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Alternative Investment
Strategies
WORLD MONITOR TRUST II--
SERIES D
MONTHLY REPORT/
MARCH 28, 2003
PRUDENTIAL FINANCIAL (LOGO)
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WORLD MONITOR TRUST II--SERIES D
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Dear Interest Holder:
Enclosed is the report for the period from March 1, 2003 to March 28, 2003 for
World Monitor Trust II--Series D ('Series D'). The net asset value of an
interest as of March 28, 2003 was $96.62, a decrease of 2.35% from the February
28, 2003 value of $98.94. The calendar year-to-date return for Series D was an
increase of 3.70% as of March 28, 2003.
Quarterly Market Overview
Global economic activity for the first quarter of 2003 was characterized by
weakness and volatility. The U.S. economy exhibited signs of a slowdown as
consumers and businesses continued to reduce spending due to concerns regarding
the war in Iraq, SARS outbreak, high oil price premiums, weak corporate profits
and depressed global economies. With the exception of steady automobile orders
and existing home sales fueled by attractive interest rates, retail sales
continued to be sluggish. Labor market indicators were negative and
manufacturing contracted. Foreign economies generally mirrored that of the U.S.
In Europe and Asia, economic recovery appeared to have slowed, but Canada
recorded moderate economic expansion.
Indices: Major global equity markets rallied early in the quarter but slid on
fears of an impending war with Iraq, possible terrorism and geopolitical
tension. Anticipation of a quick decisive victory in Iraq resulted in a brief
market run up in mid-March. However, toward the end of the quarter, markets were
whipsawed as investors responded to every turn of military events in the Middle
East. Ultimately, the markets ended the quarter lower as investors awaited a
resolution. The Dow Jones Industrial Average closed down 4.2% and the S&P 500
dropped 3.2%. Several encouraging earnings reports boosted the Nasdaq Composite
resulting in a net gain of 0.42% for the quarter. Japan's Nikkei 225 stock index
hit a 20-year low at the end of the first quarter.
Interest rates: At both the January and March meetings, the U.S. Federal Reserve
left the federal funds rate unchanged at the 41-year low of 1.25%. In mid-March,
initial optimism for the Coalition Forces' success in Iraq resulted in a shift
by investors to junk bonds and stocks marking the worst setback for the U.S.
Treasury markets in 18 months. U.S. Treasury yields increased by 41 basis points
from a 44-year low, incurring the biggest weekly increase in yield since
November 2001. Toward the end of the quarter, uncertainty about the war led
investors to take defensive positions, with the price of 10-year Treasury notes
ending the quarter up 3.81%. In Europe, the European Central Bank cut interest
rates by 0.25% in the beginning of March. The lowered interest rate coupled with
weak global economic growth prospects resulted in the strengthening of European
bond prices.
Currencies: Perceptions of quick success in Iraq boosted the U.S. dollar versus
many foreign currencies. However, concerns that the war would disrupt the U.S.
economy strengthened the euro against the U.S. dollar. For the first time in
three years, the exchange rate between the euro and U.S. dollar reached $1.10.
As a result, the U.S. dollar ended the quarter down against the euro and the
Japanese yen. In Canada, the Bank of Canada increased its overnight interest
rate in March in response to inflation concerns, resulting in the strengthening
of the Canadian dollar.
Energies: Price increases in the world oil markets at the beginning of the first
quarter were fed by concerns of supply disruptions due to the conflict in Iraq,
civil strife in Venezuela, anticipation of a Nigerian strike and tensions on the
Korean peninsula. In mid-March, anticipation of a quick resolution of the war in
Iraq coupled with the end of an extended cold snap in the northeastern United
States led to a significant reversal in energy prices. However, at quarter-end,
fears of the possibility of a prolonged war in Iraq and low supplies pushed
energy futures prices higher despite the securing of Iraqi oil wells.
Softs: Cocoa prices declined as a result of the continuing political stability
in the Ivory Coast. Expectations for less rain in the U.S. plains states boosted
wheat prices toward the end of the quarter and corn prices rose as a result of
bullish prospective planting and stocks data released by U.S. Department of
Agriculture. Soybean futures declined as a result of rain in key growing regions
in Southern Argentina and weaker overseas prices.
Quarterly Performance of Series D
The following is a summary of performance for the major sectors in which Series
D traded:
Currencies (+): The U.S. dollar fell against many foreign currencies amid
concerns that the war in Iraq would disrupt the U.S. economy. Long Australian
dollar and Canadian dollar positions resulted in net gains.
Interest rates (+): Concerns around the war in Iraq, poor performance in the
equity markets and weak global economies strengthened European bond prices
resulting in net gains for long positions.
Metals (-): Gold declined from highs earlier in the year and long positions
resulted in net losses.
Indices (-): Global equity markets declined throughout the quarter resulting in
net gains for short positions in the EUR DAX and London FTSE indexes.
The estimated net asset value per interest as of April 30, 2003 was $99.63. 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 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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STATEMENT OF OPERATIONS
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For the period from March 1, 2003
to March 28, 2003
Revenues:
Realized gain on commodity transactions.......... $ 782,437
Change in unrealized commodity positions......... (996,268)
Interest income.................................. 9,824
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(204,007)
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Expenses:
Commissions...................................... 49,048
Incentive fees................................... (63,027)
Management fees.................................. 10,247
Other transaction fees........................... 3,443
Other expenses................................... 10,221
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9,932
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Net loss......................................... $(213,939)
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<Table>
STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from March 1, 2003
to March 28, 2003
<Caption>
Per
Total Interest
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Net asset value at beginning of period
(87,865.550 interests)................ $ 8,693,051 $ 98.94
Contributions.......................... 4,741,997
Net loss............................... (213,939)
Redemptions............................ (68,976)
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Net asset value at end of period
(136,128.906 interests)............... $13,152,133 96.62
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Change in net asset
value per interest................................. $ (2.32)
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Percentage change................................... (2.35)%
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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 D is accurate and
complete.
PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC.
/s/ Steven Weinreb
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by: Steven Weinreb
Chief Financial Officer