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(LOGO) Futures and Hedge Funds
WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
DECEMBER 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 December 1, 2001 to December 28, 2001
for World Monitor Trust II--Series F ('Series F'). The net asset value of an
interest as of December 28, 2001 was $105.20, an increase of 1.67% from the
November 30, 2001 value of $103.47. The calendar year-to-date return for Series
F was a decrease of 1.59% as of December 28, 2001. Additionally, the return for
the quarterly period from September 29, 2001 to December 28, 2001 was a decrease
of 4.78%.
Quarterly Market Overview
The fourth quarter of 2001 was characterized by continued weakness in global
economic markets. Heightened uncertainty in the wake of the terrorist attacks
and concerns about deteriorating business conditions worldwide significantly
slowed an already soft economy. After beginning the quarter down, global equity
markets rallied in November only to weaken once again toward quarter-end. In the
U.S., weakness in business spending, manufacturing and construction negatively
affected labor markets causing layoffs and plant closings. Consumer confidence
dropped sharply during the quarter resulting in decreased retail sales while
consumer price inflation remained relatively subdued. Short- and long-term
interest rates rallied sharply in November before falling again in December. The
U.S. dollar started the quarter down against many major foreign currencies but
strengthened slightly in November and December. Economic activity in Europe, the
United Kingdom and other industrial economies remained weak throughout the
quarter as well, stemming from a downturn in business and consumer confidence.
In Japan, the sharp contraction in economic activity that began early in the
year continued into the fourth quarter and the unemployment rate reached a
record high. Most major emerging market economies also continued to experience
economic slowdown which was related, in part, to weakness in industrialized
economies.
U.S. and European interest rate instruments began the quarter up as data
indicated persistent weakness in the U.S. economy. In an effort to stimulate the
economy, the U.S. Federal Reserve lowered interest rates by 50 basis points in
October and by another 50 basis points in early November. The European Central
Bank and the Bank of England each cut rates by 50 basis points as well. In
mid-November, some positive economic news, the fall of Kabul, Afghanistan and an
announcement by the U.S. Treasury regarding the cessation of sales of 30-year
bonds, resulted in one of the greatest reversals the U.S. bond market has seen
in decades. Interest rates climbed sharply in the U.S. and Europe causing bond
prices to fall. In December, the Federal Reserve lowered rates by another 25
basis points and bond prices climbed slightly.
After hitting lows in mid-September, U.S. and global equity markets rallied in
November amid positive developments in the war in Afghanistan and sentiment that
the U.S. economy may be emerging from recession. Equity markets reversed in
December providing a negative return for the second consecutive year.
In foreign exchange markets, the U.S. dollar started the quarter down against
many major foreign currencies, but strengthened amid hopes of a recovery in the
U.S. economy. The Japanese yen was weak throughout the quarter falling to a
three-year low against the U.S. dollar and a two year-low against the euro as
the Japanese economy continued to soften. Record unemployment, weakness in the
equity markets and continued deflation contributed to the decline of the yen.
The euro fell from its post September 11th highs against the U.S. dollar as
investors anticipated a U.S. economic rebound. Additionally, apprehension that
European banks would be negatively affected by the Argentinean debt default and
concerns regarding the introduction of the physical euro currency helped depress
the euro. The Swiss franc rose on news of the Argentinean debt default as
investors sought a safe haven currency.
Terror attacks, sluggish economies and mild winter weather limited growth in
global demand for oil during the fourth quarter. Demand among oil-dependent
wealthy countries contracted by more than 600,000 barrels a day versus the same
period last year. A coordinated cut in oil output by OPEC and non-OPEC producers
was agreed upon as OPEC tried to regain control of crude oil prices.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which the
Series F traded:
Interest rate (-): After starting the quarter down, interest rates climbed
sharply in November resulting in one of the greatest U.S. bond market reversals
in decades. Long positions in U.S. and euro bonds incurred losses.
Index (-): After hitting lows in mid-September, U.S. and global equity markets
rallied sharply in November resulting in losses for short euro DAX, Nikkei DOW,
S&P 500 and NASDAQ positions.
Metal (-): Metal prices fell throughout most of the quarter amid decreased
demand due to weak global economic conditions. Long positions in nickel,
aluminum, gold and copper resulted in losses.
Currency (+): The Japanese yen fell to a three-year low against the U.S. dollar
as economic turmoil continued in Japan. Short Japanese yen positions resulted in
gains. The South African rand plummeted to record lows against the U.S. dollar
amid concern regarding the outlook for emerging markets and a decision by the
Reserve Bank of South Africa to limit speculative transactions in the currency
in order to insure stability. Short African rand positions resulted in gains.
Short Australian dollar positions resulted in gains as the Australian dollar
fell against the U.S. dollar in December.
Energy (+): Short heating, crude and gas oil positions resulted in gains as
demand decreased to due sluggish global economies and mild winter weather.
The estimated net asset value per interest as of January 28, 2002 was $105.50.
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) 778-2443.
Sincerely yours,
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 December 1, 2001 to
December 28, 2001
Revenues:
Realized loss on commodity transactions......... $ (167,151)
Change in unrealized commodity positions........ 436,856
Interest income................................. 17,810
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287,515
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Expenses:
Commissions..................................... 53,278
Management fee.................................. 17,784
Other transaction fees.......................... 5,430
Other expenses.................................. 17,874
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94,366
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Net gain........................................ $ 193,149
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STATEMENT OF CHANGES IN NET ASSET VALUE
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Per
Total Interest
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For the period from December 1, 2001 to
December 28, 2001
Net asset value at beginning of period
(107,355.351 interests)............... $11,108,053 $103.47
Contributions.......................... 558,998
Net gain............................... 193,149
Redemptions............................ (68,905)
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Net asset value at end of
period (112,088.374 interests)........ $11,791,295 105.20
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Change in net asset
value per interest................................. $ 1.73
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Percentage change................................... 1.67%
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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.
by: Barbara J. Brooks
Chief Financial Officer