A SUPPLEMENT TO THIS PROSPECTUS IS AFFIXED AT THE END OF THE PROSPECTUS.
THE SUPPLEMENT UPDATES THE FINANCIAL INFORMATION AND CERTAIN OTHER
INFORMATION CONTAINED IN THE PROSPECTUS, AND SHOULD BE READ TOGETHER WITH
THE PROSPECTUS AS ONE DOCUMENT.
WORLD MONITOR TRUST
Series B and Series C
PROSPECTUS SUPPLEMENT TO THE PROSPECTUS DATED APRIL 16, 2001.
______________________________________
This Supplement contains certain information which modifies and/or updates
information set forth in the prospectus, including:
PART ONE: CFTC DISCLOSURE DOCUMENT
* Introduction. See page 1.
* Revised Projected Twelve-Month Break-Even Analysis. See page 1.
* Past Performance of the Trust. See page 3.
* Past Performance of Series B. See page 4.
* Past Performance of Series C. See page 6.
* Series B. See page 8.
* Series C. See page 15.
* Description of the Trust, Trustee, Managing Owner and Affiliates.
See page 24.
PART TWO: CFTC STATEMENT OF ADDITIONAL INFORMATION
* How Managed Futures Fit Into a Portfolio. See page 31.
THE PROSPECTUS AND THIS SUPPLEMENT SHOULD BE DELIVERED
AND READ AS ONE DOCUMENT.
The date of this Supplement is December 19, 2001
INTRODUCTION
Unless noted herein, the disclosure in the prospectus remains materially
accurate. Unless otherwise defined, all capitalized terms have the same
meaning in this Supplement as they do in the prospectus. Unless otherwise
stated herein, page numbers referred to herein refer to pages of this
Supplement.
______________________________________
REVISED PROJECTED TWELVE-MONTH BREAK-EVEN ANALYSIS
The Projected Twelve-Month Break-Even Analysis on page 14 of the prospectus
(including the introduction thereto and the accompanying footnotes) is
replaced in its entirety with the revised Projected Twelve-Month Break-Even
Analysis on the following page.
1
Projected Twelve-Month Break-Even Analysis
The following is the projected twelve-month break-even analysis for each
series after taking into account all fees and expenses (other than advisory
incentive fees and extraordinary expenses which are impossible to predict).
This analysis is expressed both as a dollar amount and as a percentage
of a $5,000 initial investment:
SERIES B SERIES C
Dollar Percentage Dollar Percentage
Description of Charges Break-Even Break-Even Break-Even Break-Even
Brokerage Fees $ 387.50 7.75% $ 387.50 7.75%
Advisory Management Fees $ 100.00 2.00% $ 100.00 2.00%
Advisory Incentive Fees(1) - - - -
Total $ 487.50 9.75% $ 487.50 9.75%
Less Estimated Interest
Income(2) ($125.00) (2.50)% ($125.00) (2.50)%
Estimated 12-Month
Break-Even Level Without
Redemption Charges(3)(5) $ 362.50 7.25% $ 362.50 7.25%
Redemption Charges(4) $ 150.00 3.00% $ 150.00 3.00%
Estimated 12-Month
Break-Even Level After
Redemption Charges(5) $ 512.50 10.25% $ 512.50 10.25%
_________________
1. Advisory incentive fees are only paid on new high net trading profits.
New high net trading profits are determined after deducting brokerage
and advisory management fees and do not include interest income.
Each series could pay advisory incentive fees in years in which the
series breaks even, or even loses money, due to the quarterly, rather
than annual, nature of such fees. However, Series C will not pay any
advisory incentive fees until Northfield Trading recoups $4,807,000
in losses incurred by Series C under the previous trading advisor; as
of November 30, 2001, $2,866,472 remains to be recouped before Northfield
Trading will begin to earn advisory incentive fees.
2. Each series is credited with 100% of the interest income earned on that
series' assets, currently estimated to be 2.50% per annum.
3. A redemption fee of 4% is assessed on an interest redeemed on or before
the end of the sixth full month after the effective date of its purchase.
A redemption fee of 3% is assessed on an interest redeemed after the
end of the sixth, but on or before the end of the 12th, full month after
its purchase. Redemption fees are not charged if you effect an exchange
or if you invest your redemption proceeds concurrently in another fund
sponsored by the managing owner.
4. Because this break-even analysis is a 12-month computation, only the
3% redemption fee, which is imposed at the end of the 12-month period,
is used.
5. If this break-even analysis was separately computed for a $2,000 initial
IRA account investment, the break-even percentages of 7.25% (without
redemption charges) and 10.25% (after redemption charges) would be
equally applicable to that investment.
2
PAST PERFORMANCE OF THE TRUST
Set forth hereafter in summary form is the actual performance of each
of Series B and Series C from the start of trading on June 10, 1998 through
November 30, 2001, along with a discussion and analysis by the managing
owner of each series' performance.
The information in the capsules has not been audited. However, the
managing owner represents and warrants that the capsules are accurate in
all material respects. It should not be assumed that each series will
experience results in the future that are comparable to the results
experienced to date.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
3
Past Performance of Series B
Capsule Performance of World Monitor Trust - Series B
Commodity Trading Advisor: Eclipse Capital
Rates of Return
(Computed on a Daily Basis)
Month 2001 2000 1999 1998
January 0.31% 0.59% (2.50)%
February (1.64) (6.62) 3.03
March 2.55 2.93 2.68
April (8.86) (4.86) 4.37
May (0.98) 4.50 0.28
June 1.02 (3.63) 2.74 (2.22)%
July (4.23) (6.22) 1.83 (3.63)
August (0.10) (2.74) 1.00 10.80
September 5.54 (7.08) 1.48 4.94
October 5.58 (0.99) (4.36) 1.18
November (11.46) 13.46 (0.95) (2.31)
December 13.63 (0.96) 3.39
Annual/YTD (12.93)% 0.20% 8.62% 11.98%
4
Name of Pool: World Monitor Trust - Series B
Type of Pool: Publicly-Offered
Start Date: June 1998
Aggregate subscriptions: $29,735,042 (as of November 30, 2001)
Current net asset value
per interest: $106.11 (as of November 30, 2001)
"Draw-down" means losses experienced by World
Monitor Trust - Series B over a specified
period.
Largest monthly draw-down: (11.46)% November 2001
"Largest monthly draw-down" means the greatest
percentage decline in Net Asset Value due to
losses sustained by World Monitor Trust -
Series B from the beginning to the end of a
calendar month.
Largest peak-to-valley
draw-down: (27.08)% October 1999 to October 2000
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value of World Monitor
Trust - Series B due to losses sustained during
a period in which the initial month-end Net
Asset Value of World Monitor Trust - Series B
is not equaled or exceeded by a subsequent
month-end Net Asset Value of World Monitor
Trust - Series B.
"Rate of Return" is calculated daily by dividing
net performance by beginning equity. The daily
returns are then compounded to arrive at the
rate of return for the month, which is in
turn compounded to arrive at the rate of return
for the year to date.
Past Performance Is Not Necessarily Indicative Of Future Results
As of November 30, 2001 gross sales of, and exchanges into, Series B
limited interests since Series B interests were first offered were $29,735,042,
and $3,264,958 worth of limited interests remain available for sale pursuant
to the prospectus. The managing owner has contributed $287,394 for its
interests. Redemptions of Series B limited interests from June 10, 1998
(commencement of operations) through November 30, 2001 were $13,587,362.
As of November 30, 2001, Series B reported a net asset value of $106.11,
an increase of 6.11% from the initial net asset value of $100.00. The Zurich
Fund/Pool Qualified Universe Index return for the June 1998 through
November 30, 2001 period was 19.63%. The Zurich Fund/Pool Qualified Universe
Index is the dollar weighted, total return of all commodity pools tracked
by Managed Account Reports ("MAR").
Management's Discussion And Analysis Of Financial Condition And Results
Of Operations - Series B
Please turn to page 26 of the prospectus for Management's Discussion And
Analysis Of Financial Condition And Results Of Operations for Series B for
the period from June 10, 1998, the commencement of operations, through
December 31, 2000.
Series B filed quarterly reports on Form 10-Q with the Securities and
Exchange Commission (the "SEC") for the quarterly periods ended March 30,
2001, June 29, 2001 and September 28, 2001 on May 11, 2001, August 10, 2001
and November 9, 2001, respectively. Each of these quarterly reports
contained a "Management's Discussion And Analysis Of Financial Condition
And Results Of Operations" section for the applicable period. Each quarterly
report can be viewed on the SEC's internet website, located on the internet
at www.sec.gov, by following the instructions to retrieve documents from
the EDGAR Archives section of the EDGAR database. Enter the number 0001051823
as the search keywords in the searchable index, and then click on the
desired quarterly report. If you do not have access to the internet, or
prefer not to retrieve a specific filing off of the internet, a copy of
each quarterly report can be requested from the SEC by calling the SEC's
Public Reference Office at 202-942-8090.
5
Past Performance of Series C
Capsule Performance of World Monitor Trust - Series C
Commodity Trading Advisor: Northfield Trading *
Rates of Return
(Computed on a Daily Basis)
Month 2001 2000 1999 1998
January (2.44)% 0.13% (1.46)%
February (2.95) (14.56) 2.83
March 6.71 (8.87) (0.61)
April (2.26) 1.87 5.32
May (3.71) (6.38) 0.59
June (3.00) (6.08) 0.98 (3.42)%
July (0.30) 0.57 (0.27) (2.43)
August 6.18 0.58 (1.78) 9.27
September 0.12 0.53 (1.88) 2.84
October 2.84 0.59 (8.29) (0.80)
November (16.40) 17.14 (1.82) (6.70)
December 16.15 (1.22) 6.33
Annual/YTD (15.95)% (2.81)% (7.90)% 4.22%
* Northfield Trading did not begin trading the Series C assets until
November 13, 2000. The past performance of Series C shown in this capsule
through June 2000, is attributable to the previous trading advisor, which
ceased trading the Series C assets as of June 7, 2000. From June 7 until
November 12, 2000, the Series C assets earned interest at the 13-week U.S.
Treasury bills discount rate while Series C replaced the prior trading
advisor.
Name of Pool: World Monitor Trust - Series C
Type of Pool: Publicly-Offered
Start Date: June 1998
Aggregate subscriptions: $23,449,565 (as of November 30, 2001)
Current net asset value
per interest: $78.40 (as of November 30, 2001)
"Draw-down" means losses experienced by
World Monitor Trust - Series C over a specified
period.
Largest monthly draw-down: (16.40)% November 2001
"Largest monthly draw-down" means the greatest
percentage decline in net asset value due to
losses sustained by World Monitor Trust - Series
C from the beginning to the end of a calendar
month.
Largest peak-to-valley
draw-down: (40.30)% July 1999 to June 2000
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value of World Monitor
Trust - Series C due to losses sustained during
a period in which the initial month-end Net Asset
Value of World Monitor Trust - Series C is not
equaled or exceeded by a subsequent month-end
Net Asset Value of World Monitor Trust - Series C.
"Rate of Return" is calculated daily by dividing
net performance by beginning equity. The daily
returns are then compounded to arrive at the
rate of return for the month, which is in turn
compounded to arrive at the rate of return for
the year to date.
Past Performance Is Not Necessarily Indicative Of Future Results
6
Series C began trading on June 10, 1998 under the direction of Hyman Beck.
As of June 7, 2000, Hyman Beck ceased to be the trading advisor for Series C,
and from that date through November 12, 2000 the Series C assets earned
interest at the 13-week U.S. Treasury bills discount rate. The managing owner
retained Northfield Trading as the new trading advisor for Series C, and
Northfield Trading began trading the Series C assets on November 13, 2000.
As of November 30, 2001, gross sales of, and exchanges into, Series C
limited interests since Series C interests were offered were $23,449,565, and
$9,550,435 remain available for sale pursuant to the prospectus. The managing
owner has contributed $256,797 for its interests. Redemptions of Series C
limited interests from June 10, 1998 (commencement of operations) through
November 30, 2001 were $10,234,758. As of November 30, 2001, Series C reported
a net asset value of $78.40, a decrease of 21.60% from the initial net asset
value of $100.00. (As previously discussed on page 5, the Zurich Fund/Pool
Qualified Universe Index return, as tracked by MAR, for the June 1998
through November 30, 2001 was 19.63%.)
Management's Discussion And Analysis Of Financial Condition And Results Of
Operations - Series C
Please turn to page 30 of the prospectus for Management's Discussion And
Analysis Of Financial Condition And Results Of Operations for Series C for
the period from June 10, 1998, the commencement of operations, through
December 31, 2000.
Series C filed quarterly reports on Form 10-Q with the SEC for the
quarterly periods ended March 30, 2001, June 29, 2001 and September 28, 2001
on May 11, 2001, August 10, 2001 and November 9, 2001, respectively. Each of
these quarterly reports contained a "Management's Discussion And Analysis
Of Financial Condition And Results Of Operations" section for the applicable
period. Each quarterly report can be viewed on the SEC's internet website,
located on the internet at www.sec.gov, by following the instructions to
retrieve documents from the EDGAR Archives section of the EDGAR database.
Enter the number 0001051824 as the search keywords in the searchable index,
and then click on the desired quarterly report. If you do not have access
to the internet, or prefer not to retrieve a specific filing off of the
internet, a copy of each quarterly report can be requested from the SEC
by calling the SEC's Public Reference Office at 202-942-8090.
7
SERIES B
Eclipse Capital is allocated 100% of the Series B assets.
Eclipse Capital's Trading Systems
The following updates the information found under this heading on
pages 34 to 37 of the prospectus.
Global Monetary Program Contracts And Markets
EUREX DAX
EUREX Euribor
EUREX Euro Bund
EUREX Euro Bobl
EUREX Euro Schatz
HKFE Hang Seng
LIFFE Short Sterling
LIFFE Long Gilt
LIFFE Euroswiss
LIFFE FTSE 100
LIFFE Euribor
LIFFE Japanese Government Bond
LME Copper
LME Aluminum
LME Zinc
LME Nickel
MONEP CAC 40
MONT Canadian Bond
MONT Canadian Bank Bills
OSE Nikkei
SFE Australian Bank Bills
SFE Australian 3-Year Bond
SFE Australian 10-Year Bond
SFE All-Ordinaries
SIMEX Euroyen
SIMEX Nikkei
SIMEX Japanese Bond
TIFFE Euroyen
TSE Japanese Bond
CBOT US 30-Year Bond
CBOT US 10-Year Note
CBOT US 5-Year Note
CBOT US 2-Year Note
CME Eurodollar
CME S&P 500
CME Mini S&P 500
CME NASDAQ 100
CME NASDAQ 100 Mini
COMEX Gold
COMEX Silver
NYMEX Crude Oil
NYMEX Natural Gas
NYMEX Heating Oil
NYMEX Unleaded Gas
IPE brent crude oil
Australian Dollar
British Pound
Canadian Dollar
Euro
New Zealand Dollar
Japanese Yen
Swiss Franc
Aus Dollar/Japanese Yen
Aus Dollar/New Zealand Dollar
British Pound/Japanese Yen
British Pound/Swiss Franc
Euro/British Pound
Euro/Japanese Yen
Swiss Franc/Japanese Yen
8
Volume of Trading for Eclipse Capital Contracts and Markets
Following is a bar graph showing the sectors that are traded by Eclipse
Capital as of October 31, 2001. Investor funds are exposed to these sectors
in approximately the percentage allocations stated. Actual allocations will
change as market conditions and trading opportunities change, and it is
likely that the targeted risk allocations may vary for Series B during future
periods.
Global Monetary Program Allocation:
Interest Rate Instruments 40%
Currencies 30
Stock Indices 15
Precious & Base Metals 5
Energy Products 10
Total 100%
(GRAPH)
PLEASE TURN TO THE FOLLOWING PAGE
9
Eclipse Capital's Past Performance For All Of Its Clients
The following updates the information found under this heading on
pages 38 to 42 of the prospectus.
Capsule summaries B(1) through B(4) contain actual performance for the
periods indicated.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Global Monetary Program
The following is a capsule summary of the (estimated) past performance
for Eclipse Capital's Global Monetary Program, the program pursuant to which
Series B assets are traded, as of October 31, 2001.
As of October 31, 2001
Name of CTA: Eclipse Capital
Program: Global Monetary Program
Start Date: April 1986 (All trading by Eclipse Capital)
August 1990 (Eclipse Capital Global Monetary
Program)
No. Accounts: 12
Aggregate $$ in All Programs: $278,818,109 (All Programs excluding Notional)
$298,715,858 (All Programs including Notional)
$$ in this Program: $278,818,109 (Global Monetary Program excluding
Notional)
$298,715,858 (Global Monetary Program including
Notional)
Largest monthly draw-down: (11.95)% April 1998
"Largest monthly draw-down" means the greatest
decline in month-end Net Asset Value due to
losses sustained by the Global Monetary Program
on a composite basis or an individual account
for any particular month.
Largest peak-to-valley
draw-down: (34.47)% September 1999 to October 2000
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value due to losses
sustained by the Global Monetary Program on
a composite basis or an individual account
during any period in which the initial
month-end Net Asset Value is not equaled or
exceeded by a subsequent month-end asset value.
Closed Accounts: Profitable = 27
Unprofitable = 16
CAPSULE B(1) - ECLIPSE CAPITAL GLOBAL MONETARY PROGRAM
MONTHLY/ANNUAL RATES OF RETURN
MONTH 2001 2000 1999 1998 1997 1996
January 0.63% 0.87% (2.57)% 1.66% 2.07% 5.45%
February (1.43) (6.10) 3.27 (3.12) (0.41) (0.07)
March 2.63 3.29 2.92 (0.63) 1.67 (0.30)
April (7.35) (4.25) 4.64 (10.67) (4.93) 5.58
May (0.29) 4.53 0.44 2.81 4.01 1.96
June 1.56 (3.28) 3.12 (2.19) 0.34 0.11
July (3.72) (6.56) 2.35 (3.46) 8.80 0.58
August 0.38 (1.57) 1.49 13.15 (2.21) 3.04
September 5.97 (7.34) 1.50 6.02 5.00 2.77
October 6.01 (0.70) (4.30) 1.78 (0.78) 3.51
November 14.25 (0.45) (2.33) (1.63) 7.03
December 14.12 (0.37) 3.79 3.66 (2.19)
ANNUAL YTD 3.71% 4.51% 12.30% 5.03% 15.93% 30.68%
Past Performance Is Not Necessarily Indicative Of Future Results
10
Capsules B(2) through B(4) represent the customer accounts traded by
Eclipse Capital pursuant to different trading strategies from those utilized
by Series B.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Global Yield Program
(Not open to new investment)
As of October 31, 2001
Name of commodity trading
advisor: Eclipse Capital
Program: Global Yield Program
Start Date: April 1986 (All trading by Eclipse Capital)
April 1992 (Eclipse Capital Global Yield Program)
No. Accounts: 0
Aggregate $$ in All Programs: $278,818,109 (All Programs excluding Notional)
$298,715,858 (All Programs including Notional)
$$ in this Program: $0 (Global Yield Program including Notional)
Largest monthly draw-down: (7.47)% April 1998
"Largest monthly draw-down" means the greatest
decline in month-end net asset value due to
losses sustained by the Global Yield Program
on a composite basis or an individual account
for any particular month.
Largest peak-to-valley
draw-down: (17.45)% January 1998 to July 1998
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to losses
sustained by the Global Yield Program on a
composite basis or an individual account during
any period in which the initial month-end net
asset value is not equaled or exceeded by a
subsequent month-end net asset value.
Closed Accounts: Profitable = 7
Unprofitable = 7
CAPSULE B(2) - ECLIPSE GLOBAL YIELD PROGRAM ANNUAL RATES OF RETURN
2001 2000 1999 1998 1997 1996
ANNUAL -- -- (2.85)% (1.86)% 7.26% 15.21%
Past Performance Is Not Necessarily Indicative Of Future Results
11
Financial Futures Account
(Not open to new investment)
As of October 31, 2001
Name of commodity trading advisor: Eclipse Capital
Program: Financial Futures Account
Start Date: April 1986 (All trading by Eclipse Capital)
April 1986 (Eclipse Capital Financial
Futures Account)
No. Accounts: 0
Aggregate $$ in All Programs: $278,818,109 (All Programs excluding
Notional)
$298,715,858 (All Programs including
Notional)
$$ in this Program: $0 (Financial Futures Account)
Largest monthly draw-down: (20.91)% October 1994
"Largest monthly draw-down" means the
greatest decline in month-end net asset
value due to losses sustained by a trading
portfolio on a composite basis or an
individual account for any particular
month.
Largest peak-to-valley draw-down: (69.20)% February 1989 to April 1992
"Largest peak-to-valley draw-down" means
the greatest cumulative percentage decline
in month-end net asset value due to losses
sustained by a trading portfolio on a
composite basis or an individual account
during any period in which the initial
month-end net asset value is not equaled
or exceeded by a subsequent month-end
asset value.
Closed Accounts: Profitable = 99
Unprofitable = 314
CAPSULE B(3) - FINANCIAL FUTURES ACCOUNT ANNUAL RATES OF RETURN
2001 2000 1999 1998 1997 1996
(6 months)
ANNUAL -- -- -- -- -- 4.41%
Past Performance Is Not Necessarily Indicative Of Future Results
12
Diversified Strategies Program
(Not open to new investment)
As of October 31, 2001
Name of commodity trading advisor: Eclipse Capital
Program: Diversified Strategies Program
Start Date: April 1986 (All trading by Eclipse Capital)
March 1997 (Eclipse Capital Diversified
Strategies Program)
No. Accounts: 0
Aggregate $$ in All Programs: $278,818,109 (All Programs excluding
Notional)
$298,715,858 (All Programs including
Notional)
$$ in this Program: $0 (Diversified Strategies Program
including Notional)
Largest monthly draw-down: (10.96)% September 2000
"Largest monthly draw-down" means the
greatest decline in month-end net asset
value due to losses sustained by the
Diversified Strategies Program on a
composite basis or an individual account
for any particular month.
Largest peak-to-valley draw-down: (27.07)% September 1999 to September 2000
"Largest peak-to-valley draw-down" means
the greatest cumulative percentage decline
in month-end net asset value due to losses
sustained by the Diversified Strategies
Program on a composite basis or an
individual account during any period in
which the initial month-end net asset
value is not equaled or exceeded by a
subsequent month-end asset value.
Closed Accounts: Profitable = 0
Unprofitable = 1
CAPSULE B(4) - ECLIPSE DIVERSIFIED STRATEGIES PROGRAM ANNUAL RATES OF RETURN
2001 2000 1999 1998 1997
(9 months) (10 months)
ANNUAL -- (23.91)% 14.68% 24.12% 5.38%
Past Performance Is Not Necessarily Indicative Of Future Results
13
Notes to Eclipse Capital Performance Summaries
The following notes refer to Capsules B(1) through B(4).
In the preceding performance summaries, Assets Under Management (excluding
Notional) represent the total actual equity (including cash and cash
equivalents) deposited in the accounts at the carrying FCM plus committed
funds.
Assets Under Management (including Notional) represent the total actual
equity (including cash and cash equivalents) deposited in the accounts at
the carrying FCM plus committed funds plus Notional funds.
Largest Monthly Draw-Down is the largest monthly loss experienced by
any single account in the relevant program in any calendar month expressed
as a percentage of the total equity in such account in the program and
includes the month and year of such draw-down. Largest Peak to Valley
Draw-Down is the largest calendar month-end to calendar month-end loss
experienced by any single account in the program expressed as a percentage
of total equity (including Notional equity) in such account in the program.
Prior to August 1, 1996, Monthly Rate of Return is calculated by dividing
net performance by the sum total of the starting equity plus the time-weighted
additions minus the time-weighted withdrawals for the period. Beginning in
1994, additions and withdrawals made other than at the beginning of the month
are time-weighted. Time weight is calculated by multiplying an addition by
the number of days in the period it was available for trading and/or a
withdrawal by the number of days in the period it was not available for
trading, and dividing by the total number of days in the period. Prior to
August 1, 1996, the time weighting of additions and withdrawals method yields
the same Rates of Return as the Fully-Funded Subset Method (described below),
because Eclipse Capital did not manage Notional funds prior to August 1, 1996.
For the periods beginning after August 1, 1996, Eclipse Capital has
adopted a new method of computing rate-of-return and performance disclosure,
referred to as the Fully-Funded Subset method, pursuant to an Advisory
published by the CFTC. The Fully-Funded Subset refers to that subset of
accounts included in the applicable composite which is funded entirely by
Actual Funds (as defined in the Advisory). To qualify for use of the
Fully-Funded Subset method, the Advisory requires that certain computations
be made in order to arrive at the Fully-Funded Subset and that the accounts
for which performance is so reported meet two tests which are designed
to provide assurance that the Fully-Funded Subset and the resultant Rates
of Return are representative of the trading program. Eclipse Capital
has performed these computations for periods subsequent to August 1, 1996.
Annual Rate of Return is calculated by dividing the change in the net
asset value of a hypothetical $1,000 investment (VAMI) during the period
by the VAMI at the beginning of the period or at the commencement of trading.
VAMI is calculated by multiplying (1 plus the period rate of return %) times
the prior period value of a hypothetical $1,000 investment (VAMI).
14
SERIES C
Northfield Trading has been allocated 100% of Series C assets since
November 13, 2000.
Northfield Trading and Its Principals
The following updates the information found under this heading on pages 43
to 44 of the prospectus.
Jon Siegel, Director of Business Development, graduated from Yale College
with a B.A. in Economics. He joined Northfield Trading in January 2001 with
over 20 years' experience in the financial services industry. Just prior
to joining Northfield Trading, he served as Managing Director of ING Barings
where he was the Co-Head of Alternative Investment Consulting. Mr. Siegel
founded and managed Tricon Advisory Services, a Broker/Dealer and FCM. His
previous experience also includes 5 years with Daiwa Securities as Executive
Vice President and Head of its Derivatives and Foreign Exchange division,
and management positions with Geldermann and E.F. Hutton.
Northfield Trading's Trading Systems
The following updates the information found under this heading on pages 44
to 46 of the prospectus.
Additional Northfield Trading Programs
Northfield Trading offers two trading programs in addition to the
Diversified Program: the Northfield/SITE Global Stock Index Program and
the Alliance Program. These programs are not used in Series C's trading.
15
The Diversified Program: Volume Of Trading For Northfield Trading
Contracts And Markets
Set forth below is a bar graph showing the sectors that are traded by
Northfield Trading as of October 31, 2001. Investor funds are exposed
to these sectors in approximately the percentage allocations stated.
Actual allocations change as market conditions and trading opportunities
change, and it is likely that the targeted risk allocations may vary for
Series C during future periods.
The Diversified Program Allocation:
Interest Rate Instruments 55%
Stock Indices 13
Currencies 25
Energy Products 5
Softs 2
Total 100%
(GRAPH)
PLEASE TURN TO THE FOLLOWING PAGE
16
Northfield Trading's Past Performance For All Of Its Clients
The following updates the information found under this heading on pages 47
to 49 of the prospectus.
Capsule summaries C(1) through C(4) contain actual performance for the
periods indicated.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Diversified Program
(Based on the Fully-Funded Subset)**
As of October 31, 2001
Name of CTA: Northfield Trading L.P.
Program: Diversified Portfolio
Start Date: March 1991 (All trading by Northfield Trading)
March 1991 (Diversified Portfolio)
No. of Accounts: 35
Aggregate $$ in All Programs: $ 97,388,935 (All Programs excluding Notional)
$208,424,553 (All Programs including Notional)
$$ in this Program: $ 86,195,337 (Diversified Portfolio excluding
Notional)
$179,165,190 (Diversified Portfolio including
Notional)
Largest monthly draw-down: (4.9)% January 1999
"Largest monthly draw-down" means the greatest
decline in month-end Net Asset Value due to
losses sustained by a diversified portfolio
on a composite basis or an individual account
for any particular month.
Largest peak-to-valley
draw-down: (12.1)% February 1997 to July 1998
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value due to losses
sustained by a diversified portfolio on a
composite basis or an individual account during
any period in which the initial month-end Net
Asset Value is not equaled or exceeded by a
subsequent month-end Net Asset Value.
Closed Accounts: Profitable = 56
Unprofitable = 64
** The Fully-Funded Subset refers to the subset of accounts included in
the applicable composite which is funded entirely by actual funds. A CFTC
Advisory on use of the Fully-Funded Subset method for calculating rate of
return requires that certain computations be made in order to arrive at the
Fully-Funded Subset and that the accounts for which performance is so
reported meet two tests designed to provide assurance that the Fully-Funded
Subset and the resultant rates of return are representative of the trading
program. Northfield Trading has performed these computations.
17
CAPSULE C(1) - DIVERSIFIED PORTFOLIO ANNUAL RATES OF RETURN
(Based on the Fully-Funded Subset)**
2001 2000 1999 1998 1997 1996
January (1.7)% 4.2% (4.9)% (0.7)% 2.4% 3.7%
February (2.3) (2.0) (1.4) (2.4) 1.9 (2.1)
March 4.8 0.3 0.9 (1.5) (0.5) 5.5
April (1.7) (1.7) 5.7 (4.8) (2.7) 5.4
May (2.8) (3.0) (2.1) (0.3) 3.0 0.1
June (2.0) (4.7) 4.2 0.2 (2.6) (1.4)
July (0.5) (1.4) 3.8 (1.5) 2.4 0.6
August 4.4 3.3 0.5 11.2 (1.3) (0.1)
September (0.4) 1.8 1.4 4.2 0.5 2.1
October 2.4 3.7 4.9 (2.0) (2.2) 2.6
November 4.2 0.5 5.3 (0.4) 3.0
December 9.1 (0.2) 0.3 2.3 (2.1)
Annual/YTD (0.4)% 13.9% 13.5% 7.0% 2.5% 18.4%
Past Performance Is Not Necessarily Indicative Of Future Results
** The Fully-Funded Subset refers to the subset of accounts included in the
applicable composite which is funded entirely by actual funds. A CFTC
Advisory on use of the Fully-Funded Subset method for calculating rate of
return requires that certain computations be made in order to arrive at the
Fully-Funded Subset and that the accounts for which performance is so
reported meet two tests designed to provide assurance that the Fully-Funded
Subset and the resultant rates of return are representative of the trading
program. Northfield Trading has performed these computations.
CONVERSION CHART FOR CAPSULE C(1)
The following chart shows the rates of return which accounts at various
levels of partial funding may have achieved based upon Northfield Trading's
actual rates of return during the years 1996 to October 2001.
Level of Funding
100% 70% 50% 40% 20%
2001 (0.4)% (0.5)% (0.8)% (1.0)% (1.9)%
2000 13.9 19.9 27.8 34.8 70.0
1999 13.5 19.3 27.0 33.8 67.5
1998 7.0 10.0 14.0 17.5 35.0
1997 2.5 3.6 5.0 6.3 12.5
1996 18.4 26.3 36.8 46.0 92.0
18
Capsules C(2) through C(4) represent the customer accounts traded by
Northfield Trading pursuant to a different trading strategy from the one
utilized by Series C.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Northfield/SITE Global Stock Index Program
(Based on the Fully-Funded Subset)**
As of October 31, 2001
Name of CTA: Northfield Trading L.P.
Program: Northfield/SITE Global Stock Index Program
Start Date: March 1991 (All trading by Northfield Trading)
April 2001 (Northfield/SITE Global Stock
Index Program)
No. of Accounts: 16
Aggregate $$ in All Programs: $ 97,388,935 (All Programs excluding Notional)
$208,424,553 (All Programs including Notional)
$$ in this Program: $11,193,598 (Global Stock Index Program
excluding Notional)
$29,259,363 (Global Stock Index Program
including Notional)
Largest monthly draw-down: (5.5)% October 2001
"Largest monthly draw-down" means the greatest
decline in month-end Net Asset Value due to
losses sustained by a diversified portfolio
on a composite basis or an individual account
for any particular month.
Largest peak-to-valley
draw-down: (5.5%) September 2001 to October 2001
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value due to losses
sustained by a diversified portfolio on a
composite basis or an individual account
during any period in which the initial
month-end Net Asset Value is not equaled or
exceeded by a subsequent month-end Net Asset
Value.
Closed Accounts: Profitable = 0
Unprofitable = 0
** The Fully-Funded Subset refers to the subset of accounts included in the
applicable composite which is funded entirely by actual funds. A CFTC
Advisory on use of the Fully-Funded Subset method for calculating rate
of return requires that certain computations be made in order to arrive
at the Fully-Funded Subset and that the accounts for which performance
is so reported meet two tests designed to provide assurance that the
Fully-Funded Subset and the resultant rates of return are representative
of the trading program. Northfield Trading has performed these computations.
19
CAPSULE C(2) - NORTHFIELD/SITE GLOBAL STOCK INDEX PROGRAM
ANNUAL RATES OF RETURN
(Based on the Fully-Funded Subset)**
2001
(7 months)
Annual/YTD 15.3%
Past Performance Is Not Necessarily Indicative Of Future Results
** The Fully-Funded Subset refers to the subset of accounts included in the
applicable composite which is funded entirely by actual funds. A CFTC
Advisory on use of the Fully-Funded Subset method for calculating rate
of return requires that certain computations be made in order to arrive
at the Fully-Funded Subset and that the accounts for which performance
is so reported meet two tests designed to provide assurance that the
Fully-Funded Subset and the resultant rates of return are representative
of the trading program. Northfield Trading has performed these
computations.
CONVERSION CHART FOR CAPSULE C(2)
The following chart shows the rates of return which accounts at various
levels of partial funding may have achieved based upon Northfield Trading's
actual rates of return during the period of April 2001 to October 2001.
Level of Funding
100% 70% 50% 40% 20%
2001 15.3% 21.9% 30.6% 38.3% 76.5%
20
Alliance Program**
(Based on the All Accounts Traded Method)
As of October 31, 2001
Name of CTA: Northfield Trading L.P.
Program: Alliance Program
Start Date: March 1991 (All trading by Northfield Trading)
April 2001 (Alliance Program)
No. of Accounts: 9
Aggregate $$ in All Programs: $ 97,388,935 (All Programs excluding Notional)
$208,424,553 (All Programs including Notional)
$$ in this Program: $ 4,327,690 (Alliance Program excluding notional)
$59,458,572 (Alliance Program including notional)
Largest monthly draw-down: (2.3%) April 2001
"Largest monthly draw-down" means the greatest
decline in month-end Net Asset Value due to
losses sustained by a diversified portfolio on
a composite basis or an individual account for
any particular month.
Largest peak-to-valley
draw-down: (2.3%) April 2001 to May 2001
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value due to losses
sustained by a diversified portfolio on a
composite basis or an individual account during
any period in which the initial month-end Net
Asset Value is not equaled or exceeded by a
subsequent month-end Net Asset Value.
Closed Accounts: Profitable = 0
Unprofitable = 0
** The Alliance Program combines accounts of clients which are included
in the Northfield Trading Diversified Program, the Northfield/SITE Global
Stock Index Program and Metron Management Company's Trading Program. An
Alliance account is allocated approximately 46% to the Northfield Trading
Diversified Program and 27% each to the Northfield/SITE Global Stock Index
Program and the Metron Management Company Trading Program. Hence, these
assets have been individually reported in the applicable capsule and table
and are included in each CTA's total assets under management. As of
October 31, 2001 Metron Management Company's portion of the Alliance
Program assets was $15,844,314
21
CAPSULE C(3) - ALLIANCE PROGRAM ANNUAL RATES OF RETURN
(Based on the All Accounts Traded Method)
2001
(7 months)
Annual/YTD 7.7%
Past Performance Is Not Necessarily Indicative Of Future Results
CONVERSION CHART FOR CAPSULE C(3)
The following chart shows the rates of return which accounts at various
levels of partial funding may have achieved based upon Northfield Trading's
actual rates of return during the period of April 2001 to October 2001.
Level of Funding
100% 70% 50% 40% 20%
2001 7.7% 11.0% 15.4% 19.3% 38.5%
22
Stock Index Program
(Not open to new investment)
As of October 31, 2001
Name of CTA: Northfield Trading L.P.
Program: Stock Index Program
Start Date: March 1991 (All trading by Northfield Trading)
June 1995 (Stock Index Program)
No. of Accounts: 0
Aggregate $$ in All Programs: $ 97,388,935 (All Programs excluding Notional)
$208,424,553 (All Programs including Notional)
$$ in this Program: $ 0 (Stock Index Program excluding notional)
$ 0 (Stock Index Program including notional)
Largest monthly draw-down: (18.8)% October 1995**
"Largest monthly draw-down" means the greatest
decline in month-end Net Asset Value due to
losses sustained by a diversified portfolio
on a composite basis or an individual account
for any particular month.
Largest peak-to-valley
draw-down: (30.0%) June 1995 to October 1995**
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value due to losses
sustained by a diversified portfolio on a
composite basis or an individual account during
any period in which the initial month-end Net
Asset Value is not equaled or exceeded by a
subsequent month-end Net Asset Value.
Closed Accounts: Profitable = 0
Unprofitable = 1
** Actual results based on partially funded account.
CAPSULE C(4) - STOCK INDEX PROGRAM RATES OF RETURN
(Actual return based on partially-funded account)
2000 1999 1998 1997 1996
Annual/YTD --- --- --- --- (10.2)%
Past Performance Is Not Necessarily Indicative Of Future Results
23
DESCRIPTION OF THE TRUST, TRUSTEE, MANAGING OWNER AND AFFILIATES
The following replaces in its entirety the chart and first paragraph
found under this heading on page 52 of the prospectus.
(CHART)
The Trust was formed on December 17, 1997 under the Delaware Business
Trust Act. The sole trustee of the Trust is Wilmington Trust Company, which
delegated its duty and authority for the management of the Trust to the
managing owner. The managing owner is a wholly-owned subsidiary of Prudential
Securities, the Trust's commodity broker and selling agent, which in turn
is wholly-owned by Prudential Securities Group Inc., an indirect wholly-owned
subsidiary of Prudential Financial, Inc.
Prudential Securities Group Inc.
The following replaces in its entirety the information found under this
heading on page 53 of the prospectus.
Prudential Securities Group Inc. acts solely as a holding company. Its
principal subsidiary is Prudential Securities, the Trust's selling agent and
commodity broker. Prudential Securities Group Inc. is an indirect wholly
owned subsidiary of Prudential Financial, Inc., a major financial services
company.
24
Trading and Operational Principals of the Managing Owner
The following updates the biographies of the following individuals found
under this heading on pages 53 to 54 of the prospectus.
Alex Ladouceur, born 1960, has been a Director of the managing owner since
November 2001 and also has held such position with Seaport Futures since such
date. Mr. Ladouceur joined Prudential Securities in August 2001 as Senior
Vice President, Head of Global Futures, Foreign Exchange and Metals. He is
responsible for all operating activities of Prudential Securities' Futures
division including sales and trading, foreign exchange, base and precious
metals, and the trading floors. In addition, Mr. Ladouceur has overall
responsibility for the Futures and Hedge Fund Group. Mr. Ladouceur joined
Prudential Securities from Credit Lyonnais Rouse Ltd. (CLR), where he served
as president of their United States operations since 1992 and as a main
board director of CLR in London since 1994. In 1998, he was appointed managing
director of Global Cash Markets at CLR with responsibility for leading global
market-making and sales for OTC products, including structured derivative
products. Mr. Ladouceur earned his bachelor's degree in Economics from
the University of Calgary in Alberta, Canada, and his master's degree in
European Studies from the College of Europe in Bruges, Belgium.
Thomas T. Bales has been promoted to Senior Vice President of Futures
Administration in the Futures Division for Prudential Securities.
Steven Carlino has been promoted to Senior Vice President of Prudential
Securities.
Guy S. Scarpaci has been promoted to Senior Vice President of the Futures
Division.
Eleanor L. Thomas has been promoted to Senior Vice President of the
Futures and Hedge Fund Group at Prudential Securities.
25
Description And Past Performance Of Other Pools Sponsored By The Managing
Owner And Its Affiliate
The following updates and replaces the information found under this
heading in the prospectus on pages 55 to 58.
Following is a description of the various funds sponsored by the managing
owner and its affiliate, Seaport Futures. The January 1, 1996 through
November 30, 2001 trading record for the various funds is provided in the
performance table and the explanatory notes on the following pages.
Type of Fund Name of Fund
Public commodity funds for which
the managing owner is/was the
general partner (or managing
owner) and the commodity pool
operator: Prudential-Bache Capital Return Futures
Fund 2, L.P. (PBCRFF2)
Prudential Securities OptiMax Futures
Fund 2, L.P. (PBOFF2) [e]
Prudential Securities Aggressive Growth
Fund, L.P. (PSAGF) [k]
Diversified Futures Trust I (DFT)
Prudential Securities Strategic Trust
(PRUST) [f]
World Monitor Trust - Series A (WMTA)
World Monitor Trust II - Series D (WMTD)
World Monitor Trust II - Series E (WMTE)
World Monitor Trust II - Series F (WMTF)
Non-public commodity funds for
which the managing owner is/was
the general partner (or the
managing owner) and the commodity
pool operator: Signet Partners II, L.P. (SPLP2) [d]
Diversified Futures Trust II (DFTII)
Prudential Securities Foreign Financials
Fund, L.P. (PSFFF) [g]
Offshore investment funds for
which the managing owner is/was
investment manager (j): Devonshire Multi-Strategy Fund [h, i]
Prudential-Bache International Futures
Fund A, PLC (PBIFA) [h, n]
Prudential-Bache International Futures
Fund B, PLC (PBIFB)[h]
Prudential-Bache International Futures
Fund C, PLC (PBIFC)[h]
Prudential-Bache International Futures
Fund D, PLC (PBIFD)[h]
Prudential-Bache International Futures
Fund E, PLC (PBIFE)[h, o]
Prudential-Bache International Futures
Fund F, PLC (PBIFF)[h]
Global Equilibrium Fund[h, o]
Public commodity funds for which
Seaport Futures is/was general
partner and commodity pool
operator: Prudential-Bache Diversified Futures
Fund L.P. (PBDFF)
Prudential-Bache Capital Return Futures
Fund L.P. (PBCRFF) [l]
Prudential-Bache Capital Return Futures
Fund 3, L.P. (PBCRFF3) [k]
Prudential-Bache OptiMax Futures Fund L.P.
(PBOFF) [m]
26
CAPSULE D
PERFORMANCE OF OTHER POOLS OPERATED BY PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC. AND AFFILIATE [a]
(SEE ACCOMPANYING NOTES ON FOLLOWING TWO PAGES)
NAME OF POOL TYPE INCEPTION AGGREGATE CURRENT WORST WORST
(See abbreviations OF POOL OF TRADING SUBSCRIPTIONS TOTAL NAV MONTHLY PEAK TO
indicated ($ x 1,000) ($ x 1,000) PERCENT VALLEY
on prior page) DRAW-DOWN [b] DRAW-DOWN [b]
PBDFF 3, 5, 6, 8, 10 10/88 29,747 7,237 -12.98 -40.96%
11/01 7/99-9/00
PBCRFF (1) 1a, 3, 5, 7, 8, 10 5/89 137,705 --- -10.30% -20.27%
11/98 11/98-4/00
PBCRFF2 1a, 3, 5, 7, 8, 9 10/89 100,000 11,033 -8.72% -27.59%
4/98 1/98-9/00
PBCRFF3 [k] 1a, 3, 5, 7, 8, 10 5/90 64,863 --- -11.77% -23.66%
4/98 12/96-4/98
PBOFF (OPTIMAX) [m] 3, 5, 7, 8, 10, 11 4/96 69,603 --- -7.82% -27.23%
10/99 5/99-6/00
PBOFF (OPTIMAX-A) 1,3, 5, 7, 10, 11 2/91 63,356 --- -2.53% -2.53%
2/96 2/96
PBOFF (OPTIMAX-B) 3, 5, 7, 8, 10, 11 2/91 6,247 --- -4.74% -20.28%
2/96 8/93-3/96
PBOFF2 (OPTIMAX2) [e] 3, 5, 7, 8, 9, 12 4/97 17,416 --- -9.08% -16.58%
4/98 8/97-5/98
PBOFF2 (OPTIMAX2-A) 1, 3, 5, 7, 9, 12 1/92 15,197 --- -4.68% -11.42%
12/96 2/96-7/96
PBOFF2 (OPTIMAX2-B) 3, 5, 7, 8, 9, 12 1/92 2,219 --- -9.27% -20.94%
2/96 6/95-7/96
PSFFF [g] 2, 4, 6, 8, 9 1/93 4,198 --- -9.96% -23.59%
2/99 12/96-5/97
PSAGF [k] 3, 5a, 7, 8, 9 8/93 20,335 --- -7.65% -20.42%
10/97 10/98-10/99
DFT 3, 5a, 6, 8, 9 1/95 65,908 22,845 -14.35% -36.76%
11/01 7/99-9/00
SPLP2 [d] 2, 4, 7, 8, 9 2/96 1,531 --- -6.37% -8.41%
8/97 8/97-1/98
PRUST [f] 3, 5a, 6, 8, 9 5/96 63,403 9,733 -15.84% -43.34%
4/98 3/99-5/01
PBIFA [h, n] 2, 4, 6, 9, 13 6/96 38,707 --- -21.94% -46.41%
2/00 3/99-8/00
PBIFC [h] 2, 4, 6, 9, 13 6/96 35,142 7,595 -9.30% -47.07%
2/99 1/99-5/01
PBIFB [h] 2, 4, 6, 9, 13 7/96 106,111 28,015 -18.13% -46.09%
11/01 7/99-9/00
PBIFD [h] 2, 4, 7, 9, 13 10/96 31,318 6,225 -10.22% -30.18%
2/00 3/99-9/00
PBIFE [h, o] 2, 4, 6, 9, 13 1/97 21,843 --- -11.39% -39.57%
4/01 10/98-5/01
PBIFF [h] 2, 4, 6, 9, 13 9/97 43,092 15,597 -17.11% -27.51%
4/01 10/98-9/00
DFTII 2, 5, 6, 8, 9 3/97 51,757 9,717 -15.22% -39.93%
11/01 7/99-9/00
DEVON [h, i] 2, 4, 8, 9, 14 2/98 13,552 --- -3.88% -8.55%
4/98 4/98-8/98
GEF [h,o] 2, 4, 7, 8, 9, 15 12/99 29,451 --- -8.29% -8.29%
1/00 1/00
WMTA 3, 5a, 6, 8, 9 6/98 33,979 5,504 -17.46% -38.99%
4/01 5/99-9/00
WMTD 3, 4, 6, 8, 9 3/00 8,809 4,144 -8.48% -30.20%
5/01 6/00-5/01
WMTE 3, 4, 6, 8, 9 4/00 9,626 7,936 -13.67% -13.67%
11/01 11/01
WMTF 3, 4, 6, 8, 9 3/00 13,051 11,108 -10.26% -10.34%
11/01 4/01-6/01
ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED DAILY BASIS) [j]
1996 1997 1998 1999 2000 2001
(through 11/30)
PBDFF 24.81% 9.03% 1.96% -18.48% 0.06% -13.42%
PBCRFF (1) 8.58% 7.93% -1.09% -11.13% -6.29% ---
PBCRFF2 19.10% 11.40% -7.44% -5.14% -2.26% -12.32%
PBCRFF3 [k] 16.79% -7.97% -10.29% -1.70% --- ---
PBOFF (OPTIMAX) [m] 11.68% 17.49% 17.54% -7.16% -17.91% ---
PBOFF (OPTIMAX-A) -0.41% --- --- --- --- ---
PBOFF (OPTIMAX-B) -1.59% --- --- --- --- ---
PBOFF2 (OPTIMAX2) [e] --- -3.67% -9.97% --- --- ---
PBOFF2 (OPTIMAX2-A) 3.88% 0.86% --- --- --- ---
PBOFF2 (OPTIMAX2-B) 5.24% 0.68% --- --- --- ---
PSFFF [g] 6.65% -1.35% 36.68% -11.00% --- ---
PSAGF [k] 7.89% -2.31% 13.11% -17.54% --- ---
DFT 23.49% 8.82% 4.80% -13.48% 9.87% -10.15%
SPLP2 [d] 9.70% 6.10% -0.70% --- --- ---
PRUST [f] 3.47% -0.49% 20.25% 3.35% -31.01% -4.85%
PBIFA [h, n] 12.30% -0.36% 34.14% 3.33% -42.62% ---
PBIFC [h] 22.70% -3.59% 35.42% -18.91% -22.86% -1.80%
PBIFB [h] 28.50% 13.77% 3.49% -21.61% 9.95% -1.99%
PBIFD [h] -1.10% 14.36% 23.87% -2.00% -14.71% -7.26%
PBIFE [h, o] --- 2.20% 12.23% -17.26% -10.22% -17.61%
PBIFF [h] --- -4.60% 47.90% -6.38% -2.80% 1.25%
DFTII --- 6.26% 6.82% -17.76% 5.14% -10.01%
DEVON [h, i] --- --- -7.70% -1.19% --- ---
GEF [h,o] --- --- --- 3.80% 0.67% -5.65%
WMTA --- --- -1.69% -21.42% -1.93% 0.34%
WMTD --- --- --- --- -12.51% -3.61%
WMTE --- --- --- --- 20.36% 7.24%
WMTF --- --- --- --- 6.90% -3.21%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
27
Key to type of pool
1 Principal-protected pool currently
1a Principal-protected pool initially, but not currently
2 Privately offered pool
3 Publicly offered pool
4 Open ended pool
5 Closed ended pool
5a Initially open ended, currently closed ended
6 Single advisor pool
7 More than one advisor
8 Non-principal protected pool
9 CPO is Prudential Securities Futures Management Inc.
10 CPO is Seaport Futures Management, Inc.
11 Following the expiration of the principal-protected
feature of the A Units on March 31, 1996, the A & B
Units merged into OptiMax Units on April 1, 1996
12 Following the expiration of the principal-protected
feature of the A Units on March 31, 1997, the A & B
Units merged into OptiMax 2 Units on April 1, 1997
13 Offshore pool offered to Non-U.S. persons authorized
and supervised by the Central Bank of Ireland
14 Offshore fund-of-funds offered to Non-U.S. persons.
15 Offshore fund offered to non-U.S. persons trading in both securities
and commodities.
[a] All performance is presented as of November 30, 2001
[b] "Worst monthly percent draw-down" means greatest percentage decline
in net asset value due since January 1996 to losses sustained by a pool,
account, or other trading program from the beginning to the end of a
calendar month.
[c] "Worst peak to valley draw-down" means greatest cumulative percentage
decline in month-end net asset value since January 1996 due to losses
sustained by a pool, account or other trading program during a period in
which the initial month-end net asset value is not equaled or exceeded
by a subsequent month-end net asset value. "Draw-down" means losses
experienced by the pool over a specified period.
[d] Liquidated April 1998
[e] Liquidated May 1998
[f] Name change from Willowbridge Strategic Trust to Prudential Securities
Strategic Trust during August 1998
[g] Liquidated March 1999.
[h] These are non-U.S. investment funds, which are available only to non-U.S.
residents. They are organized as investment companies incorporated in
non-U.S. jurisdictions. Eligibility notices under CFTC Rule 4.7 have
been filed in connection with these funds.
[i] Liquidated May 1999.
[j] Rate of return is calculated each day by dividing net performance by
beginning equity. The daily returns are then compounded to arrive at
the rate of return for the month, which is in turn compounded to arrive
at the annual rate of return.
[k] Liquidated October 1999.
[l] Liquidated April 2000.
[m] Liquidated July 2000.
[n] Liquidated September 2000.
[o] Liquidated June 2001.
NOTES TO PERFORMANCE TABLE CONTINUED ON FOLLOWING PAGE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
28
Notes To Capsule D Continued:
Management Fees, Incentive Fees and Brokerage Commissions
Name of Fund Management Fee Incentive Fee Brokerage Commission
PBDFF 2 (8) 20 (8) 8 (1)
PBCRFF 2 (8) 20 (8) 8
PBCRFF2 2 (2) 20 (2) 8 (2)
PBCRFF3 2 17 7.5 (plus transaction costs)
PBOFF 2-3 17-23 8 (plus transaction costs)
PBOFF2 2-3 15-20 8 (plus transaction costs)
PSFFF 1.9 20 (3)
PSAGF 2 15-23 8 (plus transaction costs)
DFT 2 (8) 20 (8) 7.75
DFTII 2 (8) 20 (8) 6.75
SPLP2 2.5 20 $10 per round-turn
PBIFA 3 20 5.75 (plus transaction costs)
PBIFB 2 (8) 20 (8) 5.75 (plus transaction costs)
PBIFC 2 20 5.75 (plus transaction costs)
PBIFD 2 20 5.75 (plus transaction costs)
PBIFE 2 20 5.75 (plus transaction costs)
PSIFF 2 25 5.75 (plus transaction costs)
PRUST .9756-2 (4) 20 7.5 (4)
DEVON 1 (5) 3.75 (5) (5)
GEF 2 20 (6) (7)
WMTA 2 23 7.75
WMTD 1.25 22 6
WMTE 2 22 6
WMTF 2 22 6
(1) Decreased from 9% to 8% during August 1998.
(2) One of the advisors was terminated at the end of May 2001 and, during
July 2001, the assets formerly managed by such adviser were allocated
to two of the other advisors to PBCRFF2. This resulted in a decrease
in management fees on a portion of the reallocated assets from 4% to
2% and an increase in incentive fees from 15% to 20%; however, one of
the advisors to whom assets were reallocated must recoup $964,000,
and the other $482,000, in losses on the reallocated assets before
earning incentive fees. Brokerage commissions decreased from 8.5% to 8%
during August 1998.
(3) Prior to April 1, 1994, PSFFF was charged on a per transaction basis
at the rate of $35 per round-turn. From April 1, 1994 through July 25,
1997, PSFFF was charged a flat annual 8% fee, plus general and
administrative costs. From July 26, 1997 until its liquidation, PSFFF
was charged a flat annual 8.8% fee.
(4) PRUST pays different management fees to each of its trading advisors.
One of the advisors was replaced in July 2000, resulting in a decrease
from 3% to 2% of the highest management fee paid. The brokerage commission
decreased from 7.75% to 7.5% during September 1998.
(5) DEVON only invested in other funds. Accordingly, it did not have a direct
brokerage commission expense. However, as an investor in other funds,
DEVON paid its pro rata share of management and incentive fees and
brokerage commissions paid by those funds. The management and incentive
fees shown in this chart only represent the fees paid directly to the
managing owner and do not reflect DEVON's pro rata portion of the
management and incentive fees in the funds in which it invested.
(6) Incentive fees applicable only to one of GEF's two advisors.
(7) Flat fee equal to 2.25% (plus transaction costs).
(8) Management fee decreased from 4% to 2% and incentive fees increased from
15% to 20%, in each case during October 2000.
29
Prudential Securities Litigation and Settlements
The following is an addition to the information found under this heading
on pages 59 to 60 in the prospectus.
In December of 1998, the SEC alleged that Prudential Securities and a
branch manager violated Section 15B of the Securities Act of 1933 by failing
to reasonably supervise Stuart P. Bianchi, a former Prudential Securities
registered representative. On January 29, 2001, the SEC issued an order
instituting public administrative and cease and desist proceedings, making
findings, imposing remedial sanctions and issuing cease and desist orders
against the branch manager and Prudential Securities. The branch manager
consented to the payment of a civil penalty in the amount of $15,000 and
was suspended from associating with a broker-dealer for two months and
from associating with a broker-dealer in a supervisory capacity for a period
of nine months. Without admitting or denying the findings, Prudential
Securities consented to a censure and the payment of a fine of $800,000.
30
HOW MANAGED FUTURES FIT INTO A PORTFOLIO
Performance Comparisons
The following updates and replaces the information found under this
heading in the prospectus on pages 99.
The tables below compare actual returns and statistics for Series B and
Series C with three asset classes, U.S. Stocks, U.S. Bonds and International
Stocks, in order to highlight the particular performance characteristics of
each series versus traditional asset classes. Of course, past performance
is not necessarily indicative of future results.
Series B - Eclipse Capital
Global Monetary Program
June 10, 1998 through November 30, 2001
Summary Performance Statistics
U.S. U.S. Int'l.
Stocks1 Bonds2 Stocks3 WMTB
Value of $1000 $1,103 $1,271 $893 $1,061
Compound Annual Return 2.85% 7.08% (3.18)% 1.71%
Monthly Standard Deviation 5.48% 1.17% 4.96% 5.24%
Maximum Draw-down (30.48)% (3.31)% (36.85)% (27.08)%
Months to Recovery 15+ 17 23+ 26+
Correlation to U.S. Stocks 1.00 (0.13) 0.82 (0.31)
Series C - Northfield Trading
Diversified Program
June 10, 1998 through November 30, 2001
Summary Performance Statistics
U.S. U.S. Int'l.
Stocks1 Bonds2 Stocks3 WMTC
Value of $1000 $1,103 $1,271 $893 $784
Compound Annual Return 2.85% 7.08% (3.18)% (6.12)%
Monthly Standard Deviation 5.48% 1.17% 4.96% 6.33%
Maximum Draw-down (30.48)% (3.31)% (36.85)% (40.30)%
Months to Recovery 15+ 17 23+ 29+
Correlation to U.S. Stocks 1.00 (0.13) 0.82 (0.40)
1. U.S. Stocks - Standard & Poor's 500 Stock Index
(dividends reinvested) an unmanaged weighted index of 500 stocks.
2. U.S. Bonds - Lehman Brothers' Government/Corporate Bond Index (coupons
reinvested).
3. International Stocks - Morgan Stanley's EAFE Index (dividends reinvested).
(Sources: Standard & Poor's, Lehman Brothers and Lipper Analytical Associates.)
THESE INDICES ARE REPRESENTATIVE OF EQUITY AND DEBT SECURITIES
AND ARE NOT TO BE CONSTRUED AS AN ACTIVELY MANAGED PORTFOLIO.
31
[THIS PAGE INTENTIONALLY LEFT BLANK]
WORLD MONITOR TRUST
The date of this supplement is December 19, 2001
The Trust files annual, quarterly, and current reports and other information
with the SEC. You may read and copy any reports, statements or other
information we file at the SEC's public reference room in Washington, D.C.
You can request copies of these documents, upon payment of a duplicating fee,
by writing the SEC. Please call the SEC at 1-800-SEC-0330 for further
information on the operation of the public reference rooms. Our SEC
filings are also available to the public on the SEC's Internet site at
http://www.sec.gov.