<PAGE>
                                                         2000
--------------------------------------------------------------------------------
World Monitor Trust II--                                 Annual
Series E                                                 Report

<PAGE>
                        WORLD MONITOR TRUST II--SERIES E

                                                                      March 2001

Letter to Limited Owners




                                       1

<PAGE>
PricewaterhouseCoopers (LOGO)

                                         PricewaterhouseCoopers LLP
                                         1177 Avenue of the Americas
                                         New York, NY 10036
                                         Telephone (212) 596 8000
                                         Facsimile (212) 596 8910

                       Report of Independent Accountants

To the Managing Owner and Limited Owners
of World Monitor Trust II--Series E

In our opinion, the accompanying statements of financial condition and the
related statements of operations and changes in trust capital present fairly, in
all material respects, the financial position of World Monitor Trust II--Series
E at December 31, 2000 and 1999, and the results of its operations for the
period from April 6, 2000 (commencement of operations) to December 31, 2000 in
conformity with accounting principles generally accepted in the United States of
America. These financial statements are the responsibility of the Managing
Owner; our responsibility is to express an opinion on these financial statements
based on our audits. We conducted our audits of these statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by the Managing Owner, and evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP
January 26, 2001

                                       2

<PAGE>
                        WORLD MONITOR TRUST II--SERIES E
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION

<TABLE>
<CAPTION>
                                                                                  December 31,
                                                                            ------------------------
                                                                                2000          1999
<S>                                                                         <C>             <C>
----------------------------------------------------------------------------------------------------
ASSETS
Cash                                                                         $ 5,485,764    $  1,000
Net unrealized gain on open futures contracts                                    958,857          --
                                                                            ------------    --------
Total assets                                                                 $ 6,444,621    $  1,000
                                                                            ------------    --------
                                                                            ------------    --------
LIABILITIES AND TRUST CAPITAL
Liabilities
Incentive fees payable                                                       $   238,625    $     --
Accrued expenses payable                                                          47,623          --
Commissions and other transaction fees payable                                    36,522          --
Management fees payable                                                           11,953          --
Net unrealized loss on open forward contracts                                      3,584          --
                                                                            ------------    --------
Total liabilities                                                                338,307          --
                                                                            ------------    --------
Commitments
Trust capital
Limited interests (49,983.432 and -0- interests outstanding)                   6,016,047          --
General interests (750 and 10 interests outstanding)                              90,267       1,000
                                                                            ------------    --------
Total trust capital                                                            6,106,314       1,000
                                                                            ------------    --------
Total liabilities and trust capital                                          $ 6,444,621    $  1,000
                                                                            ------------    --------
                                                                            ------------    --------
Net asset value per limited and general interest ('Interests')               $    120.36    $ 100.00
                                                                            ------------    --------
                                                                            ------------    --------
</TABLE>
--------------------------------------------------------------------------------
        The accompanying notes are an integral part of these statements.

                                       3
<PAGE>
                        WORLD MONITOR TRUST II--SERIES E
                          (a Delaware Business Trust)
                            STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
                                                                                  For the period
                                                                                       from
                                                                                  April 6, 2000
                                                                                 (commencement of
                                                                                  operations) to
                                                                                   December 31,
                                                                                       2000
<S>                                                                              <C>
-------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions                                         $     474,366
Net unrealized gain/loss on open commodity positions                                      955,273
Interest income                                                                           230,425
                                                                                 ----------------
                                                                                        1,660,064
                                                                                 ----------------
EXPENSES
Commissions and other transaction fees                                                    250,449
Management fees                                                                            76,878
Incentive fees                                                                            238,625
General and administrative                                                                 58,344
                                                                                 ----------------
                                                                                          624,296
                                                                                 ----------------
Net income                                                                          $   1,035,768
                                                                                 ----------------
                                                                                 ----------------
ALLOCATION OF NET INCOME
Limited interests                                                                   $   1,020,501
                                                                                 ----------------
                                                                                 ----------------
General interests                                                                   $      15,267
                                                                                 ----------------
                                                                                 ----------------
NET INCOME PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST
Net income per weighted average limited and general interest                        $       19.41
                                                                                 ----------------
                                                                                 ----------------
Weighted average number of limited and general interests outstanding                       53,350
                                                                                 ----------------
                                                                                 ----------------
-------------------------------------------------------------------------------------------------
</TABLE>

                     STATEMENT OF CHANGES IN TRUST CAPITAL
<TABLE>
<CAPTION>
                                                               LIMITED        GENERAL
                                               INTERESTS      INTERESTS      INTERESTS       TOTAL
<S>                                            <C>            <C>            <C>           <C>
-----------------------------------------------------------------------------------------------------
Trust capital--December 31, 1999                   10.000     $   --          $ 1,000      $    1,000
Contributions                                  59,172.609      5,797,957       74,000       5,871,957
Net income                                                     1,020,501       15,267       1,035,768
Redemptions                                    (8,449.177)      (802,411)       --           (802,411)
                                               ----------     ----------     ---------     ----------
Trust capital--December 31, 2000               50,733.432     $6,016,047      $90,267      $6,106,314
                                               ----------     ----------     ---------     ----------
                                               ----------     ----------     ---------     ----------
-----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements.
</TABLE>
                                       4
<PAGE>
                        WORLD MONITOR TRUST II--SERIES E
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS

A. General

The Trust, Trustee, Managing Owner and Affiliates

   World Monitor Trust II (the 'Trust') is a business trust organized under the
laws of Delaware on April 22, 1999. The Trust consists of three separate and
distinct series ('Series'): Series D, E and F. Series D, E and F commenced
trading operations on March 13, 2000, April 6, 2000 and March 1, 2000,
respectively, and each Series will continue to exist until terminated pursuant
to the provisions of Article XIII of the First Amended and Restated Declaration
of Trust and Trust Agreement (the 'Trust Agreement'). The assets of each Series
are segregated from those of the other Series, separately valued and
independently managed. Each Series was formed to engage in the speculative
trading of a diversified portfolio of futures, forward and options contracts,
and may, from time to time, engage in cash and spot transactions. The trustee of
the Trust is Wilmington Trust Company. The managing owner is Prudential
Securities Futures Management Inc. (the 'Managing Owner'), 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 selling
agent for the Trust as well as its commodity broker ('Commodity Broker').

The Offering

   Up to $50,000,000 of limited interests in each Series ('Limited Interests')
are being offered (totalling $150,000,000) ('Subscription Maximum'). Interests
are being offered to investors who meet certain established suitability
standards, with a minimum initial subscription of $5,000 ($2,000 for an
individual retirement account), although the minimum purchase for any single
Series is $1,000. General interests are also being sold exclusively to the
Managing Owner. Limited Interests and general interests are sometimes
collectively referred to as 'Interests.'

   Initially, the Limited Interests for each Series were offered for a period of
up to 180 days after the date of the Prospectus ('Initial Offering Period'). The
price per Interest during the Initial Offering Period was $100. Each Series
could commence operations at any time if the minimum amount of Limited Interests
was sold before the Initial Offering Period expired ('Subscription Minimum').
The Subscription Minimum of $5,000,000 for each Series was reached and, as a
result, Series D, E and F commenced trading operations. Series E completed its
initial offering April 6, 2000 with gross proceeds of $5,157,459, which was
fully allocated to commodities trading. Until the Subscription Maximum for each
Series is reached, each Series' Limited Interests will continue to be offered on
a weekly basis at the then current net asset value per Interest ('Continuous
Offering Period').

   The Managing Owner is required to maintain at least a 1% interest in the
capital, profits and losses of each Series so long as it is acting as the
Managing Owner, and it will make such contributions (and in return will receive
general interests) as are necessary to meet this requirement.

The Trading Advisor

   Each Series has its own independent commodity trading advisor that makes that
Series' trading decisions. The Managing Owner, on behalf of Series E, entered
into an advisory agreement with Graham Capital Management, L.P. (the 'Trading
Advisor') to make the trading decisions for Series E. The advisory agreement may
be terminated for various reasons, including at the discretion of the Managing
Owner. The Managing Owner has allocated 100% of the proceeds from the initial
and continuous offering of Series E to the Trading Advisor and it is currently
contemplated that the Trading Advisor will continue to be allocated 100% of
additional capital raised for Series E during the Continuous Offering Period.

Exchanges, Redemptions and Termination

   Interests owned in one Series may be exchanged, without any charge, for
Interests of one or more other Series on a weekly basis for as long as Limited
Interests in those Series are being offered to the public. Exchanges are made at
the applicable Series' then current net asset value per Interest as of the close
of business on the Friday immediately preceding the week in which the exchange
request is effected. The

                                       5

<PAGE>
exchange of Interests is treated as a redemption of Interests in one Series
(with the related tax consequences) and the simultaneous purchase of Interests
in the Series exchanged into.

   Redemptions are permitted on a weekly basis. Limited Interests redeemed on or
before the end of the first and second successive six-month periods after their
effective dates of purchase are subject to a redemption fee of 4% and 3%,
respectively, of the net asset value at which they are redeemed. Redemption fees
are paid to the Managing Owner.

   In the event that the estimated net asset value per Interest of a Series at
the end of any business day, after adjustments for distributions, declines by
50% or more since the commencement of trading activities or the first day of a
fiscal year, the Series will automatically terminate.

B. Summary of Significant Accounting Policies

Basis of accounting

   The financial statements of Series E are prepared in accordance with
accounting principles generally accepted in the United States of America. Such
principles require the Managing Owner to make estimates and assumptions that
affect the reported amounts of liabilities at the date of the financial
statements and the reported amounts of expenses during the reporting period.
Actual results could differ from those estimates.

   Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value is reflected as net unrealized gain or
loss. The market value of each contract is based upon the closing quotation on
the exchange, clearing firm or bank on, or through, which the contract is
traded.

   The weighted average number of Limited Interests and general interests
outstanding was computed for purposes of disclosing net income per weighted
average Limited Interest and general interest. The weighted average Limited
Interests and general interests are equal to the number of Interests outstanding
at period end, adjusted proportionately for Interests subscribed and redeemed
based on their respective time outstanding during such period.

   Series E has elected not to provide a Statement of Cash Flows as permitted by
Statement of Financial Accounting Standards No. 102, 'Statement of Cash
Flows--Exemption of Certain Enterprises and Classification of Cash Flows from
Certain Securities Acquired for Resale.'

Income taxes

   Series E is treated as a partnership for Federal income tax purposes. As
such, Series E is not required to provide for, or pay, any Federal or state
income taxes. Income tax attributes that arise from its operations are passed
directly to the individual Interest holders including the Managing Owner. Series
E may be subject to other state and local taxes in jurisdictions in which it
operates.

Profit and loss allocations and distributions

   Series E allocates profits and losses for both financial and tax reporting
purposes to its Interest holders weekly on a pro rata basis based on each
owner's Interests outstanding during the week. Distributions (other than
redemptions of Interests) may be made at the sole discretion of the Managing
Owner on a pro rata basis in accordance with the respective capital balances of
the Interest holders; however, the Managing Owner does not presently intend to
make any distributions.

New Accounting Guidance

   In June 2000, the Financial Accounting Standards Board ('FASB') issued
Statement No. 138, Accounting for Certain Derivative Instruments and Certain
Hedging Activities--an amendment of FASB Statement No. 133 ('SFAS 138'), which
became effective for Series E on July 1, 2000. SFAS 138 amends the accounting
and reporting standards of FASB Statement No. 133 for certain derivative
instruments and certain hedging activities. SFAS 138 has not had a material
effect on the carrying value of assets and liabilities within the financial
statements.

                                       6
<PAGE>
C. Fees

Organizational and offering costs

   PSI or its affiliates paid the costs of organizing Series E, and continue to
pay the costs of offering its Limited Interests.

General and administrative costs

   Routine legal, audit, postage, and other routine third party administrative
costs are paid by Series E. Additionally, Series E pays the administrative costs
incurred by the Managing Owner or its affiliates for services they perform for
Series E which include, but are not limited to, those costs discussed in Note D
below. However, all of these general and administrative costs incurred by Series
E are limited to 1.5% annually of Series E's net asset value.

Management and incentive fees

   Series E pays its Trading Advisor a management fee at an annual rate of 2% of
its net asset value allocated to its management. The management fee is
determined weekly and the sum of such weekly amounts is paid monthly. Series E
also pays its Trading Advisor a quarterly incentive fee equal to 22% of such
Trading Advisor's 'New High Net Trading Profits' (as defined in the advisory
agreement). The incentive fee also accrues weekly.

Commissions

   The Managing Owner and the Trust entered into a brokerage agreement with PSI
to act as Commodity Broker for each Series whereby Series E pays a fixed fee for
brokerage services rendered at an annual rate of 6% of Series E's net asset
value. The fee is determined weekly and the sum of such weekly amounts is paid
monthly. Series E is also obligated to pay all floor brokerage expenses, give-up
charges and NFA, clearing and exchange fees incurred in connection with Series
E's commodity trading activities.

D. Related Parties

   Series E reimburses the Managing Owner or its affiliates for services they
perform for Series E which include but are not limited to: brokerage services;
accounting and financial management; registrar, transfer and assignment
functions; investor communications; printing and other administrative services.
However, the amount of general and administrative expenses incurred by Series E
is limited to 1.5% of its net asset value during the year. Because general and
administrative expenses exceeded this limit, Series E did not incur any costs
for services provided by the Managing Owner and its affiliates, other than
brokerage services, during the period from April 6, 2000 (commencement of
operations) to December 31, 2000 as these costs have been borne by the Managing
Owner and its affiliates. Additionally, PSI or its affiliates paid the costs
of organizing Series E and continue to pay the cost of offering its
Limited Interests.

   The cost incurred by Series E for brokerage services performed by the
Managing Owner and its affiliates for the period from April 6, 2000
(commencement of operations) to December 31, 2000 was $229,887.

   All of the proceeds of the offering of Series E are received in the name of
Series E and are deposited in trading or cash accounts at PSI. Series E's assets
are maintained with PSI or, for margin purposes, with the various exchanges on
which Series E is permitted to trade. Series E receives interest income on 100%
of its average daily equity maintained in cash in its accounts with PSI during
each month at the 13-week Treasury bill discount rate. This rate is determined
weekly by PSI, and represents the rate awarded to all bidders during each week's
auction of 13-week Treasury bills.

   Series E, acting through its trading advisor, may execute over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions. PBGM
keeps its prices on foreign currency competitive with other interbank currency
trading desks. All over-the-counter currency transactions are conducted between
PSI and Series E pursuant to a line of credit. PSI may require that collateral
be posted against the marked-to-market positions of Series E.

   As of December 31, 2000, a non-U.S. affiliate of the Managing Owner owns
54.284 Limited Interests of Series E.

                                       7
<PAGE>
E. Income Taxes

   There have been no differences between the tax basis and book basis of
Interest holders' capital since inception of the Trust.

F. Derivative Instruments and Associated Risks

   Series E is exposed to various types of risks associated with the derivative
instruments and related markets in which it invests. These risks include, but
are not limited to, risk of loss from fluctuations in the value of derivative
instruments held (market risk) and the inability of counterparties to perform
under the terms of Series E's investment activities (credit risk).

Market risk

   Trading in futures and forward (including foreign exchange transactions)
contracts involves entering into contractual commitments to purchase or sell a
particular commodity at a specified date and price. The gross or face amount of
the contracts, which is typically many times that of Series E's net assets being
traded, significantly exceeds Series E's future cash requirements since Series E
intends to close out its open positions prior to settlement. As a result, Series
E is generally subject only to the risk of loss arising from the change in the
value of the contracts. As such, Series E considers the 'fair value' of its
derivative instruments to be the net unrealized gain or loss on the contracts.
The market risk associated with Series E's commitments to purchase commodities
is limited to the gross or face amount of the contracts held. However, when
Series E enters into a contractual commitment to sell commodities, it must make
delivery of the underlying commodity at the contract price and then repurchase
the contract at prevailing market prices. Since the repurchase price to which a
commodity can rise is unlimited, entering into commitments to sell commodities
exposes Series E to unlimited risk.

   Market risk is influenced by a wide variety of factors including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments Series E holds and the liquidity and inherent
volatility of the markets in which Series E trades.

Credit risk

   When entering into futures or forward contracts, Series E is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded in the United States and on most
foreign futures exchanges is the clearinghouse associated with such exchanges.
In general, clearinghouses are backed by their corporate members who are
required to share any financial burden resulting from the non-performance by one
of their members and, as such, should significantly reduce this credit risk. In
cases where the clearinghouse is not backed by the clearing members (i.e., some
foreign exchanges), it is normally backed by a consortium of banks or other
financial institutions. On the other hand, the sole counterparty to Series E's
forward transactions is PSI, Series E's commodity broker. Series E has entered
into a master netting agreement with PSI and, as a result, presents unrealized
gains and losses on open forward positions as a net amount in the statements of
financial condition. The amount at risk associated with counterparty
nonperformance of all of Series E's contracts is the net unrealized gain
included in the statements of financial condition. There can be no assurance
that any counterparty, clearing member or clearinghouse will meet its
obligations to Series E.

   The Managing Owner attempts to minimize both credit and market risks by
requiring Series E and its Trading Advisor to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for any one commodity or all commodities
combined; and generally limiting transactions to contracts which are traded in
sufficient volume to permit the taking and liquidating of positions.
Additionally, pursuant to the Advisory Agreement among Series E, the Managing
Owner and the Trading Advisor, Series E shall automatically terminate the
Trading Advisor if the net asset value allocated to the Trading Advisor declines
by 40% from the value at the beginning of any year or since the commencement of
trading activities. Furthermore, the Trust Agreement provides that Series E will
liquidate its positions, and eventually dissolve, if Series E experiences a
decline in the net asset value of 50% from the value at the beginning of any
year or since the commencement of trading activities. In each case, the decline
in net asset value is after giving effect for distributions, contributions and
redemptions. The Managing Owner may impose additional restrictions

                                       8
<PAGE>
(through modifications of trading limitations and policies) upon the
trading activities of the Trading Advisor as it, in good faith, deems to be in
the best interests of Series E.

   PSI, when acting as Series E's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to Series E all assets of Series E relating to
domestic futures trading and is not to commingle such assets with other assets
of PSI. At December 31, 2000, such segregated assets totalled $5,089,390. Part
30.7 of the CFTC regulations also requires PSI to secure assets of Series E
related to foreign futures trading which totalled $1,355,231 at December 31,
2000. There are no segregation requirements for assets related to forward
trading.

   As of December 31, 2000, Series E's open futures and forward contracts
generally mature within one year, although certain interest rate futures
contracts have maturities as distant as June 2002.

   The following table presents the fair value of futures and forward contracts
at December 31, 2000:

<TABLE>
<CAPTION>
                                                            Assets       Liabilities
                                                          ----------     -----------
<S>                                                       <C>            <C>
Futures Contracts:
  Domestic exchanges
     Interest rates                                       $  275,953      $       --
     Currencies                                              260,258          28,675
     Commodities                                             132,815          37,116
  Foreign exchanges
     Interest rates                                          309,325              --
     Stock indices                                            68,667           5,300
     Commodities                                              20,396          37,466
Forward Contracts:
     Currencies                                               33,172          36,756
                                                          ----------     -----------
                                                          $1,100,586      $  145,313
                                                          ----------     -----------
                                                          ----------     -----------
</TABLE>

                                       9
<PAGE>
--------------------------------------------------------------------------------

   I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust II--Series E is accurate and
complete.

     PRUDENTIAL SECURITIES
     FUTURES MANAGEMENT INC.
     (Managing Owner)

     By: Barbara J. Brooks
     Chief Financial Officer
--------------------------------------------------------------------------------

                                       10
<PAGE>
                        WORLD MONITOR TRUST II--SERIES E
                          (a Delaware Business Trust)
          MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
                           AND RESULTS OF OPERATIONS

Liquidity and Capital Resources

   Series E commenced operations on April 6, 2000 with gross proceeds of
$5,157,459 allocated to commodities trading. Additional contributions raised
through the continuous offering for the period from April 6, 2000 (commencement
of operations) through December 31, 2000 resulted in additional gross proceeds
to Series E of $715,498. Additional Limited Interests of Series E will continue
to be offered on a weekly basis at the net asset value per Interest until the
subscription maximum is sold.

   Limited Interests in Series E may be redeemed on a weekly basis, but are
subject to a redemption fee if transacted within one year of the effective date
of purchase. Redemptions from April 6, 2000 (commencement of operations) to
December 31, 2000 were entirely on Limited Interests and totalled $802,411.
Additionally, Interests owned in any series of World Monitor Trust II (Series D,
E or F) may be exchanged, without any charge, for Interests of one or more other
series of World Monitor Trust II on a weekly basis for as long as Limited
Interests in those series are being offered to the public. Future contributions,
redemptions and exchanges will impact the amount of funds available for
investment in commodity contracts in subsequent periods.

   At December 31, 2000, 100% of Series E's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for trading in commodities. Inasmuch as the sole
business of Series E is to trade in commodities, Series E continues to own such
liquid assets to be used as margin. PSI credits Series E with interest income on
100% of its average daily equity maintained in cash in its accounts with PSI
during each month at the 13-week Treasury bill discount rate. This rate is
determined weekly by PSI and represents the rate awarded to all bidders during
each week's auction of 13-week Treasury bills.

   The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as 'daily limits.' During
a single day, no trades may be executed at prices beyond the daily limit. Once
the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent Series E from promptly liquidating its commodity
futures positions.

   Since Series E's business is to trade futures and forward contracts, its
capital is at risk due to changes in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contracts
(credit risk). Series E's exposure to market risk is influenced by a number of
factors including the volatility of interest rates and foreign currency exchange
rates, the liquidity of the markets in which the contracts are traded and the
relationships among the contracts held. The inherent uncertainty of Series E's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond Series E's experience to date
and could ultimately lead to a loss of all or substantially all of investors'
capital. The Managing Owner attempts to minimize these risks by requiring Series
E and its trading advisor to abide by various trading limitations and policies
which include limiting margin amounts, trading only in liquid markets and
permitting the use of stop loss provisions. See Note F to the financial
statements for a further discussion on the credit and market risks associated
with Series E's futures and forward contracts.

   Series E does not have, nor does it expect to have, any capital assets.

Results of Operations

   Series E commenced trading operations on April 6, 2000, and as such, no
comparative information to prior periods is available.

                                       11

<PAGE>
   As of December 31, 2000, Series E reported a net asset value per Interest of
$120.36, an increase of 20.36% from the April 6, 2000 initial net asset value
per Interest of $100.00. This return compares favorably to the MAR (Managed
Account Reports) Fund/Pool Index, which tracks the performance of approximately
300 futures funds, and returned 10.44% for the April through December 2000
period. Past performance is not necessarily indicative of future results.

   Series E's gross trading gains for the period from April 6, 2000
(commencement of operations) to December 31, 2000 were $1,430,000. A detailed
discussion of the trading results is presented below.

   Series E's favorable performance in 2000 was the result of gains in the
energy, currency, stock index and interest rate sectors. Losses were experienced
in the grain and metal sectors.

   Energy prices climbed throughout January and February and into the first week
of March. Increased demand and low supplies caused oil prices to surge once
again during the second and third quarters resulting in gains for long energy
positions. Energy markets ended a year long uptrend with natural gas surging to
an all time high in December as low supplies were strained by unusually cold
temperatures in the U.S. Losses in short gas positions during the fourth quarter
were not large enough to offset second and third quarter gains and positions in
the energy sector produced net gains for the year.

   The euro began 2000 lower versus the U.S. dollar, Japanese yen and British
pound before rallying slightly in June as a result of solid European economic
data and sentiment that the currency was undervalued. Long euro positions
produced gains. Despite a brief rally after intervention by the European Central
Bank and other G-7 central banks to boost the failing euro in September, the
euro settled back down more than $0.02 below its intervention peaks and short
positions resulted in gains for Series E. The euro reversed its downtrend during
the fourth quarter as it rose against the U.S. dollar and Japanese yen resulting
in gains for long positions. Prior to commencement of Series E's operations in
April 2000, the Japanese yen rallied sharply, gaining on the U.S. dollar and
most other currencies in the final months of Japan's fiscal year (which ended
March 31st). This was attributed to positive sentiment regarding Japan's
economy. In May, the yen rose slightly against the U.S. dollar supported by
expectations of a possible change in the Bank of Japan's (BOJ) zero-interest
rate policy and continued to rise when the BOJ increased short-term interest
rates in August. Long yen positions produced gains for Series E during the
second and third quarters of the year. Political and economic uncertainty in
Japan during the fourth quarter caused the yen to fall against the U.S. dollar
and short Japanese yen positions resulted in gains. The British pound was down
against the U.S. dollar during the second quarter of the year, loosely tracking
the euro's downward trend. In June, long British pound positions were profitable
for Series E as the Bank of England left interest rates unchanged and the pound
sterling bounced back from its earlier decline. The British pound and other
foreign currencies rose against the U.S. dollar in the fourth quarter due to a
weakening U.S. economy resulting in gains for long positions.

   Global bond markets began 2000 on a strong note. Despite rate hikes and news
of robust worldwide economic growth, global bond markets continued to rally
partially due to investors seeking refuge from volatile equity markets. Short
U.S. and euro bond positions resulted in losses in the second quarter of the
year. Negative equity performance throughout the third and fourth quarters and
mounting fears of a global economic slowdown contributed to a bond market rally
towards year end as investors continued their flight to quality from the stock
market. Prices of long- and short-term interest rate instruments rose and Series
E experienced gains in long U.S., Australian and euro bond positions during the
last quarter of the year.

   Extreme volatility in world financial markets during the second quarter of
2000 led to a lack of trending opportunities, resulting in losses for positions
in stock indices. During the second half of the year, equity markets experienced
continued volatility, but markets trended downward as global economies began to
show signs of slowing down. Most major indices ended the year lower resulting in
gains for short positions during the fourth quarter.

   In the grain sector, long positions in corn incurred losses during the second
quarter of the year as corn prices trended down. Favorable growing conditions
faced the corn market with a potentially large crop, consequently prices fell.
Soybean markets rallied sharply in November following a decision by the European
Union to ban meat based animal feed, which was expected to boost demand for
soybean meal. Gains in long soybean meal and soybean oil positions were not
sufficient to offset earlier losses in corn positions.

                                       12

<PAGE>
   Short metal positions incurred losses for Series E throughout much of 2000 as
strong demand and fears of inflation drove prices higher. In addition, the high
cost of energy, which is used in the production of base metals, caused a
decrease in metal supply driving prices higher and incurring losses for short
positions.

   Interest income is earned on the average daily equity maintained in cash with
PSI at the 13-week Treasury bill discount rate and, therefore, varies weekly
according to interest rates, trading performance, contributions and redemptions.
Interest income for the period from April 6, 2000 (commencement of operations)
to December 31, 2000 was $230,000.

   Commissions are calculated on Series E's net asset value at the end of each
week and therefore, vary according to weekly trading performance, contributions
and redemptions. Other transaction fees consist of National Futures Association,
exchange and clearing fees as well as floor brokerage costs and give-up charges,
which are based on the number of trades the trading advisor executes, as well as
which exchange, clearing firm or bank on, or through, which the contract is
traded. Commissions and other transaction fees for the period from April 6, 2000
(commencement of operations) to December 31, 2000 were $250,000.

   All trading decisions for Series E are made by Graham Capital Management,
L.P. (the 'Trading Advisor'). Management fees are calculated on Series E's net
asset value at the end of each week and therefore, are affected by weekly
trading performance, contributions and redemptions. Management fees for the
period from April 6, 2000 (commencement of operations) to December 31, 2000 were
$77,000.

   Incentive fees are based on the 'New High Net Trading Profits' generated by
the Trading Advisor, as defined in the Advisory Agreement among Series E, the
Managing Owner and the Trading Advisor. Incentive fees generated for the period
from April 6, 2000 (commencement of operations) to December 31, 2000 were
$239,000.

   General and administrative expenses for the period from April 6, 2000
(commencement of operations) to December 31, 2000 were $58,000. These expenses
include accounting, audit, tax and legal fees as well as printing and postage
costs related to reports sent to limited owners. The total amount of general and
administrative expenses charged to Series E in any year is limited to 1.5% of
its net asset value during such year and, because applicable expenses exceeded
this limit, there were no expenses incurred to reimburse the Managing Owner and
its affiliates for its costs incurred on behalf of Series E for the period from
April 6, 2000 (commencement of operations) to December 31, 2000.

New Accounting Guidance

   In June 2000, FASB issued Statement No. 138, Accounting for Certain
Derivative Instruments and Certain Hedging Activities--an amendment of FASB
Statement No. 133 ('SFAS 138'), which became effective for Series E on July 1,
2000. SFAS 138 amends the accounting and reporting standards of FASB Statement
No. 133 for certain derivative instruments and certain hedging activities. SFAS
138 has not had a material effect on the carrying value of assets and
liabilities within the financial statements.

Inflation

   Inflation has had no material impact on operations or on the financial
condition of Series E from inception through December 31, 2000.

                                       13

<PAGE>
                               OTHER INFORMATION

   The actual round-turn equivalent of brokerage commissions paid per contract
for the period from April 6, 2000 (commencement of operations) to December 31,
2000 was $56.

   Series E's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited owners without charge upon written
request to:

        World Monitor Trust II--Series E
        P.O. Box 2016
        Peck Slip Station
        New York, New York 10272-2016

                                       14


<PAGE>
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