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, 2005

/ / 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: 000-50565

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
200 LIBERTY STREET, TOWER A
NEW YORK, NEW YORK 10281
(Address of principal executive offices, including zip code)

Registrant's telephone number, including area code: (212) 693-7000

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

Statements of Assets and Liabilities as of March 31, 2005 (unaudited) and
December 31, 2004 1

Statements of Operations for the three months ended March 31, 2005, and for the
period March 15, 2004 (Commencement of Operations) to March 31, 2004 (unaudited) 2

Statements of Changes in Net Assets for the three months ended March 31, 2005,
and for the period March 15, 2004 (Commencement of Operations) to March 31, 2004
(unaudited) 3

Statements of Cash Flows for the three months ended March 31, 2005, and for the
period March 15, 2004 (Commencement of Operations) to March 31, 2004 (unaudited) 4

Schedule of Investments as of March 31, 2005 (unaudited) 5

Schedule of Investments as of December 31, 2004 6

Notes to Financial Statements (unaudited) 7

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk 14

Item 4. Controls and Procedures 19

PART II - OTHER INFORMATION

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 21

Item 6. Exhibits 21

SIGNATURES 22

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

STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2005 (UNAUDITED) AND DECEMBER 31, 2004

The accompanying notes are an integral part of these financial statements.

1

STATEMENTS OF OPERATIONS FOR THE THREE MONTHS ENDED
MARCH 31, 2005, AND FOR THE PERIOD MARCH 15, 2004 (COMMENCEMENT OF
OPERATIONS) TO MARCH 31, 2004 (UNAUDITED)

The accompanying notes are an integral part of these financial statements.

2

STATEMENTS OF CHANGES IN NET ASSETS FOR THE THREE MONTHS
ENDED MARCH 31, 2005, AND FOR THE PERIOD MARCH 15, 2004 (COMMENCEMENT OF
OPERATIONS) TO MARCH 31, 2004 (UNAUDITED)

The accompanying notes are an integral part of these financial statements.

3

STATEMENTS OF CASH FLOWS FOR THE THREE MONTHS ENDED
MARCH 31, 2005, AND FOR THE PERIOD MARCH 15, 2004 (COMMENCEMENT OF
OPERATIONS) TO MARCH 31, 2004 (UNAUDITED)

The accompanying notes are an integral part of these financial statements.

4

SCHEDULE OF INVESTMENTS
MARCH 31, 2005 (UNAUDITED)

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

The accompanying notes are an integral part of these financial statements.

6

NOTES TO FINANCIAL STATEMENTS (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, and started
operations on March 15, 2004. In accordance with the Limited Partnership
Agreement, the Fund is organized as a single series of limited partnership
units (the "Units") which are offered in two classes - Class A and Class B
(each, a "Class").

RefcoFund Holdings, LLC is the general partner of the Fund ("RFH" or the
"General Partner"). 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 "Index SPC") which is a Cayman
Islands segregated portfolio company. The Index SPC is designed to track
the Index, and thus provide the Fund's limited partners with exposure to a
broad cross section of systematic managed futures strategies through a
single investment. The Index 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 Index SPC and the Fund, respectively.

The Fund will be terminated and dissolved upon the occurrence of any of
the following events: (1) the 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.

BISYS-RK Alternative Investment Services, Inc. ("BISYS-RK") acts as the
administrator, transfer agent and registrar of the Fund. BISYS-RK also
provides certain accounting and administrative services to the Fund.

The Units 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

7

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. 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.

SECURITIES VALUATION - The economic interest of investors in the Units
ultimately resides in the Index 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 Index 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 Index SPC in proportion to its ownership in the
Index SPC. This is reflected in the statement of operations as "decrease
in equity in Index SPC."

Management fees payable to the Portfolio Managers range from 1.50% to
2.50% per annum of the assets allocated to a Portfolio Manager. Each
Portfolio Manager receives a performance fee allocation of 20% to 25% of
net trading gain.

INVESTMENT TRANSACTIONS - The Fund records subscriptions and redemptions
related to its investment in the Index SPC on the transaction date.

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
will 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 either Class must 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 the net assets
owned by the Class by the number of Units of that Class outstanding on the
date the calculation is being performed.

8

The 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 Index SPC on a timely basis. Redemptions of interests in
the Index SPC by the Fund as of any particular redemption date cannot
exceed 20% of the Fund's investment in the Index SPC as of that date
unless the Index 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.

The activity of the Units during the period January 1, 2005 to March 31,
2005 was as follows:

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
the General Partner. Refco LLC, an affiliate of the General Partner and
the Selling Agent, acts as futures commission merchant for the Index 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 Index 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). For the three months
ended March 31, 2005, the Selling Agent received $172,916 in upfront
commissions. The Class B Units are not

9

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 in its sole discretion.

The Limited Partnership Agreement and/or guidelines of state securities
regulators limit the fees that are paid by the Fund (the "Expense Cap").
From commencement of operations through June 30, 2004, aggregate annual
fees and expenses based on the Fund's net assets could not exceed 6% of
net assets per year (1/2 of 1% per month). This Expense Cap included
management fees and customary and routine administrative expenses of the
Fund but did not include legal and accounting expenses or extraordinary
expenses.

Effective July 1, 2004, the Fund implemented the following voluntary
expense caps: the management fee payable to the General Partner and the
operating expenses of the Fund are limited to an aggregate of 4.95% in
respect of the Class A Units and 2.95% in respect of the Class B Units
calculated on the net assets before the application of fees. To the extent
that the monthly management fee payable to the General Partner and
operating expenses of the Fund exceed the above mentioned limits, the
General Partner will waive its management fee of 4.15% with respect to the
Class A Units and 2.15% with respect to the Class B Units. If, after the
deduction of the management fee, the expenses of the Fund remain above
4.95% for the Class A Units and 2.95% for the Class B Units, the General
Partner will reimburse the Fund for such expenses to bring them within the
limits stated above.

The reimbursements for the periods ended March 31, 2005, and 2004, are as
set forth on the Statements of Operations.

As of March 31, 2005 and December 31, 2004, the General Partner held
589.0681 Class B Units of the Fund totaling $502,622.34 and 491.8988 Class
B Units of the Fund totaling $450,387.

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 contain
general indemnification provisions. The Fund's maximum exposure under
these arrangements is unknown as the potential exposure involves future
claims that may be made against the Fund. Based upon the prior experience
of the General Partner, the General Partner expects the risk of loss to be
remote.

10

6. DERIVATIVE FINANCIAL INSTRUMENTS

By investing in the Index SPC, the Fund will be subject to all of the
risks associated with the Index SPC's investments and trading. The Index
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 Index 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 Index SPC's net unrealized profit
(loss) on such derivative instruments. The Index SPC's exposure to market
risk is influenced by a number of factors, including the relationships
among the derivative instruments held by the Index SPC as well as the
volatility and liquidity in the markets in which such derivative
instruments are traded.

Credit Risk - The Index 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 (which, in some cases is limited in amount) 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.

11

7. FINANCIAL HIGHLIGHTS

The per partnership unit amounts were computed using an average number of
partnership units outstanding during the periods. Total returns are calculated
for each class of partners taken as a whole, based on the change in fair value
during the periods 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
Index 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 Index SPC.

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
Standard & Poor's Managed Futures Index (the "Index") before expenses of
the Fund. The General Partner of the Fund is Refco Holdings, LLC ("RFH" or
the "General Partner").

The Fund pursues its investment objective by investing in the Index SPC,
which currently allocates investments to 14 commodity trading advisors
("CTAs" or "Portfolio Managers"). All of the Index 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

12

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 Index SPC and has overall
responsibility for managing the Portfolio Funds. The Portfolio Managers in
the Index 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
limited partnership units of the Fund (the "Units"), pursuant to the
continuous offering of the Units pursuant to a registration statement
filed on Form S-1 with the Securities and Exchange Commission (the "SEC"),
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 Units. The Units may be redeemed only on the last business day of
the calendar month by providing at least ten business days' prior notice.
In addition, there are also substantial restrictions on the ability of the
Fund to make withdrawals from the Index SPC that further reduces the
liquidity of the Fund's assets.

While the Fund does not invest directly in futures contracts, it possesses
indirect liquidity risk through its investment in the Index 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 Index SPC from promptly liquidating
unfavorable positions and subject the Index 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
Index SPC may not be able to execute trades at favorable prices, if little
trading in the contracts is taking place. Other than these limitations
described above, the Index SPC's assets are expected to be highly liquid.

OFF-BALANCE SHEET ARRANGEMENTS

The Fund does not have any off-balance sheet arrangements.

13

RESULTS OF OPERATIONS

The S&P Managed Futures Index Fund, LP - Class A returned -7.28%
year-to-date, net of fees and expenses.

The S&P Managed Futures Index Fund, LP - Class B returned -6.81%
year-to-date, net of fees and expenses.

The Fund's results of operations, excluding Fund level expenses, are
directly correlated to the performance of the Index SPC.

THREE MONTHS ENDED MARCH 31, 2005

Of the 14 managers in the Index, 1 manager had positive returns, with
underlying managers' returns ranging from a negative 13.93% to a positive
4.71%. Based on the individual retuns of the 14 managers, the average
return of the Index was a negative 6.10%. After posting its seventh
consecutive year of positive returns, the Index began the 1st quarter of
2005 with a loss of 6.30% in January as market participants reversed their
views on the viability of the United States economy and aggressively bid
up the value of the United States dollar versus other currencies. As
background to the reversal, the United States dollar collapsed after the
presidential elections in November 2004, with the consensus view holding
that budget deficits, trade deficits, and trade flows would remain in poor
condition for the foreseeable future, thus making the United States
economy and its currency appear less inviting as an investment. The value
of United States bonds declined slightly for the period ending March 31,
2005, as the long end of global yield curves steepened in February at
least partially on account of testimony before Congress of Alan Greenspan,
Chairman of the Federal Reserve Board, regarding business activity levels.
However, going into the end of the 1st quarter of 2005, the increase in
the United States deficit, which was the second largest in history, helped
push bonds even lower to a price level of 10930. Although volatile, metals
rallied through the end of the quarter, helped by a recovery in copper and
silver, which are approaching recent highs based on a tighter industry
supply outlook and a weakening United States dollar. Additionally, energy
prices continued to move higher throughout the 1st quarter of 2005 as
temperatures in the Northeastern region of the United States remained low
in January and February and the prospect that the Organization of the
Petroleum Exporting Countries would endorse production cuts appeared more
likely. As a result, crude oil moved from intra-month lows near $42 at the
beginning of January to end March slightly over the $56 level. Mid way
through January, United States equity markets led global equity indices
higher on increased news of profitability, increased manufacturing orders,
and upwardly revised gross domestic product numbers for the fourth quarter
of 2004 in the United States. However, throughout February and March,
unrelenting energy prices and lower than expected earning reports put
downside pressure on the equity markets.

Based on the above markets activity, the Index took losses in equities,
primarily the S&P 500 and the NASDAQ 100 futures contracts and nearly
broke even in metals (gold and silver). Profits were the result of short
positions in global bonds and interest rate markets. Additionally, the
Index profited in a variety of commodity markets such as the grains
(soybeans, wheat, corn) and the softs (coffee, cocoa, sugar) and also to a
lesser extent from long positions in the energy sector, including unleaded
gasoline, heating oil and crude oil.

CRITICAL ACCOUNTING POLICIES - VALUATION OF THE INDEX 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 Index SPC's investment positions. The
majority of the Index SPC's investment positions will be exchange-traded
futures contracts, which will

14

be valued daily at settlement prices published by the exchanges. The Index
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 Index SPC will trade swaps to a significant degree. Thus, the
General Partner expects that under normal circumstances substantially all
of the Index 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 a 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.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

The Fund does not control the Index 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 Index 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 the 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 Index SPC will remain available for investment by the
Fund.

The Fund is dependent on PlusFunds and the Index 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 Index 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 Index 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 Index SPC's open positions and, consequently, in its earnings and cash
flow. The Index 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 Index SPC's
open positions and the liquidity of the markets in which it trades.

Frequently, the Index SPC 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 Index SPC's current trading advisors all employ
trend-following strategies that rely on sustained movements in price.
Erratic, choppy, and sideways trading markets and sharp

15

reversals in movements can materially and adversely affect the Index SPC's
performance results. The Index SPC's past performance is not necessarily
indicative of its future results.

QUANTITATIVE MARKET RISK

The following quantitative disclosures regarding the Fund's exposure to
market risk contain "forward-looking statements" within the meaning of the
safe harbor from civil liability provided for in the Private Securities
Litigation Reform Act of 1995 (as set forth in Section 27A of the
Securities Act of 1993, as amended, and Section 21E of the Securities
Exchange Act of 1934, as amended). All quantitative disclosures in this
section are deemed to be forward-looking statements for purposes of the
safe harbor, except for any statement of historical fact.

The Fund's approximate risk exposure in the various market sectors traded
by its trading advisors is quantified below in terms of value at risk.
Value at risk is a quantitative technique used to estimate the likelihood
that a portfolio's losses will exceed a certain amount over a given time
frame and is alternately expressed in percentage or currency terms. The
results of this technique should be viewed as estimations because future
results will differ from predicted values due to changing market
conditions that cannot be forecasted with complete accuracy.

VALUE AT RISK BY MARKET SECTORS

The following table indicates the value at risk associated with the Index
SPC's open positions by market category as of March 31, 2005. As of March
31, 2005, the Fund's Net Assets were $46,621,999. The results below
illustrate the estimated value at risk over a 10-business day period at a
99% level of confidence. "Value at Risk" is expressed in United States
dollars and "VaR%" is expressed as a percentage of Fund Net Assets.

AS OF MARCH 31, 2005

AS OF DECEMBER 31, 2004

16

QUALITATIVE MARKET RISK

TRADING RISK

The following qualitative disclosures regarding the Fund's exposure to
market risk contain "forward-looking statements" within the meaning of the
safe harbor from civil liability provided for in the Private Securities
Litigation Reform Act of 1995 (as set forth in Section 27A of the
Securities Act of 1993, as amended, and Section 21E of the Securities
Exchange Act of 1934, as amended). All qualitative disclosures in this
section are deemed to be forward-looking statements for purposes of the
safe harbor, except for any statement of historical fact and the
descriptions of how the Fund manages its primary market risk exposures.

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

INTEREST RATES

Interest rate risk is one of the principal market exposures of the Index
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. 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,
the Index SPC also takes futures positions on the government debt of
smaller nations.

CURRENCIES

Exchange rate risk is a significant market exposure of the Index SPC. The
Index 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 Index 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 long-term, are
subject to the forces of global supply and demand.

STOCK INDICES

The Index SPC's primary equity exposure is to equity price risk in the G-7
countries as well as other smaller jurisdictions. The Index SPC is
primarily exposed to the risk of adverse price trends or static markets in
the major indices of the United States, Europe and Japan.

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METALS

The Index 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 Index 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 to the Fund.
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 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 Index SPC when calculating its net asset value.
The net asset values received by the Fund from the Index SPC may be
subject to revision through monthly financial reports of the Index 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 Index SPC that are received from PlusFunds or from the
Index SPC or its administrator. There are no market quotations available
to use in valuing the Fund's investments in the Index 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 Index 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.

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

The Index SPC is subject to counterparty risks. If the Index SPC's
clearing broker becomes bankrupt or insolvent, or otherwise defaults on
its obligations to the Index SPC, the Index 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 Index 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 Index SPC (for example, United
States Treasury bills deposited by the Index SPC with the clearing broker
as margin) was held by the clearing broker. In addition, some of the
instruments which the Index 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 Index 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 Index 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 United States commodity exchange. Under
current regulations, other accounts of the Portfolio Managers are combined
with the positions held by the Index SPC for position limit purposes. This
trading could preclude additional trading in these commodities by the
Portfolio Managers for the account of the Index SPC.

Systematic strategies do not consider fundamental types of data and do not
have the benefit of discretionary decision making. Most of the Index 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 the Index and has primary responsibility for the Index's
strategy classifications, composition and methodology. Implicit to the
Index 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.

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PlusFunds, the investment manager of the Index 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 National Futures Association. PlusFunds
monitors the day-to-day performance of the Index 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 of the Fund 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, 2005, 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.

There were no changes in our internal controls over financial reporting
during the quarter ended March 31, 2005, that have materially affected, or
are reasonably likely to materially affect, our internal controls over
financial reporting.

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.

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PART II- OTHER INFORMATION

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Class A Units sold through 3/31/05: 45,753.929
Class A Units unsold through 3/31/05: 554,246.071
Aggregate price paid for Class A Units sold through 3/31/05: $39,704,703

Class B Units sold through 3/31/05: 12,451.689
Class B Units unsold through 3/31/05: 87,548.311
Aggregate price paid for Class B Units sold through 3/31/05: $11,016,149

Units are continuously sold at monthly closings at a purchase price equal to
100% of the net asset value per Unit as of the close of business on the last day
of each month. 100% of the proceeds of the offerings have been applied to the
working capital of the Fund for use in accordance with the "Use of Proceeds"
section of the relevant prospectus included as a part of the above referenced
registration statements.

The managing underwriter for the Fund is Refco Securities, LLC.

ITEM 6. EXHIBITS.

EXHIBITS

3.1 CERTIFICATE OF LIMITED PARTNERSHIP OF THE REGISTRANT, FILED AS EXHIBIT
3.1 TO THE REGISTRANT'S REGISTRATION STATEMENT ON FORM S-1 (FILE NO.
333-107357) AS FILED ON JULY 25, 2003 (FILE NO. 333-107357), AND
INCORPORATED HEREIN BY REFERENCE.

3.2 AMENDED AND RESTATED LIMITED PARTNERSHIP AGREEMENT, FILED AS EXHIBIT A
TO THE REGISTRANT'S RULE 424(b) PROSPECTUS AS FILED ON FEBRUARY 6,
2004, AND INCORPORATED HEREIN BY REFERENCE.

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.

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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 12, 2005 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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