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Alternative Investment
Strategies
WORLD MONITOR TRUST II--
SERIES F
MONTHLY REPORT/
JUNE 27, 2003
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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 May 31, 2003 to June 27, 2003 for
World Monitor Trust II--Series F ('Series F'). The net asset value of an
interest as of June 27, 2003 was $133.23, a decrease of 2.52% from the May 31,
2003 value of $136.68. The calendar year- to-date return for Series F was an
increase of 12.18% as of June 27, 2003. Additionally, the return for the
quarterly period from March 29, 2003 to June 27, 2003 was an increase of 2.84%.
Quarterly Market Overview
In the U.S., the beginning of the second quarter of 2003 saw few signs of relief
from a sluggish economy with a growth rate of 2.4 percent. Nominal GDP continued
to trend downward in hand with falling consumer and producer prices and interest
rates. Concerns about the slump in American telecom and internet industries,
accounting fraud and the largest budget deficit the U.S. has ever faced have
hampered investments in the U.S. Despite resolution to the war in Iraq, consumer
and business confidence remained tepid. Companies desiring to improve profits
remained unwilling to make big capital spending commitments or increase their
workforces and inventories. Orders to U.S. factories for big-ticket items and
production figures fell in April. In June, the unemployment rate jumped to a
nine-year high of 6.4 percent. Payroll slashes in manufacturing and information
industries generated the greatest job losses. As companies attempted to do more
with leaner workforces, overall productivity rose and provided support for
household income. The rise in income, combined with low interest rates, reduced
taxes, and availability of substantial home equity spurred gains in consumer
spending and increased sales of new homes. Toward the end of the quarter,
manufacturing rose slightly, but still indicated that the sector shrank for the
fourth straight month. Meanwhile, new orders for durable goods, machinery,
automobiles, electrical equipment, home supplies and computers increased,
reversing previous downward trends.
Global economies remained weak in the second quarter of 2003 and were further
hampered by the decline of the U.S. dollar which made overseas goods more
expensive, thus curtailing demand. In May, Germany, Italy and the Netherlands
reported an unexpected contraction in their economies during the first three
months of the year with Germany and Netherlands experiencing a second quarter of
negative growth. The European Union stated that overall economic growth had
stalled and consequently, applied pressure on the central banks to ease interest
rates. Business investment dropped sharply while domestic demand remained bleak.
The Japanese economy continued to stumble as other Asian economies began to
recover from the effects of the SARS outbreak. Furthermore, fears of deflation
loomed over already troubled global economies.
Indices: Despite economic data indicating the worst is not yet over, global
equity markets surged in the second quarter of 2003. Spurred by the easing of
geopolitical tensions, massive short covering, excess liquidity, some positive
first quarter earnings reports, and optimism that economic recovery is near,
investors flocked toward equities. A rally in Japanese stocks was fueled
primarily by foreign mutual funds, hedge funds and other non-Japanese
institutional investors who invested more than ten times as much as local
investors in June. The Japanese Nikkei, London FTSE, Dow Jones Industrial
Average, NASDAQ and S&P 500 all ended the quarter higher.
Interest rates: Fixed income markets in May witnessed a drop in interest rates
of developed countries due to the U.S. Federal Reserve (the 'Fed') deflation
talk as well as institutions and hedge funds borrowing to purchase longer
maturities, possible Fed purchases of longer maturities, hedging by mortgage
investors as rates fell, and central banks buying dollars and investing in
Treasuries. The decline in interest rates led to gains in German, Japanese, U.S.
Treasury and Eurodollar bond prices. In June, the market reacted with
disappointment to the Fed's quarter point cut in short-term interest rates and
as a result, intermediate and long-term rates rose. Investors in Japan moved
capital into the equity markets at the expense of U.S. Treasury and Japanese
bonds. Concern about deteriorating public finances in most large economies and a
renewed interest in equities in hopes of an economic recovery resulted in
falling bond prices through the quarter and the subsequent rising of long-term
rates.
Currencies: In the foreign exchange markets, the U.S. dollar moved sharply lower
against most major currencies during the quarter. Investors shifted their focus
from the war in Iraq to concerns about U.S. economic health with its widening
current account deficit and lower relative interest rate resulting in the
dollar's three-year low against the Canadian and Australian dollar and four-year
low against the Euro. The reversal of the U.S.'s strong dollar policy by
Treasury Secretary Snow led to a further sell off of the greenback leading to a
4.5-year low against the Swiss franc.
Energies: Energy price declines began in March and continued as the war in Iraq
became inevitable. Because supplies were secured and unthreatened by the war,
the prices of crude oil, unleaded gasoline and London gas oil were down in April
of 2003. Natural gas prices were largely unaffected by events in the Middle
East, Nigeria and Venezuela. In order to stave off the declining prices and
correct an oversupply as crude demand reached a seasonal low, OPEC members
agreed to cut current output by seven percent in April. Toward the end of the
quarter, energy prices, in general, were higher due to Nigeria's general
worker's strike, low U.S. oil inventory levels and expectations of U.S. economic
growth.
Quarterly Performance of Series F
The following is a summary of performance for the major sectors in which Series
F traded.
Currencies (+): The U.S. dollar fell against many foreign currencies amid
concerns of a weak U.S. economy. Long euro British pound and Australian dollar
positions resulted in net gains.
Interest rates (+): Weak global economies, fears of deflation and renewed
interest in equities resulted in falling global bond prices. Short U.S. Treasury
and European bond positions led to net gains.
Indices (-): Short positions in the London FTSE, Hong Kong Hang Seng, and
Eurstox indexes led to net losses as global equity markets rose throughout the
quarter.
Energies (-): Nigeria's general worker's strike, low U.S. oil inventory levels
and expectation of economic growth led to rising energy prices toward the end of
the quarter. Short> unleaded gas, natural gas and crude oil positions resulted
in net losses.
Metals (-): The falling U.S. dollar spurred speculative buying and consumer
interest resulting in rising gold prices. Short positions in gold resulted in
net losses. Declines in manufacturing resulted in falling base metal prices.
Short positions in copper and aluminum resulted in net losses.
The estimated net asset value per interest as of July 31, 2003 was $129.37. 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.
STATEMENT OF OPERATIONS
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For the period from May 31, 2003 to
June 27, 2003
Revenues:
Realized gain on commodity transactions......... $ 722,013
Change in unrealized commodity positions........ (1,947,418)
Interest income................................. 41,665
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(1,183,740)
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Expenses:
Incentive fee................................... (332,296)
Commissions..................................... 196,589
Management fee.................................. 66,652
Other expenses.................................. 10,737
Other transaction fees.......................... 11,053
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(47,265)
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Net loss........................................ $(1,136,475)
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STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from May 31, 2003 to
June 27, 2003
Per
Total Interest
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Net asset value at beginning of period
(299,767.945 interests)............... $40,971,659 $ 136.68
Contributions.......................... 3,797,520
Net loss............................... (1,136,475)
Redemptions............................ (778,559)
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Net asset value at end of
period (321,645.876 interests)........ $42,854,145 133.23
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Change in net asset
value per interest................................. $ (3.45)
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Percentage change................................... (2.52)%
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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/ Ronald J. Ivans
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by: Ronald J. Ivans
Chief Financial Officer