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Alternative Investment
Strategies
WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
SEPTEMBER 27, 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 August 31, 2002 to September 27, 2002
for World Monitor Trust II--Series F ('Series F'). The net asset value of an
interest as of September 27, 2002 was $121.63, an increase of 2.86% from the
August 30, 2002 value of $118.25. The calendar year-to-date return for Series F
was an increase of 14.31% as of September 27, 2002. Additionally, the return for
the quarterly period from June 29, 2002 to September 27 was an increase of
13.26%.
Quarterly Market Overview
Throughout the third quarter of 2002, household wealth continued to decrease as
the result of pervasive declines in global equity markets and uncertainty
regarding worldwide economies. As a result, U.S. consumer spending, which helped
boost U.S. economic growth in the past, was adversely impacted. Additionally,
the higher cost of equity capital, heightened degree of risk aversion and
uncertainty regarding debt and equity markets further inhibited consumer and
business investment worldwide. In the U.S., decreasing wealth stemming from
losses on equities were offset, in part, by continuing increases in home equity
values. Low mortgage interest rates remained a key factor in sustaining the
housing market at a relatively elevated level. Fears of slowing global economies
resulted in major declines in long-term interest rates and bond markets surged.
Foreign economies followed the lead of the U.S. with persistent weakness evident
in European, Asian and Latin American economies, particularly in Japan and
Brazil.
In the interest rate sector, negative economic news throughout the quarter
coupled with significant downturns in world equity markets and disappointing
corporate profits caused a flight to quality into bond markets around the world.
The U.S. Federal Reserve Bank left interest rates unchanged at 1.75% in its two
meetings this quarter, switching its economic outlook for the near future from
'uncertain' to a bias toward 'economic weakness'. The European Central Bank left
short-term interest rates unchanged as well. The Japanese bond market was
particularly strong as the Japanese economy continued to struggle with recession
and investors fled to bonds for safety.
The S&P 500 fell 17.63%, the Dow Jones Industrial Average decreased 17.87% and
the London FTSE dropped 20.07% for the quarter as investor confidence collapsed
in response to continued concerns about accounting transparency, government
investigations, heightened tension in the Middle East, and decreased corporate
sales and profits. In Japan, the Nikkei Index hit new lows as the economy
continued to struggle with structural problems and the Japanese government
prepared new fiscal policy initiatives.
In foreign exchange markets, the U.S. dollar began the quarter down against many
foreign currencies, but reversed its trend towards quarter-end. The euro
surpassed parity with the U.S. dollar early in the quarter as investors' desire
for U.S. assets decreased, but ended the quarter lower. The British pound rose
against the U.S. dollar early in the quarter amid perceived strength in the
British economy, while the Japanese yen weakened as worries regarding the
Japanese economy persisted.
Energy markets continued their upward climb as fears of impending war with Iraq
pushed crude oil prices up significantly. Crude oil rose from the low $20's per
barrel earlier in the year to approximately $30 a barrel at quarter-end.
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. In commodities markets, drought in the Mid-Western United
States drove price increases in corn, wheat and soybean markets. Cocoa prices
soared as supply deficits and violence in the Ivory Coast pushed the markets to
sixteen-year highs.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded:
Interest rates (+): Interest rate instruments rose throughout the quarter in
response to weak economies and poor equity market performance worldwide. Long
positions in U.S., European and Japanese bonds resulted in gains.
Indices (+): Short positions in the S&P 500, NASDAQ, Nikkei Dow and Euro DAX
resulted in gains as weak economic data and disappointing earning reports
pressed global equity markets downward throughout the quarter.
Energies (+): Energy prices rallied amid speculation of imminent war with Iraq,
low crude oil stock in the U.S. and seasonal demand pressure. Long crude and
heating oil positions resulted in gains.
Currencies (-): The U.S. dollar reversed its downward trend against many
foreign currencies toward quarter-end resulting in losses for long British
pound, Japanese yen and Swiss franc positions.
Metals (-): Weak economic conditions caused price declines in industrial metals
resulting in losses for long zinc and nickel positions.
The estimated net asset value per interest as of October 30, 2002 was $116.40.
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 August 31, 2002 to
September 27, 2002
Revenues:
Realized gain on commodity transactions.......... $ 980,241
Change in unrealized commodity positions......... (188,255)
Interest income.................................. 26,666
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818,652
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Expenses:
Incentive Fee.................................... 143,996
Commissions...................................... 89,211
Management fee................................... 30,489
Other transaction fees........................... 7,227
Other expenses................................... 10,532
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281,455
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Net gain......................................... $ 537,197
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STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from August 31, 2002 to
September 27, 2002
Per
Total Interest
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Net asset value at beginning of period
(157,040.540 interests)............... $18,569,756 $118.25
Contributions.......................... 666,706
Net gain............................... 537,197
Redemptions............................ (335,617)
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Net asset value at end of
period (159,817.734 interests)........ $19,438,042 121.63
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Change in net asset
value per interest................................. $ 3.38
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Percentage change................................... 2.86%
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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