-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, OL7+O9KZBbEpg/XQSOCRi/vfkktQvFaU7e1mA35rx11CKb0nfgLbuk1mQ58w8PfJ yneQlhWAc7oMwFF/1lpbkw== 0001047469-04-026035.txt : 20040810 0001047469-04-026035.hdr.sgml : 20040810 20040810172442 ACCESSION NUMBER: 0001047469-04-026035 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040810 FILER: COMPANY DATA: COMPANY CONFORMED NAME: S&P MANAGED FUTURES INDEX FUND LP CENTRAL INDEX KEY: 0001255107 STANDARD INDUSTRIAL CLASSIFICATION: INVESTORS, NEC [6799] IRS NUMBER: 900080558 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-50565 FILM NUMBER: 04965252 BUSINESS ADDRESS: STREET 1: C/O REFCOFUND HOLDINGS LLC STREET 2: 550 W JACKSON STE 1300 CITY: CHICAGO STATE: IL ZIP: 60661 BUSINESS PHONE: 3127882000 10-Q 1 a2141833z10-q.txt 10-Q 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: JUNE 30, 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, June 30, 2004 (unaudited) 1 Statement of Operations for the three months ended June 30, 2004 and for the Period 2 March 15, 2004 (Commencement of Operations) to June 30, 2004 (unaudited) Statement of Changes in Net Assets for the three months ended June 30, 2004 and for the 3 Period March 15, 2004 (Commencement of Operations) to June 30, 2004 (unaudited) Statement of Cash Flows for the three months ended June 30, 2004 and for the Period 4 March 15, 2004 (Commencement of Operations) to June 30, 2004 (unaudited) Schedule of Investments, June 30, 2004 (unaudited) 5 Notes to Financial Statements (unaudited) 6-10 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 11-15 Item 3. Quantitative and Qualitative Disclosures About Market Risk 15-19 Item 4. Controls and Procedures 19 PART II - OTHER INFORMATION 20 Item 6. Exhibits and Reports on Form 8-K 20 SIGNATURES 21
S&P MANAGED FUTURES INDEX FUND, LP (A DELAWARE LIMITED PARTNERSHIP) STATEMENT OF ASSETS AND LIABILITES JUNE 30, 2004 (UNAUDITED) ASSETS: Cash $ 115,794 Investments in SPC (Notes 1 and 2) 17,055,913 Investment made in advance 4,835,000 Receivable from General Partner 7,528 ------------ TOTAL ASSETS 22,014,235 ------------ LIABILITIES: Subscriptions received in advance 4,887,669 Accrued expenses 114,645 Management fee payable 53,187 Redemption payable 12,500 ------------ TOTAL LIABILITIES 5,068,001 ------------ NET ASSETS $ 16,946,234 ============ NET ASSET VALUE PER PARTNERSHIP UNIT: CLASS A - based on Net Assets of $13,487,945 and 16,266.815 partnership units outstanding $ 829.17 CLASS B - based on Net Assets of $3,458,289 and 4,157.667 partnership units outstanding $ 831.79
See notes to financial statements. 1 STATEMENTS OF OPERATIONS (UNAUDITED)
MARCH 15, 2004 (COMMENCEMENT OF THREE MONTHS ENDED OPERATIONS) TO JUNE JUNE 30, 2004 30, 2004 OPERATING EXPENSES: Management fees Class A $ 90,289 $ 96,042 Class B 14,283 15,877 Administration fee Class A 67,732 84,368 Class B 20,969 24,032 Professional fees 44,211 58,948 Other expenses 12,196 16,189 --------------- --------------- Total expenses 249,680 295,456 --------------- --------------- Less reimbursement of expenses by General Partner (40,376) (48,733) --------------- --------------- NET INVESTMENT LOSS (209,304) (246,723) --------------- --------------- DECREASE IN EQUITY IN SPC (1,525,491) (1,583,252) --------------- --------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (1,734,795) $ (1,829,975) =============== ===============
See notes to financial statements. 2 STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
MARCH 15, 2004 (COMMENCEMENT OF THREE MONTHS ENDED OPERATIONS) TO JUNE 30, JUNE 30, 2004 2004 DECREASE IN NET ASSETS RESULTING FROM OPERATIONS: Net investment loss $ (209,304) $ (246,723) Decrease in equity in SPC (1,525,491) (1,583,252) --------------- --------------- Net decrease in net assets resulting from operations (1,734,795) (1,829,975) --------------- --------------- INCREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS: Proceeds from issuance of partnership units Class A 11,541,598 14,906,113 Class B 2,829,300 4,628,300 Redemption of partnership units Class A (21,254) (21,254) Class B - (736,950) Total increase in net assets from capital transactions 14,349,644 18,776,209 --------------- --------------- NET INCREASE IN NET ASSETS 12,614,849 16,946,234 NET ASSETS AT BEGINNING OF PERIOD 4,331,385 - --------------- --------------- NET ASSETS AT END OF PERIOD $ 16,946,234 $ 16,946,234 =============== ===============
See notes to financial statements. 3 STATEMENTS OF CASH FLOWS (UNAUDITED)
MARCH 15, 2004 (COMMENCEMENT OF THREE MONTHS ENDED OPERATIONS) TO JUNE JUNE 30, 2004 30, 2004 CASH PROVIDED BY (USED IN) OPERATING ACTIVITES: Net decrease in net assets resulting from operations $ (1,734,795) $ (1,829,975) Adjustments to reconcile net decrease in net assets to net cash used in operating activities: Decrease in equity in SPC 1,525,491 1,583,252 (Increase) in investment made in advance (3,738,000) (4,835,000) Decrease (Increase) in receivable from General Partner 829 (7,528) Increase in accrued expenses 68,869 114,645 Increase in management fees payable 53,187 53,187 Investments in SPC at cost (13,535,000) (18,639,165) --------------- --------------- Net cash used in operating activities (17,359,419) (23,560,584) --------------- --------------- CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES: Partners' subscriptions 17,443,872 24,422,082 Partners' redemptions (745,704) (745,704) --------------- --------------- Net cash provided by financing activities 16,698,168 23,676,378 --------------- --------------- Net decrease (increase) in cash (661,251) 115,794 CASH, BEGINNING OF PERIOD 777,045 - --------------- --------------- CASH, END OF PERIOD $ 115,794 $ 115,794 =============== ===============
See notes to financial statements. 4 S&P MANAGED FUTURES INDEX FUND, LP (A DELAWARE LIMITED PARTNERSHIP) SCHEDULE OF INVESTMENTS JUNE 30, 2004 (UNAUDITED)
% OF INVESTMENTS IN SPC NET ASSETS FAIR VALUE - -------------------------------------------------------------------------------------------------- INDEX CONSTITUENTS Aspect Capital Limited (Aspect Diversified Program) 6.65% $ 1,126,046 Beach Capital Management Limited (Beach Discretionary Programme) 7.16% 1,213,501 Beacon Management Corporation (Portfolio Currently Being Liquidated) 7.75% 1,313,810 Campbell & Company, Inc. (Financial, Metals and Energy Large Portfolio) 8.17% 1,383,595 Chesapeake Capital Corporation (The Diversified Program) 7.12% 1,206,450 Dunn Capital Management, Inc. (Dunn Combined Financial) 6.15% 1,042,785 Eclipse Capital Management, Inc. (Global Monetary Program) 6.91% 1,171,650 Graham Capital Management, L.P. (Global Diversified Program) 7.32% 1,239,740 Hyman Beck & Company, Inc. (The Global Portfolio) 6.12% 1,037,114 John W. Henry & Company, Inc. (Global Financial and Energy Portfolio) 7.16% 1,213,288 Millburn Ridgefield Corporation (Diversified Portfolio) 6.77% 1,147,920 Rotella Capital Management, Inc. (The Polaris Program) 7.10% 1,202,481 Willowbridge Associates Inc. (Argo Trading System) 8.39% 1,421,514 Winton Capital Management Ltd. (Diversified Program) 7.88% 1,336,019 --------------- --------------- TOTAL 100.65% $ 17,055,913 =============== ===============
All investments in SPC have directional/tactical investment objective. Redemptions from the SPC are permitted semi-monthly. See notes to financial statements. 5 S&P MANAGED FUTURES INDEX FUND, LP (A DELAWARE LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS PERIOD MARCH 15, 2004 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 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 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 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, transfer agent and registrar 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 6 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. Operating results for the period March 15, 2004 to June 30, 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 June 30, 2004 was as follows:
CLASS A CLASS B ---------------------------------------------------------------------------------------- Issued and outstanding at March 15, 2004 - - Issuance of additional units during the period 3,364.515 1,799.000 Redemption of units during the period - (750.000) ----------------------------- Issued and outstanding at March 31, 2004 3,364.515 1,049.000 ----------------------------- Issuance of additional units during the period 12,927.374 3,108.667 Redemption of units during the period (25.074) - ----------------------------- Issued and outstanding at June 30, 2004 16,266.815 4,157.667 -----------------------------
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 and June 30, 2004, the Selling Agent received $74,240 and $372,943 in upfront commissions, respectively. 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 8 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. 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 June 30, 2004 is set forth on the Statement of Operations. As of June 30, 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
MARCH 15, 2004 (COMMENCEMENT OF THREE MONTHS ENDED JUNE 30, 2004 OPERATIONS) TO JUNE 30, 2004 CLASS A CLASS B CLASS A CLASS B - --------------------------------------------------------------------------------------------------------------------------- PER PARTNERSHIP UNIT DATA: NET ASSET VALUE, BEGINNING OF PERIOD $ 981.02 $ 982.60 $ 1,000.00 $ 1,000.00 Net investment loss (16.45) (13.91) (24.25) (20.13) Decrease in equity in SPC (135.40) (136.90) (146.58) (148.08) ---------------------------------- ---------------------------------- Net decrease resulting from operations (151.85) (150.81) (170.83) (168.21) Distributions to partners - - - - ---------------------------------- ---------------------------------- NET ASSET VALUE, END OF PERIOD $ 829.17 $ 831.79 $ 829.17 $ 831.79 ================================== ================================== TOTAL RETURN (15.48)% (15.35)% (17.08)% (16.82)% RATIOS TO AVERAGE NET ASSETS (ANNUALIZED): Pre-reimbursement expenses 9.27% 7.43% 9.71% 7.86% Reimbursement by General Partner (1.70)% -0.55% (1.85)% (0.49)% After-reimbursement expenses 7.57% 6.88% 7.86% 7.37% Net investment loss (7.57)% (6.88)% (7.86)% (7.37)%
The per partnership unit amounts were computed using an average number of partnership units outstanding during the period. Total returns are 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. 7. SUBSEQUENT EVENTS 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 will be limited to an aggregate of 4.95% in respect of the Class A units and 2.95% in respect of the Class B units. 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. 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 11 could prevent the investment manager of the SPC from promptly liquidating unfavorable positions 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 -15.48% for the three month period ended June 30, 2004, net of fees and expenses. The S&P Managed Futures Index Fund, LP - Class B commenced operations on March 15, 2004 and returned -15.35% for the three month period ended June 30, 2004, net of fees and expenses. The results of the Fund, excluding Fund level expenses, are directly correlated to that of the SPC. APRIL 2004 The S&P Managed Futures Index Fund, LP - Class A returned -8.72 % in April and -10.45% from inception to date. The S&P Managed Futures Index Fund, LP - Class B returned -8.72 % in April and -10.31% from inception to date. All asset classes in the Fund were volatile during April 2004 as market participants reacted to improving economic news coming out of the United States. The Fund had mixed but overall negative results, with Currency and Financial components deteriorating as long standing trends it was profiting from reversed course on signs that the U.S. economy is improving. Most of the losses came from financial sector, specifically by losses in bonds, which were mainly driven by long positions in U.S. Treasuries that were hit by a 6% reversal by traders dumping bonds in anticipation of higher interest rates. Long positions in short-term Euro-denominated interest rate instruments also helped depress the Fund's returns. Federal Reserve Bank statements suggested the U.S. Economy was gaining traction as jobs reports were starting to show more favorable numbers and pricing power was becoming more apparent. This in turn helped fuel concern over increasing inflation pressure and the likely response by the Federal Reserve Bank to increase interest rates, which made existing bond yields look less attractive than new Bond instruments issued in a higher interest rate environment. Losses were also derived from currencies, where the Fund was short the U.S. Dollar against European, Canadian, and U.K. currencies. Most major foreign currencies fell by upwards of 5% versus the U.S. Dollar on a month-to-date basis. The U.S. Dollar gained against the Euro in particular after a closely followed German Consumer Investor Report showed that economic growth was only going to be 1.5% this year which was perceived by traders as further opening the door to an interest rate cut by the European Central Bank. In addition, the Interest Rate increases by the Bank of England were perceived as having quelled inflation and signs show the U.K. economy may be cooling as well. Combining this news with bullish economic reports from the U.S. made the U.S. appear to market participants as a more favorable place to invest, and thus drove up the U.S. Dollar against other currencies. 12 MAY 2004 The S&P Managed Futures Index Fund, LP - Class A returned -2.24% in May and -12.46% from inception to date. The S&P Managed Futures Index Fund, LP - Class B returned -2.24% in May and -12.32% from inception to date. By examining macro-economic reports in May, it became apparent that market participants were reacting on almost a "day-to-day" basis, making tactical maneuvers in reaction to news reports regarding inflation, employment, and interest rate reports, as well as commodity price changes and geopolitical events. Continuing the theme of April, economic conditions were transitioning from the deflationary effect of a global recession to a re-inflation theme that resulted from unusually accommodative monetary and fiscal policy in the U.S., Europe, and Asia. Although market participants broadly agreed on the evidence of this secular trend, there was disagreement over the timing of its effects on individual asset classes. Following April's sharp drop in bonds in anticipation of increasing rates, economic reports in May were somewhat mixed, and market participants reacted by trading the "news of the day", which resulted in bonds reversing course from a downward trajectory formed in May. Prices reversed, however, in mid-May on various newspoints including OPEC's pledge to increase oil output to help restrain record-breaking oil prices which would have a deflationary effect on yields and traders rotated back into Bonds partially in response. With respect to currencies, the major trend coming out of April was the U.S. Dollar's turnaround as it gained strength from the prospect for higher interest rates that would make it more attractive and a medium of exchange to benefit from higher yielding investments in the U.S. The U.S. Dollar continued to gain strength until May 14th then fell as market participants rotated into gold as a flight-to-quality response that drove gold prices up 5% in the last 2 weeks of May from 377 to 396. Gold was driven up partially in response to news of the assassination of the President of the Iraqi Governing Council on May 17 and assorted terrorist attacks in Saudi Arabia, which raised more doubts on prospects for stability in that region and additionally by the sheer frustration of market participants to find a stable store of value during May. For the full month of May, U.S. T-Bonds were virtually unchanged, the U.S. Dollar lost about 2% on average vs. developed currencies, crude oil rose about 7%, and gold rose about 3%. All of these markets traded in volatile ranges for the month. The Fund's medium-term trend following managers were hurt the most during the month as their models showed strong conviction in the positions developed in April and as a result traders added to their short Bond positions and long U.S. Dollar positions. These managers returned between -3.0% to -5.0% for the month. In contrast, those managers engaged in long-term trend-following actually posted flat or positive returns for the month as their systems had not turned as quickly and thus never fully built up positions that got whipsawed in May. These managers posted between -0.5% and +0.2% returns for the month. In addition, those managers employing shorter-term pattern-recognition strategies also posted flat or positive returns as they benefited from volatile sideways markets that were exhibited in May. These managers posted between -1.5% and +4.0% returns for the month. In contrast to bonds and currencies that caused most of the losses in May, crude oil prices displayed a forceful up-trend that helped diminish portfolio losses during the month as a broad set of managers had positive exposure to this market. JUNE 2004 The S&P Managed Futures Index Fund, LP - Class A returned -5.28% in June and -17.08% from inception to date. The S&P Managed Futures Index Fund, LP - Class B returned -5.14% in June and -16.82% from inception to date. Of the 14 managers in the S&P Managed Futures Index, all had negative returns for the month of June, with long-term trend-followers as well as traders with short-term systems contributing equally to the negative results. Building on the story from May, most major markets traded experienced 13 volatile sideways price activity, whereby markets displayed a general lack of directional activity on a full month basis but developed jagged patterns on a daily and weekly basis. Although it is rare for so many markets to fall into this pattern simultaneously, we should note the unusual circumstances market participants encountered as they digested the full range of questions relating to interest rate changes, geo-political events, economic growth, and inflation, to name only a few. Trend followers were again caught on the defensive because they had to balance the need to liquidate positions and shield themselves from temporary losses against the probability that a short term directional move in a given market will indeed turn into a profitable trend. The geo-political and economic environment in June did not provide substantial reasons for trending in many markets and as a result, strategies relying on momentum to generate alpha, such as Trend following, had a difficult time. Specific to the sectors traded in the Fund, losses were incurred primarily in energy markets where substantial positions were built up as crude oil trended higher over the last year, but dramatically reversed in June, falling from $42/barrel at the beginning of the month to $35/barrel by month-end on news of increased OPEC production. In bond markets, European- and U.S.-based markets declined through the first 2 weeks of the month attracting additional short positions from the fund's traders, only to reverse course mid month with nearly a 3 point move higher in the U.S. 10-Year Notes, for example, as market participants reacted to labor market news in the U.S. and speculation on the magnitude of the NY Federal Reserve Bank's change in interest rate targets. Losses were also incurred in currency markets where the U.S. Dollar staged a 1-month run-up against the Euro and British Pound but did so with extreme intra-day volatility where moves approaching 2-points in the Euro were common on a daily basis. In reaction to these adverse moves, traders were proactive in reducing exposure in losing areas. In energy, for example, exposure was reduced by about 40% since June 1 as a result of deteriorating market activity. In short Yen positions, where a large portion of currency losses occurred, positions were cut by 50% as risk management protocols were activated. In contrast to these markets, gains from short positions in interest rates helped to offset losses elsewhere as these markets are providing one of the few quality trending areas from which to profit. Smaller gains were also drawn from cotton, cattle, and wheat futures and to a lesser extent in frozen orange juice and cocoa markets, as trends developed based on supply/demand imbalances and weather-based data. 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, 14 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 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'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. 15 VALUE AT RISK BY MARKET SECTORS The following table indicates the value at risk associated with the Fund's open positions by market category as of June 30, 2004. As of June 30, 2004, the Fund's Net Assets were $16,946,234. 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 Dollar terms and 'VaR%' is expressed as a percentage of Fund Net Assets.
AS OF JUNE 30, 2004 MARKET SECTOR VALUE AT RISK VAR (%) --------------------------------------------------------------------------- Interest Rate $ 386,445 2.28% Equity Index 170,626 1.01% Currency 7,655 0.05% Raw Commodity 328,340 1.94% --------------- --------------- TOTAL $ 893,066 5.28% =============== ===============
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. 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. 16 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 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. 17 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. 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. 18 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 June 30, 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. 19 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. 20 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: August 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) 21 EX-31.1 2 a2141833zex-31_1.txt EXHIBIT 31.1 EXHIBIT 31.1 CERTIFICATION I, Richard C. Butt, certify that: 1. I have reviewed this quarterly report on Form 10-Q of S&P Managed Futures Index Fund, LP; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 10, 2004 /s/ Richard C. Butt ------------------------------------ Richard C. Butt President (principal executive officer) RefcoFund Holdings, LLC General Partner 22 EX-31.2 3 a2141833zex-31_2.txt EXHIBIT 31.2 EXHIBIT 31.2 CERTIFICATION I, Philip Silverman, certify that: 1. I have reviewed this quarterly report on Form 10-Q of S&P Managed Futures Index Fund, LP; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this quarterly report is being prepared; b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 10, 2004 /s/ Philip Silverman ------------------------------------ Philip Silverman Secretary (principal financial and accounting officer) RefcoFund Holdings, LLC General Partner 23 EX-32.1 4 a2141833zex-32_1.txt EXHIBIT 32.1 EXHIBIT 32.1 CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 Pursuant to 18 U.S.C. Section 1350, as created by Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned principal executive officer of RefcoFund Holdings, LLC, the general partner (the "General Partner") of S&P Managed Futures Index Fund, LP (the "Fund"), and principal financial officer of the General Partner hereby certifies that: (1) the accompanying Quarterly Report on Form 10-Q the Fund for the quarterly period ended March 31, 2004 (the "Report") fully complies with the requirements of section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934, as amended; and (2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: August 10, 2004 /s/ Richard C. Butt ------------------------------------ Richard C. Butt President (principal executive officer) RefcoFund Holdings, LLC General Partner /s/ Philip Silverman ------------------------------------ Philip Silverman Secretary (principal financial and accounting officer) RefcoFund Holdings, LLC General Partner This certification accompanies this Report pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed filed by the Fund for purposes of Section 18 of the Securities Exchange Act of 1934, as amended. 24 -----END PRIVACY-ENHANCED MESSAGE-----