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Alternative Investment
Strategies
WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
JUNE 28, 2002
(Logo) Prudential Financial
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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 June 1, 2002 to June 28, 2002 for
World Monitor Trust II--Series F ('Series F'). The net asset value of an
interest as of June 28, 2002 was $107.39, an increase of 7.89% from the May 31,
2002 value of $99.54. The calendar year-to-date return for Series F was an
increase of .93% as of June 28, 2002. Additionally, the return for the Quarterly
Period from March 30, 2002 to June 28, 2002 was an increase of 6.68%
Quarterly Market Overview
Despite reports by the Federal Reserve Board (the 'Fed') indicating that overall
economic activity expanded at a moderate pace during the second quarter of 2002,
investor sentiment remained bleak. Most major U.S. equity indices reached new
lows as investor confidence worldwide was battered by reports of corporate
leadership misconduct and accounting irregularities. Continued uncertainty in
the Middle East and weaker than expected second quarter corporate earnings added
to investor uncertainty. The U.S. dollar fell against most major foreign
currencies during the quarter, while the price of interest rate instruments
rose. In the U.S., residential real estate markets generally remained robust,
but weakness persisted in most commercial markets. Retail sales were generally
flat and labor markets remained weak. Consumer spending and manufacturing
activity, which helped boost U.S. economic growth in previous quarters, remained
stagnant at a relatively high level. Additionally, continued softness in the
labor markets helped weaken consumer confidence. European and Asian economic
activity mirrored that of the U.S., but to a lesser extent.
Global equity markets moved sharply lower throughout the quarter as investor
confidence collapsed in response to concerns about accounting transparency at
some firms, heightened tension in the Middle East, and decreased corporate sales
and profits. This resulted in investors re-evaluating their outlook for a
near-term economic recovery. In the U.S., concerns that unannounced accounting
problems will eliminate expected corporate profits continued to keep equity
markets down. At quarter-end, the year-to-date returns for the S&P 500, the
NASDAQ and the London FTSE were -14%, -25% and -10.75%, respectively.
In bond markets, prices rose as interest rates fell in the U.S. on concerns
regarding a weak economic recovery and declines in the equity markets.
Additionally, declining equity markets led investors to switch allocations from
equity markets to fixed income markets, which are perceived as the current safe
haven for wealth. The Fed left interest rates unchanged at 1.75% in its two
meetings this quarter, declaring that its economic outlook for the near future
remained 'uncertain'. Other central banks, including the European Central Bank
and the Bank of Japan, generally followed the lead of the Fed leaving rates
unchanged and foreign bond markets rose as well.
In foreign exchange markets, the U.S. dollar moved sharply lower against most
major currencies throughout the quarter, falling to new lows against some
currencies. Weak U.S. economic growth in relation to other economies and
concerns regarding accounting irregularities in major U.S. corporations drove
the dollar downward. Additionally, the decline in U.S. equity markets and
investor confidence decreased the desire to hold U.S. assets driving the U.S.
dollar lower against the euro, British pound, Swiss franc and Japanese yen.
Gold and other precious metals soared throughout most of the quarter in response
to weaknesses in the U.S. dollar and global equity markets and instability in
the Middle East. Gold prices reversed at quarter-end as a result of profit
taking by traders and sentiment that the U.S. dollar would be supported by U.S.
and Japanese central banks.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded:
Currencies (+): Long Japanese yen, Australian dollar, euro and Swiss franc
positions resulted in gains as a weak U.S. economy and falling equity markets
caused the U.S. dollar to fall against these currencies.
Interest rates (+): Global bond markets rose as interest rates declined during
the quarter in response to poor equity market performance. Long positions in
U.S. and Japanese bonds resulted in gains.
Energies (-): Energy prices declined amid increased U.S. stock suggesting ample
supply for the summer season and anticipation that Russia would discontinue
output restrictions. Long heating oil, crude oil and unleaded gas positions
incurred losses.
Metals (-): Short copper positions incurred losses as copper rallied due to
supply cutbacks initiated by some producers. Short aluminum and zinc positions
resulted in losses as industrial metals rallied on the back of the output cuts
in copper.
Indices (-): Long positions in the S&P 500, NASDAQ and Nikkei Dow resulted in
losses as equity indices fell amid concerns regarding U.S. economic recovery,
accounting irregularities and weaker than expected corporate earnings.
The estimated net asset value per interest as of July 31, 2002 was $114.76. 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 June 1, 2002 to
June 28, 2002
Revenues:
Realized gain on commodity transactions......... $1,122,632
Change in unrealized commodity positions........ 93,662
Interest income................................. 19,188
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1,235,482
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Expenses:
Commissions..................................... 68,584
Management fee.................................. 22,893
Other transaction fees.......................... 8,241
Other expenses.................................. 9,615
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109,333
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Net gain........................................ $1,126,149
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STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from June 1, 2002 to
June 28, 2002
Per
Total Interest
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Net asset value at beginning of period
(141,858.884 interests)............... $14,120,128 $ 99.54
Contributions.......................... 241,200
Net gain............................... 1,126,149
Redemptions............................ (213,488)
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Net asset value at end of
period (142,225.062 interests)........ $15,273,989 107.39
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Change in net asset
value per interest................................. $ 7.85
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Percentage change................................... 7.89%
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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: Steven Weinreb
Chief Financial Officer