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Alternative Investment
Strategies
WORLD MONITOR TRUST II--
SERIES E
MONTHLY REPORT/
MARCH 29, 2002
PRUDENTIAL (LOGO)
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WORLD MONITOR TRUST II--SERIES E
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Dear Interest Holder:
Enclosed is the report for the period from February 23, 2002 to March 29, 2002
for World Monitor Trust II--Series E ('Series E'). The net asset value of an
interest as of March 29, 2002 was $121.78, a decrease of 5.31% from the February
22, 2002 value of $128.61. The year-to-date return for Series E was a decrease
of 5.81% as of March 29, 2002.
Quarterly Market Overview
While the first quarter of 2002 was generally characterized by continued
weakness in global economies, there was definite evidence of economic recovery.
The combination of post September 11th economic activity, infusions of
government spending and unseasonably warm weather helped jumpstart the economy
during the first quarter. Jobless claims moderated to levels that suggested that
the labor market was no longer contracting, manufacturing activity increased
slightly and consumer spending and housing activity remained stable, helping the
economy achieve a 5.8% growth rate for the quarter. U.S. economic recovery
helped boost global growth, but to a lesser extent than in the U.S. The U.K.'s
economy expanded by 0.1% during the first quarter while economic activity in
Europe and Canada remained stable. The Japanese economy remained weak.
Global bond markets trended lower through most of the first quarter amid growing
prospects for imminent interest rate hikes by central banks. In the U.S.,
interest rates rose towards the end of the quarter in response to stronger than
expected economic data and indications that the Federal Reserve (the 'Fed')
would lean towards increasing rates in the near future. The Fed kept rates
unchanged at 1.75% during its two meetings this quarter, a marked change from
the eleven rate decreases in 2001. Additionally, the Fed shifted its perception
of the economy's 'balance of risks' from 'economic weakness' to 'balanced'
during the March 19th meeting. This reinforced comments made by Alan Greenspan,
the Fed's Chairman, during his congressional testimony where he stated that
recent evidence suggests an economic expansion is under way. European and
Australian interest rate instruments fell as well amid indications that the
global recession is showing signs of abatement. Conversely, Japanese interest
rates declined as a result of weak economic data in Japan despite the short-term
rise in the stock market.
Equity indexes began the quarter choppily due to a continuing weak economy and
concerns about balance sheet reporting and accounting irregularities. Stock
markets climbed towards mid-quarter as a result of positive data and hopes of an
economic recovery. U.S. stock markets moved upward as a result of Fed Chairman
Alan Greenspan's testimony to Congress that economic expansion was well under
way. Despite continued weakness in the Japanese economy, the Nikkei rallied in
March to its highest level since August.
In foreign exchange markets, the U.S. dollar remained strong against most major
foreign currencies as the U.S. economy exhibited signs of recovery. The Japanese
yen started the quarter down against the U.S. dollar, but rose towards
quarter-end as a result of a rally in the Japanese stock market and investors
repatriating capital in anticipation of Japan's March 31st fiscal year-end. Most
European currencies and the euro were weak early in the quarter but rallied in
March amid hopes of an economic recovery.
Energy markets were volatile at the beginning of the quarter but rose toward
quarter-end as the escalating conflict in the Middle East prompted fears of an
interruption in supplies. This, together with hopes for increased U.S. energy
demand due to a recovering economy, reinforced the normal seasonal upward
pressure on energy prices. In particular, crude oil reached a six-month high at
the end of the quarter as the conflict in the Middle East gained momentum.
Expectations for colder March weather, together with concerns regarding the
safety of nuclear power plants, helped drive natural gas prices higher.
Quarterly Performance of Series E
The following is a summary of performance for the major sectors in which Series
E traded:
Index (-): Short positions in the Nikkei Dow, Euro DAX, S&P 500 and Topix
resulted in losses as equity indexes rose amid optimism regarding an economic
recovery.
Interest Rate (-): Global bond markets fell on prospects of economic growth and
news in March that the U.S. Federal Reserve shifted their view on the economy
from weak to neutral. Long positions in U.S. and Japanese bonds incurred losses.
Energy (-): Energy prices rose as the conflict in the Middle East intensified
resulting in losses for short crude oil, gas oil and unleaded gasoline
positions.
Grain (-): Short wheat positions resulted in losses as wheat prices rose buoyed
by speculation of decreased supply for this season.
Metal (-): Base metals climbed as global economic activity showed signs of
recovery. Short positions in aluminum and zinc resulted in losses.
Currency (+): Short Mexican Peso and Thai Baht/U.S. dollar cross-rate positions
resulted in gains as these currencies fell against the U.S. dollar due to fear
of uncertainty in emerging market economies.
Softs (+): Short sugar positions resulted in gains as prices fell on news that
the Brazilian sugar crop would be larger than expected.
The estimated net asset value per interest as of April 30, 2002 was $115.57.
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 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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<Caption>
STATEMENT OF OPERATIONS
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For the period from February 23, 2002
to March 29, 2002
Revenues:
Realized loss on commodity transactions.......... $(445,832)
Change in unrealized commodity positions......... (22,339)
Interest income.................................. 16,542
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(451,629)
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Expenses:
Commissions...................................... 57,029
Management fees.................................. 18,983
Other transaction fees........................... 5,138
Other expenses................................... 9,573
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90,723
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Net loss......................................... $(542,352)
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<Table>
<Caption>
STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from February 23, 2002
to March 29, 2002
<Caption>
Per
Total Interest
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Net asset value at beginning of period
(77,691.586 interests)................ $ 9,992,170 $128.61
Contributions.......................... 734,300
Net loss............................... (542,352)
Redemptions............................ (52,832)
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Net asset value at end of period
(83,192.725 interests)................ $10,131,286 121.78
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Change in net asset value per interest.............. $ (6.83)
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Percentage change................................... (5.31)%
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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 E is accurate and
complete.
PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC.
by: Barbara J. Brooks
Chief Financial Officer