S&P MANAGED FUTURES INDEX FUND LP - 10-Q Quarterly Report

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934

FOR THE QUARTERLY PERIOD ENDED: MARCH 31, 2004

/ / 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: 333-107357

S&P MANAGED FUTURES INDEX FUND, LP
(Exact name of registrant as specified in its charter)

DELAWARE 90-0080448
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)

C/O REFCOFUND HOLDINGS, LLC
550 W. JACKSON, SUITE 1300
CHICAGO, ILLINOIS 60661
(Address of principal executive offices, including zip code)

Registrant's telephone number, including area code: (312) 788-2000

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 /X/ No / /

Indicate by check mark whether the Registrant is an accelerated filer (as
defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes / / No /X/

S&P MANAGED FUTURES INDEX FUND, LP
(A DELAWARE LIMITED PARTNERSHIP)

TABLE OF CONTENTS

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements 1

Statement of Assets and Liabilities, March 31, 2004 (unaudited) 1

Statement of Operations for the Period March 15, 2004 (Commencement of Operations) 2
to March 31, 2004 (unaudited)

Statement of Changes in Net Assets for the Period March 15, 2004 (Commencement of 3
Operations) to March 31, 2004 (unaudited)

Statement of Cash Flows for the Period March 15, 2004 (Commencement of 4
Operations) to March 31, 2004 (unaudited)

Schedule of Investments, March 31, 2004 (unaudited) 5

Notes to Financial Statements (unaudited) 6-10

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 11-12

Item 3. Quantitative and Qualitative Disclosures About Market Risk 13-16

Item 4. Controls and Procedures 16

PART II - OTHER INFORMATION 17

Item 6. Exhibits and Reports on Form 8-K 17

SIGNATURES 18

STATEMENT OF ASSETS AND LIABILITES
MARCH 31, 2004 (UNAUDITED)

ASSETS:
Cash $ 777,045
Investments in SPC (Notes 1 and 2) 5,046,404
Investment made in advance 1,097,000
Receivable from General Partner 8,357
-------------
TOTAL ASSETS 6,928,806
-------------

LIABILITIES:
Subscriptions received in advance 1,814,695
Redemption payable 736,950
Accrued expenses 45,776
-------------
TOTAL LIABILITIES 2,597,421
-------------

NET ASSETS $ 4,331,385
=============

NET ASSET VALUE PER PARTNERSHIP UNIT:
CLASS A - based on Net Assets of $3,300,638
and 3,364.515 partnership units outstanding $ 981.02
CLASS B - based on Net Assets of $1,030,747
and 1,049.000 partnership units outstanding $ 982.60

See notes to financial statements.

1

STATEMENT OF OPERATIONS
PERIOD MARCH 15, 2004 (COMMENCEMENT OF OPERATIONS)
TO MARCH 31, 2004 (UNAUDITED)

OPERATING EXPENSES:
Management fees
Class A $ 5,753
Class B 1,594
Administration fee
Class A 16,636
Class B 3,063
Professional fees 14,737
Other expenses 3,993
-------------
Total expenses 45,776
-------------

Less reimbursement of expenses by General Partner (8,357)
-------------

NET INVESTMENT LOSS (37,419)
-------------

DECREASE IN EQUITY IN SPC (57,761)
-------------

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (95,180)
=============

See notes to financial statements.

2

STATEMENT OF CHANGES IN NET ASSETS
PERIOD MARCH 15, 2004 (COMMENCEMENT OF OPERATIONS)
TO MARCH 31, 2004 (UNAUDITED)

DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS:
Net investment loss $ (37,419)
Decrease in equity in SPC (57,761)
-------------

Net decrease in net assets resulting from operations (95,180)
-------------

INCREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS:
Proceeds from issuance of partnership units
Class A 3,364,515
Class B 1,799,000
Redemption of partnership units
Class B (736,950)
-------------

Total increase in net assets from capital transactions 4,426,565
-------------

NET INCREASE IN NET ASSETS 4,331,385

NET ASSETS AT BEGINNING OF PERIOD -
-------------

NET ASSETS AT END OF PERIOD $ 4,331,385
=============

See notes to financial statements.

3

STATEMENT OF CASH FLOWS
PERIOD MARCH 15, 2004 (COMMENCEMENT OF OPERATIONS)
TO MARCH 31, 2004 (UNAUDITED)

CASH PROVIDED BY (USED IN) OPERATING ACTIVITES:
Net decrease in net assets resulting from operations $ (95,180)
Adjustments to reconcile net decrease in net assets to net cash used in
operating activities:
Decrease in equity in SPC 57,761
(Increase) in investment made in advance (1,097,000)
(Increase) in receivable from General Partner (8,357)
Increase in accrued expenses 45,776
Investments in SPC at cost (5,104,165)
-------------
Net cash used in operating activities (6,201,165)
-------------

CASH PROVIDED BY FINANCING ACTIVITIES:
Partners' subscriptions 5,163,515
Increase in subscriptions received in advance 1,814,695
-------------
Net cash provided by financing activities 6,978,210
-------------

Net increase in cash 777,045

CASH, BEGINNING OF PERIOD -
-------------

CASH, END OF PERIOD $ 777,045
=============

See notes to financial statements.

4

SCHEDULE OF INVESTMENTS
MARCH 31, 2004 (UNAUDITED)

All investments in SPC have directional/tactical investment objective.
Redemptions from the SPC are permitted semi-monthly.

See notes to financial statements.

5

NOTES TO FINANCIAL STATEMENTS
PERIOD MARCH 15, 2004 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, 2004
(UNAUDITED)

1. NATURE OF BUSINESS AND ORGANIZATION

ORGANIZATION - S&P Managed Futures Index Fund, LP (the "Fund") was
organized as a limited partnership on May 13, 2003 under the Delaware
Revised Uniform Limited Partnership Act, as amended. In accordance with
the Limited Partnership Agreement, the Fund is organized as a single
series of limited partnership units which are offered in two classes -
Class A and Class B.

RefcoFund Holdings, LLC ("RFH") is the General Partner of the Fund. The
General Partner has the sole authority and responsibility for managing the
operations of the Fund and directing the investment of the Fund's assets.
RFH has retained the services of PlusFunds Group, Inc. ("PlusFunds") as
Sub-Investment Manager to oversee the day-to-day investment management
functions for the Fund.

The Fund is designed to seek investment returns that substantially track
the Standard & Poor's Managed Futures Index (the "Index"), before expenses
of the Fund. The General Partner will pursue the Fund's investment
objective by allocating substantially all of the Fund's assets to
SPhinX(TM) Managed Futures Fund SPC (the "SPC"), a Cayman Islands
segregated portfolio company. The SPC is designed to track the Index, and
thus provide limited partners with exposure to a broad cross section of
systematic managed futures strategies through a single investment. The SPC
allocates its assets to portfolio managers (the "Portfolio Managers") that
generally employ a broad range of systematic trading strategies in the
futures markets. Other markets, such as the interbank foreign exchange
market, may be used as well. Standard & Poor's has granted a license to
PlusFunds and RFH to utilize the Index in connection with the SPC and the
Fund, respectively.

The Fund will be terminated and dissolved upon the first to occur of: (1)
limited partners owning more than 50% of the outstanding Units voting to
dissolve the Fund; (2) the General Partner ceasing to be general partner
and no new general partner being appointed; or (3) the continued existence
of the Fund becoming unlawful.

RK Consulting, LLC ("RK") acts as the administrator of the Fund. RK
provides certain accounting and administrative services to the Fund.

The units of the Fund are offered by Refco Securities, LLC (the "Selling
Agent"), a broker-dealer registered with the U.S. Securities and Exchange
Commission, and by any additional selling agents who may be engaged from
time to time on behalf of the Fund.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently
followed by the Fund.

BASIS OF PRESENTATION - The accompanying unaudited financial statements of
the Fund have been prepared in accordance with accounting principles
generally accepted in the United States of America for interim financial
information and with the instructions to Form 10-Q and Rule 10-01 of
Regulation S-X. Accordingly, they do not include all of the information
and footnotes required by accounting principles generally accepted in the
United States of America for complete financial statements.

6

In the opinion of management, all adjustments (consisting only of normal
recurring adjustments) considered necessary for a fair statement of the
financial condition and results of operations of the Fund for the period
presented have been included.

Operating results for the period March 15, 2004 to March 31, 2004, are not
necessarily indicative of the results that may be expected for the year
ending December 31, 2004.

SECURITIES VALUATION - The economic interest of investors in the Fund's
unit classes ultimately resides in the SPC as allocated to the Portfolio
Managers of the Index. This investment is valued on a monthly basis and
represents the net asset value of the assets allocated to the Portfolio
Managers. Such net asset value is derived after valuing the assets
allocated to the Portfolio Managers and deducting expenses at the SPC
level, including management fees and incentive allocations to the
Portfolio Managers. The Fund is allocated realized and unrealized gains
and net investment income from the SPC in proportion to its ownership in
the SPC. This is reflected in the statement of operations as "equity in
SPC".

Management fees payable to the Portfolio Managers range from 1.00% to
2.50% per annum of the assets allocated to a Portfolio Manager. Each
Portfolio Manager receives a performance fee allocation of 15% to 25% of
net trading gain.

INVESTMENT TRANSACTIONS - The Fund records subscriptions and redemptions
related to its investment in the SPC on the transaction date. Investment
transactions are accounted for on a trade date basis.

CASH AND CASH EQUIVALENTS - The Fund considers all highly liquid
investments with a maturity of three months or less when purchased to be
cash and cash equivalents.

EXPENSES - In accordance with the Limited Partnership Agreement, the Fund
shall be charged for certain expenses and such expenses will be allocated
proportionately among the partners. The Fund is responsible for
administrative, ongoing offering expenses and operating expenses,
including but not limited to legal and accounting fees, and any taxes or
extraordinary expenses payable.

All expenses are recorded on an accrual basis.

USE OF ESTIMATES - The preparation of financial statements in conformity
with accounting principles generally accepted in the United States of
America requires management to make estimates and assumptions that affect
the amounts reported in the financial statements and accompanying notes.
Actual results could differ from these estimates.

INCOME TAXES - Federal income taxes are not provided for as each partner
is individually liable for the taxes, if any, on its share of the Fund's
taxable income items including capital gains, interest, dividends, and
deductions. In accordance with the Limited Partnership Agreement, the
limited partners may also be subject to various state and other taxes.

3. SUBSCRIPTIONS AND REDEMPTIONS

Units are issued upon subscription into and redeemed through redemption
from the Fund.

Subscriptions for any Class may be made as of the first business day of
each calendar month (the "Offering Date") at net asset value per unit. The
net asset value per unit is determined by dividing a class' net assets by
the number of units of that class outstanding on the date the calculation
is being performed.

7

The limited partnership units may generally be redeemed as of the last
business day of any calendar month, subject to certain restrictions and
qualifications, upon at least 10 business days' prior written notice to
the General Partner. The General Partner may declare additional redemption
dates upon notice to the limited partners and may, in unusual
circumstances, permit some, or all, limited partners to redeem as of dates
other than the end of the month. The General Partner may not be able to
make timely payments with respect to redemptions due to the Fund's
inability to liquidate its investment in the SPC on a timely basis.
Redemptions of interests in the SPC by the Fund as of any particular
redemption date cannot exceed 20% of the Fund's investment in the SPC as
of that date unless the SPC has received at least 15 business days' notice
prior to a redemption date.

A redemption fee of 3% of net asset value per Class A unit applies if a
Class A unit is redeemed within 12 months of its original purchase. The
Class B Units are not subject to a redemption fee.

Partnership units activity during the period March 15, 2004 (Commencement
of Operations) to March 31, 2004 was as follows:

4. RELATED PARTY TRANSACTIONS

Refco Securities, LLC, the Selling Agent of the Fund, is an affiliate of
RefcoFund Holdings, LLC, the General Partner. Refco LLC, an affiliate of
the General Partner and the Selling Agent, acts as futures commission
merchant for the SPC, and in such capacity provides execution, clearing
and margin services in connection with futures and commodities trading
activities. Refco Capital Markets, Ltd., also an affiliate of RFH, acts as
the dealer for the underlying investments of the SPC for currency trading.

Pursuant to the provisions of the Fund's Prospectus, the Fund's selling
agents receive from the General Partner an upfront selling commission
equal to 3% of the purchase price per Class A Unit at the time that the
Class A Unit is sold. The General Partner will also pay with respect to
the Class A Units, ongoing service fees beginning in the 13th month
following the purchase of Class A Units equal to 0.167% of the Class A
Units' month-end net assets (a 2.00% annual rate). As of March 31, 2004,
the Selling Agent received $74,240 in upfront commissions. The Class B
Units are not subject to these commissions or ongoing servicing fees. No
selling commissions will be paid from the proceeds of subscriptions.

Refco Group Ltd., LLC, the parent of the General Partner, paid the
organizational and initial offering expenses.

RFH, as the General Partner, receives a management fee of 4.15% annually
of the Class A net asset value of the Fund and 2.15% annually of the Class
B net asset value of the Fund, calculated daily and paid monthly in
arrears, in exchange for providing ongoing advisory and general management
services. All fees paid to PlusFunds for sub-investment management
services are paid by RFH. RFH may voluntarily waive a portion of its
management fee at its discretion.

8

The Limited Partnership Agreement and/or guidelines of state securities
regulators limit the fees that are paid by the Fund (the "Expense Cap").
Aggregate annual fees and expenses based on the Fund's net assets may not
exceed 6% of net assets per year (1/2 of 1% per month). This Expense Cap
includes management fees and customary and routine administrative expenses
of the Fund but does not include legal and accounting expenses or
extraordinary expenses. RFH has agreed to reimburse the Fund for any
expenses incurred above the expense cap. The reimbursement for the period
ended March 31, 2004 is set forth on the Statement of Operations.

As of March 31, 2004 the General Partner has purchased 100 Class B units
of the Fund totaling $100,000.

5. COMMITMENTS AND CONTINGENCIES

In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide
general indemnifications. The Fund's maximum exposure under these
arrangements is unknown as this would involve future claims that may be
made against the Fund that have not yet occurred. Based upon the prior
experience of the General Partner, the General Partner expects the risk of
loss to be remote.

6. DERIVATIVE FINANCIAL INSTRUMENTS

The Partnership, by investing in the SPC, will be subject to all of the
risks associated with the SPC's investments and trading. The SPC may
invest in derivative instruments, which include futures, forwards, swaps
or options, or other financial instruments with similar characteristics.
All derivatives are reported at fair value and changes in value are
reflected in the net asset value of the SPC.

Market Risk - Derivative instruments involve varying degrees of
off-balance sheet market risk. Changes in the level or volatility of
interest rates, foreign currency exchange rates or the market values of
the financial instruments or commodities underlying such derivative
instruments may result in changes in the SPC's net unrealized profit
(loss) on such derivative instruments. The SPC's exposure to market risk
is influenced by a number of factors, including the relationships among
the derivative instruments held by the SPC as well as the volatility and
liquidity in the markets in which such derivative instruments are traded.

Credit Risk - The SPC has credit risk associated with counterparty
non-performance.

The risks associated with exchange-traded contracts are typically
perceived to be less than those associated with the over-the-counter
transaction (non-exchange traded), because exchanges typically (but not
universally) provide clearing house arrangements in which the collective
credit (in some cases limited in amount, in some cases not) of the members
of the exchange is pledged to support the financial integrity of the
exchange. In over-the-counter transactions, on the other hand, traders
must rely solely on the credit of the respective individual
counterparties. Margins, which may be subject to loss in the event of a
default, are generally required in exchange trading, while counterparties
may require margin in the over-the-counter markets.

7. FINANCIAL HIGHLIGHTS

The Fund has presented the following disclosures for registered investment
companies required by the AICPA Audit and Accounting Guide, AUDITS OF
INVESTMENT COMPANIES:

9

The per partnership unit amounts were computed using an average number of
partnership units outstanding during the period. Total return for the
period ended March 31, 2004 is calculated for each class of partners taken
as a whole, based on the change in fair value during the period of net
assets of each class adjusted for subscriptions. Individual partner's
return may vary from these returns based on the timing of capital
transactions. Net investment loss excludes decrease in equity in the SPC
and is the partners' share of expenses. Expenses include the partners'
share of Fund management fees and other operating expenses. The expense
ratios exclude those expenses charged by the underlying investment
vehicles that were recorded by the SPC.

10

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS

INTRODUCTION

S&P Managed Futures Index Fund, LP (the "Fund") is a managed futures
investment fund designed to seek returns that substantially track the
Index, before expenses of the Fund.

The Fund pursues its investment objective by investing in the SPC, which
currently allocates investments to 14 commodity trading advisors ("CTAs"
or "Portfolio Managers"). All of the SPC's CTAs employ systematic trading
approaches that are mostly technical trend-following in nature and are
designed to collectively deliver returns broadly representative of
systematic managed futures programs, and therefore do not have specific
return or volatility targets. CTAs employing technical trend-following
approaches generally take positions based on computer-generated models to
identify trades, determine the size of positions, and to control ongoing
portfolio exposure to specific markets.

The Standard & Poor's Managed Futures Index Committee (the "Index
Committee") is responsible for overseeing the methodology, constituent
selection and operations related to the Index. Index constituents are
selected based on multiple factors including representativeness of managed
futures in general, the quality of the manager's trading program, the
program's risk/return profile, performance during selected time frames and
market conditions, and the type of market instruments held. Other, less
technical factors, are included in the selection process such as trading
manager reputation, experience, training, stability and quality of
organization, as well as a minimum track record length (generally 3 years)
and quantity of assets under management. PlusFunds Group, Inc.
("PlusFunds") acts as investment manager of the SPC and has overall
responsibility for managing the Portfolio Funds. The Portfolio Managers in
the SPC receive allocations that generally track the Index and are
initially weighted equally on a dollar basis, and rebalanced annually in
January.

CAPITAL RESOURCES

The Fund is designed to raise additional capital only through the sale of
units pursuant to the continuous offering and does not intend to raise any
capital through borrowing. The General Partner does not plan to invest the
Fund's assets directly other than in the stated investment objective, but
the General Partner may invest funds temporarily in U.S. government
obligations, money market accounts, or other short-term interest-bearing
accounts. Additionally, the General Partner may borrow money on an
unsecured or secured basis for cash management purposes, and will pay
interest on such activities.

LIQUIDITY

An investment in the Fund is not liquid as there is no secondary market
for the partnership units. The partnership units may be redeemed only as
of the last business day of the calendar month with at least ten business
days' prior notice of the intent to redeem. In addition, there are also
substantial restrictions on the ability of the Fund to make withdrawals
from the SPC that further reduces the liquidity of the Fund.

While the Fund does not invest directly in futures contracts, it possesses
indirect liquidity risk through its investment in the SPC as described
below. Most U.S. futures exchanges limit fluctuations in some futures and
options contract prices during a single day by regulations referred to as
daily price fluctuation limits or daily limits. During a single trading
day, no trades may be executed at prices beyond the daily limit. Once the
price of a contract has reached the daily limit for that day, positions in
that contract can neither be taken nor liquidated. Futures prices have
occasionally moved to the daily limit for several consecutive days with
little or no trading. Similar occurrences could prevent the investment
manager of the SPC from promptly liquidating unfavorable positions

11

and subject the SPC to substantial losses that could exceed the margin
initially committed to those trades. In addition, even if futures or
options prices do not move to the daily limit, the SPC may not be able to
execute trades at favorable prices, if little trading in the contracts is
taking place. Other than these limitations on liquidity, which are
inherent in the SPC's futures and options trading operations, the SPC's
assets are expected to be highly liquid.

RESULTS OF OPERATIONS

The S&P Managed Futures Index Fund, LP - Class A commenced operations on
March 15, 2004 and returned -1.9 % in March. This represents a 3.9% and a
3.9% underperformance inception to date vs. the S&P 500 Index and Salomon
Brothers World Bond Index, respectively.

The S&P Managed Futures Index Fund, LP - Class B commenced operations on
March 15, 2004 and returned -1.7 % in March. This represents a 3.8% and a
3.8% underperformance inception to date vs. the S&P 500 Index and Salomon
Brothers World Bond Index, respectively.

The results of the Fund, excluding Fund level expenses, are directly
correlated to that of the SPC. Of the 14 Portfolio Managers in the SPC,
only 3 were profitable in March. Most sectors traded had an extremely
volatile month, with individual markets such as Equities, Energy, and
Currencies accelerating in one direction, then aggressively reversing
course without warning. Of the 8 pure trend-followers, 6 had negative
returns and amongst the Pattern Recognition Managers, 5 of 6 had negative
returns. Most of the losses in March were attributable to trading in 3
Sectors. In Currencies, the SPC had losses in the Yen Market as short
positions that had been developed in a long-standing down trend in that
currency were caught in a late month 7% rally, with the exchange rate
moving from a price level of 112 per USD to close the month at 104 per
USD. In Stock Indices, the SPC had losses from a mid-month correction,
where the S&P 500 Index, for example, moved from 1,157 to 1,091, losing
approximately 6% in a 2-week time frame. Finally, the SPC had losses in
the Energy Sector, where the SPC's long positions in Crude Oil had a late
month correction, falling almost 5% in the last 8 trading days of the
month. Losses in these Sectors were partially offset by gains in other
Sectors, where the SPC benefited from long positions in Natural Gas and
Agricultural Markets, which both had run-ups approaching 7% during March.

CRITICAL ACCOUNTING POLICIES VALUATION OF THE SPC'S POSITIONS

The General Partner believes that the accounting policies that will be
most critical to the Fund's financial condition and results of operations
relate to the valuation of the SPC's investment positions. The majority of
the SPC's investment positions will be exchange-traded futures contracts,
which will be valued daily at settlement prices published by the
exchanges. The SPC's spot and forward foreign currency contracts will also
be valued at published daily settlement prices or at dealers' quotes. Swap
contracts generally will be valued by reference to published settlement
prices or dealers' quotes in related markets or other measures of fair
value deemed appropriate by the General Partner. The General Partner does
not believe that the SPC will trade swaps to a significant degree. Thus,
the General Partner expects that under normal circumstances substantially
all of the SPC's assets, and as a result the Fund's assets, will be valued
by objective measures and on a timely basis.

THE FUND

The Fund commenced trading on March 15, 2004 and has limited performance
history. "Standard & Poor's(R)" and "S&P Managed Futures Index" are
trademarks of The McGraw-Hill Companies, Inc. and have been licensed for
use by RFH and PlusFunds. The Fund is not sponsored, endorsed, sold or
promoted by Standard & Poor's and Standard & Poor's makes no
recommendation concerning the advisability of investing in the Fund.

12

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

The Fund does not control the SPC, PlusFunds or any Portfolio Manager, and
has no role in the choice of Portfolio Managers, any Portfolio Manager's
choice of investments or any other investment decisions of the SPC. The
Fund is dependent upon the expertise and abilities of PlusFunds in
implementing the Index strategy as well as the Portfolio Managers who have
investment discretion over assets allocated to them. There can be no
assurance that the services of PlusFunds or of a Portfolio Manager will be
available for any length of time, or that the SPC will remain available
for investment by the Fund.

The Fund is dependent on PlusFunds and the SPC's independent administrator
to provide it with periodic reports and other information. The Fund may
not be provided with detailed information regarding the precise
investments made by a Portfolio Manager because some of this information
may be considered proprietary and otherwise confidential. This lack of
access to information may make it more difficult for the Fund to evaluate
the SPC and the Portfolio Managers and to make a judgment regarding the
fair value of the assets of the Fund.

The Fund is designed to invest in the SPC, a speculative commodity pool.
The market sensitive instruments indirectly held by it are acquired for
speculative trading purposes, and all or a substantial amount of the
Fund's assets are indirectly subject to the risk of trading loss.

Market movements result in frequent changes in the fair market value of
the SPC's open positions and, consequently, in its earnings and cash flow.
The SPC's market risk is influenced by a wide variety of factors,
including the level and volatility of exchange rates, interest rates,
equity price levels, the market value of financial instruments and
contracts, market prices for base and precious metals, energy complexes
and other commodities, the diversification effects among the SPC's open
positions and the liquidity of the markets in which it trades.

The SPC often rapidly acquires and liquidates both long and short
positions in a wide range of different markets. Consequently, it is not
possible to predict how a particular future market scenario will affect
performance. The SPC's current trading advisors all employ trend-following
strategies that rely on sustained movements in price. Erratic, choppy,
sideways trading markets and sharp reversals in movements can materially
and adversely affect the SPC's performance results. The SPC's past
performance is not necessarily indicative of its future results.

QUANTITATIVE MARKET RISK

The Fund commenced trading on March 15, 2004 and has limited performance
history not deemed sufficient for adequate numerical risk analysis.

QUALITATIVE MARKET RISK

TRADING RISK

The Fund invests substantially all of its assets into the SPC. The
following are guidelines to the primary trading risk exposures of the SPC
by market sector.

INTEREST RATES

Interest rate risk is one of the principal market exposures of the SPC.
Interest rate movements directly affect the price of interest rate futures
positions held and indirectly the value of its stock index and currency
positions.

13

Interest rate movements in one country as well as relative interest rate
movements between countries materially impact profitability. The primary
interest rate exposure is to interest rate fluctuations in the United
States and the other G-7 countries. However, SPC also takes futures
positions on the government debt of smaller nations.

CURRENCIES

Exchange rate risk is a significant market exposure of the SPC. The SPC's
currency exposure is to exchange rate fluctuations, primarily fluctuations
that disrupt the historical pricing relationships between different
currencies and currency pairs. These fluctuations are influenced by
interest rate changes as well as political and general economic
conditions. The Fund trades in a large number of currencies, including
cross-rates, which are positions between two currencies other than the
U.S. dollar.

ENERGY

The SPC also has energy market exposure to gas and oil price movements,
which often have short-term volatility swings resulting from political
developments in the Middle East and in the longer-term are subject to the
forces of global supply and demand.

STOCK INDICES

The SPC's primary equity exposure is to equity price risk in the G-7
countries as well as other smaller jurisdictions. The SPC is primarily
exposed to the risk of adverse price trends or static markets in the major
U.S., European and Japanese indices.

METALS

The SPC's metals market exposure is to fluctuations in the price of both
precious metals, including gold and silver, as well as base metals
including aluminum, copper, nickel and zinc. Some metals, such as Gold,
are used as surrogate stores of value, in place of hard currency, and thus
have an associated currency or interest rate risk associated with them
relative to their price in a specific currency. Other metals, such as
Silver, Platinum, Copper, and Steel, have substantial industrial
applications, and may be subject to forces affecting industrial production
and demand.

AGRICULTURAL / SOFTS

The SPC may also invest in raw commodities and will thus have exposure to
agricultural price movements, which are often directly affected by severe
or unexpected weather conditions or by political events in countries that
comprise significant sources of commodity supply.

OTHER TRADING RISKS

As a result of leverage, small changes in the price of the Portfolio
Managers' positions may result in substantial losses. Commodity interest
contracts are typically traded on margin. This means that a small amount
of capital can be used to invest in contracts of much greater total value.
The resulting leverage means that a relatively small change in the market
price of a contract can produce a substantial loss. Like other leveraged
investments, any purchase or sale of a contract may result in losses in
excess of the amount invested in that contract. The Portfolio Managers may
lose more than their initial margin deposits on a trade.

The Portfolio Managers' trading will be subject to execution risks. Market
conditions may make it impossible for the Portfolio Managers to execute a
buy or sell order at the desired price, or to close

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out an open position. Daily price fluctuation limits are established by
the exchanges and approved by the Commodities Futures Trading Commission
(the "CFTC"). When the market price of a contract reaches its daily price
fluctuation limit, no trades can be executed at prices outside the limit.
The holder of a contract may therefore be locked into an adverse price
movement for several days or more and lose considerably more than the
initial margin put up to establish the position. Thinly traded or illiquid
markets also can make it difficult or impossible to execute trades.

NON-TRADING RISK EXPOSURE

The Fund must rely on the SPC when calculating net asset value. The net
asset values received by the Fund from the SPC may be subject to revision
through monthly financial reports of the SPC. As a result, revisions to
the Fund's gain and loss calculations may occur. Any revisions not deemed
material in the sole discretion of the General Partner will not result in
an adjustment to prior subscription or redemption prices for the Fund.
Moreover, in some cases, the Fund will have little ability to assess the
accuracy of the valuations of its investment in the SPC that are received
from PlusFunds or from the SPC or its administrator. There are no market
quotations available to use in valuing the Fund's investments in the SPC.
As a result, these investments will be valued at their fair values as
determined in accordance with procedures adopted in good faith by the
General Partner. These valuations may not in all cases accurately reflect
the values of the Fund's investments in the SPC. These inaccuracies may
adversely affect the Fund or investors who purchase or redeem units.

The Fund's ability to track the Index is dependent upon PlusFunds ability
to make the requisite allocations to all of the Portfolio Managers that
are included in the Index. To the extent that PlusFunds is not able to
make an allocation to a Portfolio Manager, the performance of the Fund
will not track the performance of the Index, before fees of the Fund.

The Fund invests substantially all of its assets in the SPC and is subject
to the risks of the SPC as follows:

The SPC is subject to counterparty risks. If the SPC's clearing broker
becomes bankrupt or insolvent, or otherwise default on its obligations to
the SPC, the SPC may not receive all amounts owed to it in respect to its
trading, despite the clearinghouse fully discharging all of its
obligations. Furthermore, in the event of the bankruptcy of the clearing
broker, the SPC could be limited to recovering only a pro rata share of
all available funds segregated on behalf of the clearing broker's combined
customer accounts, even though property specifically traceable to the SPC
(for example, Treasury bills deposited by the SPC with the clearing broker
as margin) was held by the clearing broker. In addition, some of the
instruments which the SPC may trade are traded in markets such as foreign
exchanges or forward contract markets in which performance is the
responsibility only of the individual counterparty with whom the trader
has entered into a contract and not of an exchange or clearing
corporation. The SPC will be subject to the risk of the inability or
refusal to perform on the part of the counterparties with whom those types
of contracts are traded. There are no limitations on the amount of
allocated assets a Portfolio Manager can trade on foreign exchanges or in
forward contracts.

The SPC's positions are subject to speculative limits. The CFTC and
domestic exchanges have established speculative position limits on the
maximum futures position which any person, or group of persons acting in
concert, may hold or control in particular futures contracts or options on
futures contracts traded on U.S. commodity exchanges. Under current
regulations, other accounts of the Portfolio Managers are combined with
the positions held by the SPC for position limit purposes. This trading
could preclude additional trading in these commodities by the Portfolio
Managers for the account of the SPC.

15

Systematic strategies do not consider fundamental types of data and do not
have the benefit of discretionary decision making. Most of the SPC's
assets will be allocated to Portfolio Managers that rely on technical,
systematic strategies that do not take into account factors external to
the market itself (although certain of these strategies may have minor
discretionary elements incorporated into their systematic strategy). The
widespread use of technical trading systems frequently results in numerous
Portfolio Managers attempting to execute similar trades at or about the
same time, altering trading patterns and affecting market liquidity.
Furthermore, the profit potential of trend-following systems may be
diminished by the changing character of the markets, which may make
historical price data (on which technical programs are based) only
marginally relevant to future market patterns. Systematic strategies are
developed on the basis of a statistical analysis of market prices.
Consequently, any factor external to the market itself that dominates
prices that a discretionary decision maker may take into account may cause
major losses for a systematic strategy. For example, a pending political
or economic event may be very likely to cause a major price movement, but
a systematic strategy may continue to maintain positions indicated by its
trading method that might incur major losses if the event proved to be
adverse.

MANAGING RISK EXPOSURE

The Index Committee is charged with overseeing the methodology and
operations of Index and has primary responsibility for the Index's
strategy classifications, composition and methodology. Implicit to the
SPC's construction is consideration of the quality and effectiveness of
risk awareness and volatility monitoring on the part of the commodity
trading advisors selected for membership in the Index. In addition,
numerical analysis of each Portfolio Manager's historical returns with
respect to performance in aggregate as well as in discrete periods of
various market cycles is made as part of the due diligence process for
consideration of membership in the Index.

PlusFunds, the investment manager of the SPC and the sub-investment
manager of the Fund, is a Delaware corporation organized on March 25,
2002. It has been registered with the CFTC as a commodity pool operator
since July 1, 2002 and as a commodity trading advisor since March 14, 2003
and is a member of the NFA. PlusFunds monitors the day-to-day performance
of the SPC's underlying CTAs on a T+1 basis using daily pricing
information verified by independent sources. PlusFunds screens managers
for potential anomalies, such as excessive leverage, abnormal changes in
positions, transaction mis-pricing, fraudulent behavior as well as
deviation from investment style. On a weekly basis, PlusFunds performs an
analysis of portfolio exposure across securities, sectors, regions and
asset allocation along with value at risk , and incremental risk analysis.
PlusFunds selects the Portfolio Funds generally to track the Index, but
there may be differences specifically if there is a change in Index
composition.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner carried out an evaluation, under the supervision and
with the participation of the General Partner's management, including its
principal executive officer and principal financial officer, of the design
and operation of the Fund's disclosure controls and procedures. Based on
this evaluation, the General Partner's principal executive officer and
principal financial officer concluded that, as of March 31, 2004, the
Fund's disclosure controls and procedures were effective to provide
reasonable assurance that the information required to be disclosed by the
Fund in the reports filed or submitted under the Securities Exchange Act
of 1934 is recorded, processed, summarized and reported within the time
periods specified in the SEC's rules and forms. During the reported period
there were no changes in controls.

Any control system, no matter how well designed and operated, can provide
only reasonable (not absolute) assurance that its objectives will be met.
Furthermore, no evaluation of controls can provide absolute assurance that
all control issues and instances of fraud, if any, have been detected.

16

PART II- OTHER INFORMATION

ITEM 6. EXHIBITS AND REPORTS ON FORM 8-K

(a) EXHIBITS

31.1 CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER PURSUANT TO RULE
13a-14(a) UNDER THE SECURITIES EXCHANGE ACT OF 1934

31.2 CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER PURSUANT TO RULE
13a-14(a) UNDER THE SECURITIES EXCHANGE ACT OF 1934

32.1 CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED
PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

(b) REPORTS ON FORM 8-K

NONE.

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SIGNATURES

Pursuant to the requirements 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.

S&P Managed Futures Index Fund, LP
LIMITED PARTNERSHIP

Date: May 10, 2004 by: RefcoFund Holdings, LLC
its general partner

By: /s/ Richard C. Butt
-------------------
Richard C. Butt
President
(principal executive officer)

By: /s/ Philip Silverman
-----------------------
Philip Silverman
Secretary
(principal financial and accounting officer)

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