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Alternative Investment
Strategies
WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
DECEMBER 27, 2002
(LOGO)
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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 November 30, 2002 to December 27,
2002 for World Monitor Trust II--Series F ('Series F'). The net asset value of
an interest as of December 27, 2002 was $119.46, an increase of 3.92% from the
November 30, 2002 value of $114.95. The calendar year-to-date return for Series
F was an increase of 12.27% as of December 27, 2002. Additionally, the return
for the quarterly period from September 28, 2002 to December 27, 2002 was a
decrease of 1.78%.
Quarterly Market Overview
Overall global economic activity remained weak during the fourth quarter of
2002. U.S. equity markets were down for the third consecutive year fueled by
corporate accounting scandals, uncertainty about the war with Iraq and
disappointing corporate profits. This resulted in decreased business investment,
reduced production and increased unemployment. While retail sales weakened since
the third quarter and retailers reported disappointing holiday sales, overall
consumer spending was better than expected due, in part, to lower interest
rates. Decreased interest rates also fueled the real estate market, driving
housing prices higher despite an environment of sluggish employment and
declining household wealth. Foreign economies generally mirrored that of the
U.S. In South America, economic conditions remained fragile, most notably
Argentina and Venezuela, as well as Brazil which continued to be hurt by
uncertainties regarding the incoming government. In Europe and Asia, economic
recovery appeared to have slowed as well, but the U.K. and Canada recorded
moderate economic expansion.
Equity markets rallied in mid October, triggered by a surge of global economic
optimism, but fell once again towards quarter-end as emotions waned. Overall,
equity markets around the world showed poor performance for 2002. In the U.S.,
the Dow Jones Industrial Average was down 16.76% for the year while the S&P 500
was down 23.37%. The London FTSE returned a negative 24.48% and the Hong Kong
Hang Seng Index ended the year down 18.21%.
Global bond prices were slightly weaker at the start of the quarter as interest
rates rose in response to the stock market rally and optimism on economic
prospects. This trend reversed when the U.S. Federal Reserve Bank (the 'Fed')
cut interest rates by 50 basis points to 1.25%, a new 40-year low, at its first
quarterly meeting in November. This was the first rate cut of 2002, following 11
cuts in 2001. The Fed also switched its economic outlook for the near future
from a bias toward 'economic weakness' to 'balanced'. In its second meeting this
quarter, the Fed left interest rates unchanged at 1.25%. U.S., Japanese and
European bond markets ended the year strong as a result of poor equity market
performance.
In foreign exchange markets, the U.S. dollar began the quarter up amid evidence
of a firming U.S. economy, but traded lower against many major foreign
currencies in December. The market reacted to the sluggish U.S. economy, weaker
foreign demand for the U.S. dollar and expectations of war with Iraq. The
Japanese yen was weak throughout the quarter as a result of Japan's poor economy
and the country's banking crisis while the British pound and Canadian dollar
strengthened as a result of positive economic data.
In spite of the sluggish world economic growth, energy markets moved higher in
response to apprehension over Iraqi tension and the Venezuelan oil strike. Crude
oil moved from the low $20's per barrel to over $30 a barrel at year-end.
Potential war in the Middle East and poor equity market performance contributed
to a surge in the gold markets. Gold ended the year above $300 an ounce. Base
metal prices fell due to weak economies and decreased industrial production. In
agricultural commodity markets, drought in many of the key growing areas,
including western United States and Australia, drove price increases in corn,
wheat and the soybean complex. Sugar prices moved lower in November due to an
abundant supply and expectations for a large crop in 2003.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded:
Energies (-): Energy prices rallied amid speculation of imminent war with Iraq,
low crude oil stock in the U.S. and seasonal demand pressure. Short crude oil,
heating oil and natural gas positions resulted in losses.
Indices (-): Long positions in the Hong Kong Hang Seng, French MEFIBEXPLUS and
NASDAQ resulted in losses as weak economic data and disappointing earnings
reports pressed global equity markets downward throughout the quarter.
Currencies (+): The U.S. dollar fell against many foreign currencies toward
quarter-end as the market reacted to the sluggish U.S. economy, weaker foreign
demand for the U.S. dollar and expectations of conflict in the Middle East. Long
euro, British pound, and New Zealand dollar/U.S. dollar cross-rate positions
resulted in gains.
Interest rates (+): Poor performance in the equity markets and weak global
economies strengthened U.S., Japanese and European bond prices leading to gains
in long euro and Japanese bond positions.
Metals (+): Weak economic conditions caused price increases in precious metals
resulting in gains for long gold positions.
The estimated net asset value per interest as of January 31, 2003 was $127.17.
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,
/s/ Eleanor L. Thomas
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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 November 30, 2002 to
December 27, 2002
Revenues:
Realized gain on commodity transactions.......... $ 302,260
Change in unrealized commodity positions......... 669,587
Interest income.................................. 26,369
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998,216
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Expenses:
Commissions...................................... 101,496
Management fee................................... 33,880
Other transaction fees........................... 7,617
Other expenses................................... 10,148
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153,141
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Net gain......................................... $ 845,075
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STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from November 30, 2002 to
December 27, 2002
Per
Total Interest
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Net asset value at beginning of period
(180,811.980 interests)............... $20,783,857 $114.95
Contributions.......................... 1,013,437
Net gain............................... 845,075
Redemptions............................ (35,010)
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Net asset value at end of
period (189,248.023 interests)........ $22,607,359 119.46
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Change in net asset
value per interest................................. $ 4.51
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Percentage change................................... 3.92%
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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.
/s/ Steven Weinreb
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by: Steven Weinreb
Chief Financial Officer