in gains as fears of a
global economic recession and decreasing industrial production lowered prices
of industrial commodities.
Energy (-): Energy prices fell from their September 11th peak on concerns that
demand will wane due to weakening global economies. Long heating and crude oil
positions resulted in losses.
The estimated net asset value per interest as of October 29, 2001 was $112.99.
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.
STATEMENT OF OPERATIONS
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For the period from September 1, 2001 to
September 28, 2001
Revenues:
Realized gain on commodity transactions......... $ 894,585
Change in unrealized commodity positions........ (107,945)
Interest income................................. 25,341
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811,981
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Expenses:
Commissions..................................... 51,467
Management fee.................................. 17,188
Other transaction fees.......................... 7,136
Other expenses.................................. 7,224
Incentive fee................................... 225
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83,240
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Net gain........................................ $ 728,741
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STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from September 1, 2001 to
September 28, 2001
Per
Total Interest
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Net asset value at beginning of period
(101,550.162 interests).............. $10,503,839 $ 103.43
Contributions......................... 222,600
Net gain.............................. 728,741
Redemptions........................... (151,350)
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Net asset value at end of
period (102,313.715 interests)....... $11,303,830 110.48
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Change in net asset
value per interest................................ $ 7.05
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Percentage change.................................. 6.82%
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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