<PAGE>
 
                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
 
                                   FORM 10-K
 
(Mark One)
 
/X/ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
    OF 1934
 
For the fiscal year ended December 31, 1996
 
                                       OR
 
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934
 
For the transition period from _______________________ to ______________________
 
Commission file number 33-80443
 
                          WILLOWBRIDGE STRATEGIC TRUST
--------------------------------------------------------------------------------
             (Exact name of registrant as specified in its charter)
 
Delaware                                         13-7075398
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(State or other jurisdiction                   (I.R.S. Employer
of incorporation or organization)              Identification No.)
 
One New York Plaza, 14th Floor, New York, New York                    10292
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(Address of principal executive offices)                            (Zip Code)
 
Registrant's telephone number, including area code: (212) 778-7866
 
Securities registered pursuant to Section 12(b) of the Act:
                                               None
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Securities registered pursuant to Section 12(g) of the Act:
                                        Limited Interests
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                                         (Title of class)
 
   Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes CK No __
 
   Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K [CK]
 
                      DOCUMENTS INCORPORATED BY REFERENCE
 
   Second Amended and Restated Declaration of Trust and Trust Agreement of the
Registrant dated as of December 14, 1995, included as part of the Registration
Statement on Form S-1 (File No. 33-80443) filed with the Securities and Exchange
Commission on December 14, 1995, pursuant to Rule 424(b) of the Securities Act
of 1933, is incorporated by reference into Part IV of this Annual Report on Form
10-K
 
   Annual Report to Interest holders for the period from May 1, 1996
(commencement of operations) to December 31, 1996 is incorporated by reference
into Parts II and IV of this Annual Report on Form 10-K
 
                                Index to exhibits can be found on pages 8 and 9.
<PAGE>
                          WILLOWBRIDGE STRATEGIC TRUST
                          (a Delaware Business Trust)
 
                               TABLE OF CONTENTS
 
<TABLE>
<CAPTION>
PART I                                                                                         PAGE
<S>        <C>                                                                                <C>
Item  1    Business.........................................................................     3
Item  2    Properties.......................................................................     4
Item  3    Legal Proceedings................................................................     4
Item  4    Submission of Matters to a Vote of Interest Holders..............................     4
 
PART II
Item  5    Market for the Registrant's Interests and Related Interest Holder Matters........     4
Item  6    Selected Financial Data..........................................................     5
Item  7    Management's Discussion and Analysis of Financial Condition and Results of
             Operations.....................................................................     5
Item  8    Financial Statements and Supplementary Data......................................     5
Item  9    Changes in and Disagreements with Accountants on Accounting and Financial
             Disclosure.....................................................................     5
 
PART III
Item 10    Directors and Executive Officers of the Registrant...............................     5
Item 11    Executive Compensation...........................................................     6
Item 12    Security Ownership of Certain Beneficial Owners and Management...................     7
Item 13    Certain Relationships and Related Transactions...................................     7
 
PART IV
Item 14    Exhibits, Financial Statement Schedules and Reports on Form 8-K
           Financial Statements and Financial Statement Schedules...........................     8
           Exhibits.........................................................................     8
           Reports on Form 8-K..............................................................     9
SIGNATURES..................................................................................    10
</TABLE>
 
                                       2
<PAGE>
                                     PART I
 
Item 1. Business
 
General
 
   Willowbridge Strategic Trust (the ``Trust'') was organized under the Delaware
Business Trust Statute on October 16, 1995 and commenced trading operations on
May 1, 1996. The Trust will terminate on December 31, 2015 unless terminated
sooner as provided in the Second Amended and Restated Declaration of Trust and
Trust Agreement (the ``Trust Agreement''). The Trust was formed to engage in the
speculative trading of commodity futures, options and forward contracts. The
Trustee of the Trust is Wilmington Trust Company.
 
   The Trust is offering a maximum of $100,000,000 of limited interests. On May
1, 1996, the Trust completed its initial offering with gross proceeds of
$12,686,200 from the sale of 125,352 limited interests and 1,510 general
interests (collectively, ``Interests''). Additional Interests are being offered
monthly at the then current net asset value per Interest until no later than
January 31, 1998 but in no event after $100,000,000 in limited interests are
sold (the ``Continuous Offering Period''). A minimum initial contribution of
$5,000 ($2,000 for an IRA account) is required for each new limited owner unless
Prudential Securities Futures Management Inc. (the ``Managing Owner''), in its
sole discretion, approves a contribution of a lesser amount. Existing limited
owners are permitted to make additional contributions in increments of not less
than $100 during the Continuous Offering Period.
 
   During the Continuous Offering Period through March 1, 1997, the Registrant
accepted additional subscriptions for an aggregate of 276,162 limited interests
and 2,887 general interests resulting in additional proceeds to the Registrant
of $27,517,000.
 
   All trading decisions for the Registrant are being made by Willowbridge
Associates Inc. (the ``Trading Manager''), an independent commodity trading
manager which manages the Registrant's assets pursuant to five trading programs
developed by the Trading Manager. The Managing Owner retains the authority to
override trading instructions that violate the Registrant's trading policies.
 
   The Registrant is engaged solely in the business of commodity futures,
options and forward trading; therefore, presentation of industry segment
information is not applicable.
 
Managing Owner
 
   The Managing Owner, Prudential Securities Futures Management Inc., is a
wholly-owned subsidiary of Prudential Securities Incorporated (``PSI''), which,
in turn, is a wholly-owned subsidiary of Prudential Securities Group Inc. PSI is
the principal underwriter and selling agent for the Trust's Interests as well as
the commodity broker (``Commodity Broker'') of the Trust. The Managing Owner is
required to maintain at least a 1% interest in the Trust so long as it is acting
as the Managing Owner. Therefore, it must contribute to the Trust between
$101,000 and $1,010,000 depending upon the total number of limited interests
sold. In return, it is entitled to a proportionate number of general interests
with at least a 1% interest in the profits and losses of the Trust.
 
Competition
 
   The Managing Owner and its affiliates have formed, and may continue to form,
various entities to invest in the speculative trading of futures, forward and
options contracts which have certain of the same investment policies as the
Registrant.
 
   The Registrant is an open-end fund which currently solicits the sale of
additional Interests on a monthly basis until the Continuous Offering Period
expires. As such, the Registrant may compete with other entities to attract new
participants. In addition, to the extent that the Trading Manager recommends
similar or identical trades to the Registrant and other accounts which it
manages, the Registrant may compete with those accounts for the execution of the
same or similar trades.
 
                                       3
<PAGE>
 
Employees
 
   The Registrant has no employees. Management and administrative services for
the Registrant are performed by the Managing Owner and its affiliates pursuant
to the Trust Agreement. See Notes A, C and D to the Registrant's annual report
to limited owners for the year ended December 31, 1996 (``Registrant's 1996
Annual Report'') which is filed as an exhibit hereto.
 
Item 2. Properties
 
   The Registrant does not own or lease any property.
 
Item 3. Legal Proceedings
 
   There are no material legal proceedings pending by or against the Registrant
or the Managing Owner.
 
Item 4. Submission of Matters to a Vote of Interest Holders
 
   None
 
                                    PART II
 
Item 5. Market for the Registrant's Interests and Related Interest Holder
        Matters
 
   As of March 3, 1997, there were 1,733 holders of record owning 377,767
Interests which include 4,397 general interests. A significant secondary market
for the Interests has not developed, and it is not expected that one will
develop in the future. There are also certain restrictions set forth in the
Trust Agreement limiting the ability of an Interest holder to transfer
Interests. Redemptions are permitted monthly, on at least 10 days' prior written
notice, commencing with the end of the first full month of Trust trading
activity, May 31, 1996. Redemptions are at the net asset value per Interest,
however, Interests redeemed on or prior to the end of the first and second
successive six-month periods after their purchase are subject to redemption
charges of 4% and 3%, respectively, of the net asset value at which they are
redeemed. These redemption charges are paid to the Managing Owner. Partial
redemptions are permitted. Consequently, holders of Interests may not be able to
liquidate their investments in the event of an emergency or for any other
reason.
 
   There are no material restrictions upon the Registrant's present or future
ability to make distributions in accordance with the provisions of the Trust
Agreement. No distributions have been made since inception and no distributions
are anticipated in the future.
 
                                       4
<PAGE>
 
Item 6. Selected Financial Data
 
   The following table presents selected financial data of the Registrant. This
data should be read in conjunction with the financial statements of the
Registrant and the notes thereto on pages 2 through 9 of the Registrant's 1996
Annual Report which is filed as an exhibit hereto.
 
<TABLE>
<CAPTION>
                                                  Period from May 1, 1996
                                                (commencement of operations)
                                                    to December 31, 1996
                                                ----------------------------
<S>                                             <C>
Net realized gain on commodity transactions             $  3,130,423
                                                    ----------------
                                                    ----------------
Net unrealized gain on open
  commodity positions                                   $    354,215
                                                    ----------------
                                                    ----------------
Interest income                                         $    663,866
                                                    ----------------
                                                    ----------------
Commissions                                             $  1,033,462
                                                    ----------------
                                                    ----------------
Management fees                                         $    409,964
                                                    ----------------
                                                    ----------------
Incentive fees                                          $    414,894
                                                    ----------------
                                                    ----------------
Net income                                              $  2,290,184
                                                    ----------------
                                                    ----------------
Allocation of net income:
  Limited interests                                     $  2,268,174
                                                    ----------------
                                                    ----------------
  General interests                                     $     22,010
                                                    ----------------
                                                    ----------------
  Net income per weighted average Interest              $      10.79
                                                    ----------------
                                                    ----------------
Total assets                                            $ 27,823,974
                                                    ----------------
                                                    ----------------
Redemptions                                             $  2,292,016
                                                    ----------------
                                                    ----------------
Net asset value per Interest                            $     103.47
                                                    ----------------
                                                    ----------------
</TABLE>
 
Item 7. Management's Discussion and Analysis of Financial Condition and Results
        of Operations
 
   This information is incorporated by reference to pages 10 and 11 of the
Registrant's 1996 Annual Report which is filed as an exhibit hereto.
 
Item 8. Financial Statements and Supplementary Data
 
   The financial statements are incorporated by reference to pages 2 through 9
of the Registrant's 1996 Annual Report which is filed as an exhibit hereto.
 
   Supplementary data specified by Item 302 of Regulation S-K (selected
quarterly financial data) is not applicable.
 
Item 9. Changes in and Disagreements with Accountants on Accounting and
        Financial Disclosure
 
   Reference is made to the Registrant's Current Report on Form 8-K dated May
14, 1996, as filed with the Securities and Exchange Commission on May 16, 1996
regarding the change in the Registrant's certifying accountant from Deloitte &
Touche LLP to Price Waterhouse LLP.
 
                                    PART III
 
Item 10. Directors and Executive Officers of the Registrant
 
   There are no directors or executive officers of the Registrant. The
Registrant is managed by the Managing Owner.
 
                                       5
<PAGE>
 
   The Managing Owner's directors and executive officers and any person holding
more than ten percent of the Registrant's Interests (``Ten Percent Owners'') are
required to report their initial ownership of such Interests and any subsequent
changes in that ownership to the Securities and Exchange Commission on Forms 3,
4 or 5. Such executive officers, directors and Ten Percent Owners are required
by Securities and Exchange Commission regulations to furnish the Registrant with
copies of all Forms 3, 4 or 5 they file. All of these filing requirements were
satisfied on a timely basis. In making these disclosures, the Registrant has
relied solely on written representations of the Managing Owner's directors and
executive officers or copies of the reports that they have filed with the
Securities and Exchange Commission during and with respect to its most recent
fiscal year.
 
   The directors and executive officers of Prudential Securities Futures
Management Inc. and their positions with respect to the Registrant are as
follows:
 
  Name                                      Position

James M. Kelso                  President and Director
Barbara J. Brooks               Treasurer and Chief Financial Officer
Steven Carlino                  Vice President and Chief Accounting Officer
A. Laurence Norton, Jr.         Director
Guy S. Scarpaci                 Director
 
   JAMES M. KELSO, age 42, is the President and a Director of Prudential
Securities Futures Management Inc. He is a Senior Vice President of Futures
Administration of PSI. He is also the President and a Director of Seaport
Futures Management, Inc. and serves in various capacities for other affiliated
companies. He has held several positions within PSI since July 1981.
 
   BARBARA J. BROOKS, age 48, is the Treasurer and Chief Financial Officer of
Prudential Securities Futures Management Inc. She is a Senior Vice President of
PSI. She is also the Treasurer and Chief Financial Officer of Seaport Futures
Management, Inc. and serves in various capacities for other affiliated
companies. She has held several positions within PSI since April 1983. Ms.
Brooks is a certified public accountant.
 
   STEVEN CARLINO, age 33, is a Vice President of Prudential Securities Futures
Management Inc. He is a First Vice President of PSI. He is also a Vice President
of Seaport Futures Management, Inc. and serves in various capacities for other
affiliated companies. Prior to joining PSI in October 1992, he was with Ernst &
Young for six years. Mr. Carlino is a certified public accountant.
 
   A. LAURENCE NORTON, JR., age 58, is a Director of Prudential Securities
Futures Management Inc. He is an Executive Vice President of PSI and head of its
Futures Division. He is also a Director of Seaport Futures Management, Inc. Most
recently, he held the position of Executive Director of Retail Development and
Retail Strategies at PSI. Prior to joining PSI in 1991, Mr. Norton was a Senior
Vice President and Branch Manager of Shearson Lehman Brothers.
 
   GUY S. SCARPACI, age 50, is a Director of Prudential Securities Futures
Management Inc. He is a First Vice President of the Futures Division of PSI. He
is also a Director of Seaport Futures Management, Inc. Mr. Scarpaci has been
employed by PSI in positions of increasing responsibility since August 1974.
 
   There are no family relationships among any of the foregoing directors or
executive officers. All of the foregoing directors and/or executive officers
have indefinite terms.
 
Item 11. Executive Compensation
 
   The Registrant does not pay or accrue any fees, salaries or any other form of
compensation to directors and officers of the Managing Owner for their services.
Certain directors and officers of the Managing Owner receive compensation from
affiliates of the Managing Owner, not from the Registrant, for services
performed for various affiliated entities, which may include services performed
for the Registrant; however, the Managing Owner believes that any compensation
attributable to services performed for the Registrant is immaterial. (See also
Item 13, Certain Relationships and Related Transactions, for information
regarding compensation to the Managing Owner.)
 
                                       6
<PAGE>
 
Item 12. Security Ownership of Certain Beneficial Owners and Management
 
   As of March 3, 1997, no director or executive officer of the Managing Owner
owns directly or beneficially any interest in the voting securities of the
Managing Owner.
 
   As of March 3, 1997, no director or executive officer of the Managing Owner
owns directly or beneficially any of the Interests issued by the Registrant.
 
   As of March 3, 1997, no owners of Interests beneficially own more than five
percent (5%) of the Interests issued by the Registrant.
 
Item 13. Certain Relationships and Related Transactions
 
   The Registrant has and will continue to have certain relationships with the
Managing Owner and its affiliates. However, there have been no direct financial
transactions between the Registrant and the directors or officers of the
Managing Owner.
 
   Reference is made to Notes A, C and D to the financial statements in the
Registrant's 1996 Annual Report which is filed as an exhibit hereto, which
identify the related parties and discuss the services provided by these parties
and the amounts paid or payable for their services.
 
                                       7
<PAGE>
                                    PART IV
 
<TABLE>
<CAPTION>
                                                                                              Page
                                                                                             Number
                                                                                          ------------
<S>  <C>      <C>                                                                         <C>
Item 14. Exhibits, Financial Statement Schedules and Reports on Form 8-K
(a)      1.   Financial Statements and Reports of Independent Accountants--Incorporated
              by reference to the Registrant's 1996 Annual Report which is filed as an
              exhibit hereto
              Reports of Independent Accountants:
              Report of Independent Accountants as of December 31, 1996 and for the
              period from May 1, 1996 (commencement of operations) to December 31, 1996        2
              Independent Auditors' Report as of December 31, 1995                             2A
              Financial Statements:
              Statements of Financial Condition--December 31, 1996 and 1995                    3
              Statement of Operations--Period from May 1, 1996 (commencement of
              operations) to December 31, 1996                                                 4
              Statements of Changes in Trust Capital--Year ended December 31, 1996             4
              Notes to Financial Statements                                                    5
         2.   Financial Statement Schedules
              All schedules have been omitted because they are not applicable or the
              required information is included in the financial statements or notes
              thereto.
         3.   Exhibits
              Description:
        3.1   Second Amended and Restated Declaration of Trust and Trust Agreement of
        and   the Registrant dated as of January 31, 1996 (incorporated by reference to
        4.1   Exhibits 3.1 and 4.1 of Registrant's Registration Statement on Form S-1,
              File No. 33-08443)
        4.2   Subscription Agreement (incorporated by reference to Exhibit 4.2 of
              Registrant's Registration Statement on Form S-1, File No. 33-08443)
        4.3   Request for Redemption (incorporated by reference to Exhibit 4.3 of
              Registrant's Registration Statement on Form S-1, File No. 33-08443)
       10.1   Form of Escrow Agreement among the Registrant, Prudential Securities
              Futures Management Inc., Prudential Securities Incorporated and The Bank
              of New York (incorporated by reference to Exhibit 10.1 of the
              Registrant's Registration Statement on Form S-1, File No. 33-08443)
       10.2   Brokerage Agreement between the Registrant and Prudential Securities
              Incorporated (incorporated by reference to Exhibit 10.2 of the
              Registrant's Registration Statement on Form S-1, File No. 33-08443)
       10.3   Advisory Agreement, among the Registrant, Prudential Securities Futures
              Management Inc. and Willowbridge Associates, Inc. (incorporated by
              reference to Exhibit 10.3 of the Registrant's Registration Statement on
              Form S-1, File No. 33-08443)
</TABLE>
 
                                       8
<PAGE>
<TABLE>
<S>  <C>      <C>                                                                         <C>
       10.4   Representation Agreement Concerning the Registration Statement and the
              Prospectus among the Registrant, Prudential Securities Futures Management
              Inc., Prudential Securities Incorporated, Wilmington Trust Company and
              Willowbridge Associates Inc. (incorporated by reference to Exhibit 10.4
              of the Registrant's Registration Statement on Form S-1, File No.
              33-08443)
       10.5   Net Worth Agreement between Prudential Securities Futures Management Inc.
              and Prudential Securities Group Inc. (incorporated by reference to
              Exhibit 10.5 of the Registrant's Registration Statement on Form S-1, File
              No. 33-08443)
       10.6   Secured Demand Note between Prudential Securities Group Inc. and
              Prudential Securities Futures Management Inc. (incorporated by reference
              to Exhibit 10.6 of the Registrant's Registration Statement on Form S-1,
              File No. 33-08443)
       10.7   Secured Demand Note Collateral Agreement between Prudential Securities
              Futures Management Inc. and Prudential Securities Group Inc.
              (incorporated by reference to Exhibit 10.7 of the Registrant's
              Registration Statement on Form S-1, File No. 33-08443)
       10.8   Form of Foreign Currency Addendum to Brokerage Agreement between the
              Registrant and Prudential Securities Incorporated (incorporated by
              reference to Exhibit 10.8 of the Registrant's Quarterly Report on Form
              10-Q for the period ended June 30, 1996)
         13   Registrant's 1996 Annual Report (with the exception of the information
              and data incorporated by reference in Items 7 and 8 of this Annual Report
              on Form 10-K, no other information or data appearing in the Registrant's
              1996 Annual Report is to be deemed filed as part of this report) (filed
              herewith)
       16.1   Letter dated May 15, 1996 from Deloitte & Touche LLP to the Securities
              and Exchange Commission regarding change in certifying accountant
              (incorporated by reference to Exhibit 16.1 to the Registrant's Current
              Report on Form 8-K dated May 14, 1996)
       27.1   Financial Data Schedule (filed herewith)
(b)           Reports on Form 8-K--None
              No reports on Form 8-K were filed during the last quarter of the period
              covered by this report.
</TABLE>
                                       9
<PAGE>
                                   SIGNATURES
 
   Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
 
Willowbridge Strategic Trust
By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner
     By: /s/ Steven Carlino                       Date: March 27, 1997
     ----------------------------------------
     Steven Carlino
     Vice President and Chief Accounting
     Officer
 
   Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
Registrant and in the capacities (with respect to the Managing Owner) and on the
dates indicated.

By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner
    By: /s/ James M. Kelso                        Date: March 27, 1997
    -----------------------------------------
    James M. Kelso
    President and Director

    By: /s/ Barbara J. Brooks                     Date: March 27, 1997
    -----------------------------------------
    Barbara J. Brooks
    Treasurer and Chief Financial Officer

    By: /s/ Steven Carlino                        Date: March 27, 1997
    -----------------------------------------
    Steven Carlino
    Vice President

    By: /s/ A. Laurence Norton, Jr.               Date: March 27, 1997
    -----------------------------------------
    A. Laurence Norton, Jr.
    Director

    By: /s/ Guy S. Scarpaci                       Date: March 27, 1997
    -----------------------------------------
    Guy S. Scarpaci
    Director
 
                                       10