UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended: June 30, 2005

o 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 incorporation or organization)		(I.R.S. Employer 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 ý No o

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

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 June 30, 2005 (unaudited) and December 31, 2004	1

		Statements of Operations for the three months ended June 30, 2005 and June 30, 2004, and for the six months ended June 30, 2005 and for the period from March 15, 2004 (Commencement of Operations) to June 30, 2004 (unaudited)	2

		Statements of Changes in Net Assets for the six months ended June 30, 2005, and for the period March 15, 2004 (Commencement of Operations) to June 30, 2004 (unaudited)	3

		Statements of Cash Flows for the six months ended June 30, 2005 and for the period March 15, 2004 (Commencement of Operations) to June 30, 2004 (unaudited)	4

		Schedule of Investments as of June 30, 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	13

	Item 3.	Quantitative and Qualitative Disclosures About Market Risk	18

	Item 4.	Controls and Procedures	23

PART II – OTHER INFORMATION

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	24

	Item 6.	Exhibits	24

SIGNATURES			25

S&P MANAGED FUTURES INDEX FUND, LP

(A Delaware Limited Partnership)

STATEMENTS OF ASSETS AND LIABILITIES

JUNE 30, 2005 (UNAUDITED) AND DECEMBER 31, 2004

	June 30, 2005		December 31, 2004
ASSETS:
Cash	$	1,617,363	$	278,393
Investments in Index SPC, at fair value (cost $50,900,165 and $40,190,165, respectively)	49,684,261		42,830,003
Investment made in advance	—		2,350,000
Receivable from General Partner	2,330		83,812
TOTAL ASSETS	51,303,954		45,542,208

LIABILITIES:
Subscriptions received in advance	1,514,677		2,382,786
Accrued expenses	312,827		213,777
Management fees payable	155,739		135,838
Redemption payable	1,241,010		76,093
Redemption fee payable	278		1,722
Due to investors	150,000		8,250
TOTAL LIABILITIES	3,374,531		2,818,466

NET ASSETS	$	47,929,423	$	42,723,742

CLASS A
Number of Partnership Units Outstanding	49,187.565		38,856.005
Net Assets	$	39,709,374	$	35,111,145
Net Asset Value per Partnership Unit	$	807.31	$	903.62

CLASS B
Number of Partnership Units Outstanding	9,948.427		8,314.206
Net Assets	$	8,220,049	$	7,612,597
Net Asset Value per Partnership Unit	$	826.27	$	915.61

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

S&P MANAGED FUTURES INDEX FUND, LP

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED JUNE 30, 2005 AND JUNE 30, 2004, AND FOR

THE SIX MONTHS ENDED JUNE 30, 2005 AND FOR THE PERIOD FROM MARCH 15, 2004

(COMMENCEMENT OF OPERATIONS) TO JUNE 30, 2004 (UNAUDITED)

	Three Months Ended June 30, 2005			Three Months Ended June 30, 2004			Six Months Ended June 30, 2005			March 15, 2004 (Commencement of Operations) to June 30, 2004
OPERATING EXPENSES:
Management fees
Class A	$	404,273		$	90,289		$	781,118		$	96,042
Class B	47,641			14,283			91,635			15,877
Administration fees
Class A	54,710			67,732			100,059			84,368
Class B	12,178			20,969			22,567			24,032
Professional fees	38,751			44,211			77,502			58,948
Other expenses	4,734			12,196			9,468			16,189
Total expenses	562,287			249,680			1,082,349			295,456

Less waiver of management fees by General Partner	(14,715		)	(40,376		)	(24,923		)	(48,733		)

NET INVESTMENT LOSS	(547,572		)	(209,304		)	(1,057,426		)	(246,723		)

DECREASE IN EQUITY IN INDEX SPC	(1,108,299		)	(1,525,491		)	(3,855,742		)	(1,583,252		)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(1,655,871	)	$	(1,734,795	)	$	(4,913,168	)	$	(1,829,975	)

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

S&P MANAGED FUTURES INDEX FUND, LP

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE SIX MONTHS ENDED JUNE 30, 2005 AND FOR THE PERIOD FROM

MARCH 15, 2004 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 2004 (UNAUDITED)

	Six Months Ended June 30, 2005			March 15, 2004 (Commencement of Operations) to June 30, 2004

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment loss	$	(1,057,426	)	$	(246,723	)
Decrease in equity in Index SPC	(3,855,742		)	(1,583,252		)
Net decrease in net assets resulting from operations	(4,913,168		)	(1,829,975		)

INCREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS:
Proceeds from issuance of partnership units
Class A	10,060,126			14,906,113
Class B	2,864,257			4,628,300
Redemption of partnership units
Class A	(1,378,368		)	(21,254		)
Class B	(1,427,166		)	(736,950		)
Total increase in net assets from capital transactions	10,118,849			18,776,209

NET INCREASE IN NET ASSETS	5,205,681			16,946,234

NET ASSETS AT BEGINNING OF PERIOD	42,723,742			—

NET ASSETS AT END OF PERIOD	$	47,929,423		$	16,946,234

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

S&P MANAGED FUTURES INDEX FUND, LP

(A Delaware Limited Partnership)

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2005 AND FOR THE PERIOD

FROM MARCH 15, 2004 (COMMENCEMENT OF OPERATIONS) TO

JUNE 30, 2004 (UNAUDITED)

	Six Months Ended June 30, 2005			March 15, 2004 (Commencement of Operations) to June 30, 2004

CASH USED IN OPERATING ACTIVITES:
Net decrease in net assets resulting from operations	$	(4,913,168	)	$	(1,829,975	)
Adjustments to reconcile net decrease in net assets from operations to net cash used in operating activities:
Decrease in equity in Index SPC	3,855,742			1,583,252
Changes in operating assets and liabilities:
Cost of investments in Index SPC	(10,710,000		)	(18,639,165		)
Investment made in advance	2,350,000			(4,835,000		)
Receivable from General Partner	81,482			(7,528		)
Accrued expenses	99,050			114,645
Management fees payable	19,901			53,187
Redemption fee payable	(1,444		)	—
Due to investors	141,750			—
Net cash used in operating activities	(9,076,687		)	(23,560,584		)

CASH PROVIDED BY FINANCING ACTIVITIES:
Proceeds from issuance of partnership units	12,056,274			24,422,082
Redemption of partnership units	(1,640,617		)	(745,704		)
Net cash provided by financing activities	10,415,657			23,676,378

Net increase in cash	1,338,970			115,794

CASH, BEGINNING OF PERIOD	278,393			—

CASH, END OF PERIOD	$	1,617,363		$	115,794

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

S&P MANAGED FUTURES INDEX FUND, LP

(A Delaware Limited Partnership)

SCHEDULE OF INVESTMENTS

JUNE 30, 2005 (UNAUDITED)

	% of
Investments in Index SPC	Net Assets		Fair Value
Index Constituents

SPhinx Managed Futures (Argo Willowbridge) Segregated Portfolio	5.92	%	$	2,835,032
SPhinx Managed Futures (Aspect) Segregated Portfolio	8.30	%	3,979,445
SPhinx Managed Futures (Beach) Segregated Portfolio	6.82	%	3,270,805
SPhinx Managed Futures (Campbell FME Large) Segregated Portfolio	8.77	%	4,202,196
SPhinx Managed Futures (Chesapeake Capital) Segregated Portfolio	7.52	%	3,604,983
SPhinx Managed Futures (Drury Capital) Segregated Portfolio	6.71	%	3,214,039
SPhinx Managed Futures (Dunn) Segregated Portfolio	7.81	%	3,741,621
SPhinx Managed Futures (Eclipse) Segregated Portfolio	7.12	%	3,412,707
SPhinx Managed Futures (Graham Global Investment) Segregated Portfolio	7.38	%	3,535,698
SPhinx Managed Futures (Hyman Beck) Segregated Portfolio	6.92	%	3,317,563
SPhinx Managed Futures (JWH) Segregated Portfolio	5.32	%	2,551,293
SPhinx Managed Futures (Millburn) Segregated Portfolio	7.86	%	3,767,160
SPhinx Managed Futures (Rotella) Segregated Portfolio	8.36	%	4,005,423
SPhinx Managed Futures (Winton) Segregated Portfolio	8.86	%	4,246,296

TOTAL	103.67	%	$	49,684,261

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

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

S&P MANAGED FUTURES INDEX FUND, LP

(A Delaware Limited Partnership)

SCHEDULE OF INVESTMENTS

DECEMBER 31, 2004

	% of
Investments in Index SPC	Net Assets		Fair Value
Index Constituents

SPhinX Managed Futures (Argo Willowbridge) Segregated Portfolio	8.48	%	$	3,623,423
SPhinX Managed Futures (Aspect) Segregated Portfolio	6.17	%	2,634,776
SPhinX Managed Futures (Beach) Segregated Portfolio	6.77	%	2,891,362
SPhinX Managed Futures (Campbell FME Large) Segregated Portfolio	7.60	%	3,247,970
SPhinX Managed Futures (Chesapeake Capital) Segregated Portfolio	7.14	%	3,048,942
SPhinX Managed Futures (Drury Capital) Segregated Portfolio	7.41	%	3,167,826
SPhinX Managed Futures (Dunn) Segregated Portfolio	6.45	%	2,755,206
SPhinX Managed Futures (Eclipse) Segregated Portfolio	6.09	%	2,603,695
SPhinX Managed Futures (Graham Global Investment) Segregated Portfolio	7.35	%	3,141,712
SPhinX Managed Futures (Hyman Beck) Segregated Portfolio	6.42	%	2,741,850
SPhinX Managed Futures (JWH) Segregated Portfolio	8.88	%	3,795,017
SPhinX Managed Futures (Millburn) Segregated Portfolio	6.73	%	2,876,523
SPhinX Managed Futures (Rotella) Segregated Portfolio	6.51	%	2,783,102
SPhinX Managed Futures (Winton) Segregated Portfolio	8.24	%	3,518,599

TOTAL	100.24	%	$	42,830,003

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

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

S&P MANAGED FUTURES INDEX FUND, LP

(A Delaware Limited Partnership)

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 Amended and Restated 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™ 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.

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

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 United States Securities and Exchange Commission, and by any additional selling agents who may be engaged from time to time on behalf of the Fund.

2. SIGNIFICANT ACCOUNTING POLICIES

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

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

accounting principles generally accepted in the United States of America for complete financial statements. 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 1.00% to 2.50% per annum of the assets allocated to a Portfolio Manager. Each Portfolio Manager is eligible to receive performance based compensation of 15% 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 Amended and Restated 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 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 Amended and Restated 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 of each Class is determined by dividing the net assets of each Class by the number of Units of that Class outstanding on the date the calculation is being performed.

The Units may generally be redeemed as of the last business day of each 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 June 30, 2005 was as follows:

	Class A		Class B

Issued and outstanding at January 1, 2005	38,856.005		8,314.206
Issuance of additional units during the period	12,041.736		3,360.871
Redemption of units during the period	(1,710.176	)	(1,726.650	)
Issued and outstanding at June 30, 2005	49,187.565		9,948.427

The activity of the Units 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	16,291.889		4,907.667
Redemption of units during the period	(25.074	)	(750.000	)
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 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.

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 13^th month following the purchase of Class A Units equal to 0.167% of the Class A Units’ month-end net assets (a 2% annual rate). For the three months ended June 30, 2004 and 2005, the Selling Agent received $372,943 and $129,779, respectively, in upfront commissions. For the period March 15, 2004 (Commencement of Operations) to June 30, 2004 and for the six months ended June 30, 2005, the Selling Agent received $447,183 and $244,020, respectively, in upfront commissions. The Class

B Units are not subject to these commissions or ongoing servicing fees. No selling commissions will be paid from the proceeds of subscriptions.

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

RFH 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 Amended and Restated 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 June 30, 2004 and 2005 are set forth on the Statement of Operations.

As of December 31, 2004 and June 30, 2005, the General Partner held 491.8988 Class B Units of the Fund totaling $450,387 and 649.7891 Class B Units of the Fund totaling $536,902, respectively.

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.

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 provide clearing house arrangements in which the collective credit (which is, in some cases, 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.

7. FINANCIAL HIGHLIGHTS

	Class A
	Three Months Ended June 30, 2005			Three Months Ended June 30, 2004			Six Months Ended June 30, 2005			March 15, 2004 (Commencement of Operations) to June 30, 2004
Per Partnership Unit Data:
Net Asset Value, Beginning of Period	$	837.87		$	981.02		$	903.62		$	1,000.00
Net investment loss	(9.87		)	(16.45		)	(20.27		)	(24.25		)
Decrease in equity in Index SPC	(20.69		)	(135.40		)	(76.04		)	(146.58		)
Net decrease resulting from operations	(30.56		)	(151.85		)	(96.31		)	(170.83		)

Distributions to partners	—			—			—			—
Net Asset Value, End of Period	$	807.31		$	829.17		$	807.31		$	829.17

Total return	(3.65		)%	(15.48		)%	(10.66		)%	(17.08		)%

Ratios to Average Net Assets (annualized):
Pre-waiver expenses	5.09		%	9.27		%	5.05		%	9.71		%
Waiver by General Partner	(0.13		)%	(1.70		)%	(0.11		)%	(1.85		)%
After-waiver expenses	4.96		%	7.57		%	4.94		%	7.86		%
Net investment loss	(4.96		)%	(7.57		)%	(4.94		)%	(7.86		)%

	Class B
	Three Months Ended June 30, 2005			Three Months Ended June 30, 2004			Six Months Ended June 30, 2005			March 15, 2004 (Commencement of Operations) to June 30, 2004
Per Partnership Unit Data:
Net Asset Value, Beginning of Period	$	853.25		$	982.60		$	915.61		$	1,000.00
Net investment loss	(6.00		)	(13.91		)	(12.29		)	(20.13		)
Decrease in equity in Index SPC	(20.98		)	(136.90		)	(77.05		)	(148.08		)
Net decrease resulting from operations	(26.98		)	(150.81		)	(89.34		)	(168.21		)

Distributions to partners	—			—			—			—
Net Asset Value, End of Period	$	826.27		$	831.79		$	826.27		$	831.79

Total return	(3.16		)%	(15.35		)%	(9.76		)%	(16.82		)%

Ratios to Average Net Assets (annualized):
Pre-waiver expenses	3.07		%	7.43		%	3.05		%	7.86		%
Waiver by General Partner	(0.11		)%	(0.55		)%	(0.11		)%	(0.49		)%
After-waiver expenses	2.96		%	6.88		%	2.94		%	7.37		%
Net investment loss	(2.96		)%	(6.88		)%	(2.94		)%	(7.37		)%

The per Unit amounts were computed using an average number of 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.

8. SUBSEQUENT EVENTS

Effective July 1, 2005, the Fund will issue Class 1 and Class 2 Units replacing Class A and Class B Units, respectively. Previously issued Class A and Class B Units will be renamed Class 1 and Class 2 Units, respectively.

Beginning July 1, 2005, the management fee paid by the Fund, which is calculated semi-monthly and paid monthly, will be equal to 0.104167% of the net assets of the Class 1 Units and Class 2 Units (1.25% per annum).

For investors purchasing shares on or after July 1, 2005, the General Partner will advance the first year’s servicing fee to the Selling Agents equal to 2% of the subscription amount of Class 1 Units sold. The Fund will reimburse the General Partner the Initial Service Fee equal to 2% (0.167% monthly) over the following twelve-month period subject to the Class 1 unit-holder remaining invested in the Fund. Class 1 unit-holders will be required to pay a redemption fee equal to 2% of the redemption amount to the General Partner for redemptions made within the initial twelve months of ownership of such Class 1 Units. The redemption amount is reduced by 1/24 of 2% on the 15^th day and last day of each month during the first year of ownership.

After the expiration of twelve months following the sale of Class 1 Units, the Fund will pay the selling agents selling Class 1 Units an Ongoing Service Fee equal to 2% annually of the Net Asset Value of each Class 1 Unit sold by the selling agent.

As of July 1, 2005, subscriptions for either Class of Units may be made as of the 1^st and 16^th day of the month. If either day is not a business day, then the subscription may be made of as of the next business day.

As of July 1, 2005, holders may redeem their Units as of the 15^th day and the last day of the month. If either day is not a business day, then the redemption date will be as of the immediately prior business day.

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

Introduction

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 Index SPC, which currently allocates investments to 14 commodity trading advisors (“Portfolio Managers”). All of the Index SPC’s Portfolio Managers 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. Portfolio Managers 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. 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, or as otherwise needed.

Capital Resources

The Fund is designed to raise additional capital only through the sale of limited partnership interests in the Fund (the “Units”) pursuant to the continuous offering of the Units pursuant to registration statements 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 as of the last business day of the calendar month by providing at least ten business days’ prior notice. As of July 1, 2005, Units may also be redeemed as of the 15^th day of the month. If the 15^th day is not a business day, than the redemption shall take place on the immediately

following business day. 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 the 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.

Results of Operations

The Class A Units returned (10.66%) year-to-date and (3.65%) for the three-month period ended June 30, 2005, net of fees and expenses. The Class A Units returned (17.08%) from March 15, 2004 (Commencement of Operations) to June 30, 2004, and (15.48%) for the three-month period ended June 30, 2004, net of fees and expenses.

The Class B Units returned (9.76%) year-to-date and (3.16%) for the three-month period ended June 30, 2005, net of fees and expenses. The Class B Units returned (16.82%) from March 15, 2004 (Commencement of Operations) to June 30, 2004, and (15.35%) for the three-month period ended June 30, 2004, net of fees and expenses.

Quarter and six months ended June 30, 2005

During the quarter ended June 30, 2005, of the 14 managers in the Index, 6 managers had positive returns, with underlying managers’ returns ranging from a negative 25.82% to a positive 5.84%. During the six months ended June 30, 2005, of the 14 managers in the Index, 6 managers had positive returns, with underlying managers’ returns ranging from a negative 34.05% to a positive 9.79%.

After posting its seventh consecutive year of positive returns, the Index began the 1st quarter of 2005 with a loss of 6.32% in January as market participants reversed their views on the viability of the U.S. economy and aggressively bid up the U.S. dollar versus other currencies. As background to the reversal, the U.S. dollar collapsed after the U.S. presidential election 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 U.S. economy and its currency appear less inviting as investments. Government bonds were down 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 level. However, going into the end of the 1st quarter the increase in the U.S. trade deficit, which was the second largest in history-helped push U.S. bond prices even lower to a level of 10930. Although volatile, metals rallied through the end of the quarter, helped by a recovery in

copper and silver, which were approaching recent highs based on a tighter industry supply outlook and a weakening U.S. dollar. Additionally, energy prices continued to move higher throughout the 1st quarter of 2005 as Northeast U.S. temperatures remained cold in January and February and the prospect that Organization of the Petroleum Exporting Countries (“OPEC”) would endorse production cuts appeared more likely. As a result, crude oil moved from intra-month lows near U.S. dollar $42 at the beginning of January to end March slightly over the U.S. dollar $56 level. Mid-way through January, U.S. equity markets led global equity indices higher on increased news of profitability, increased manufacturing orders, and upwardly revised Gross Domestic Products numbers for the fourth quarter of 2004 in the U.S. However, throughout February and March, unrelenting energy prices and lower than expected earning reports put downside pressure on the equity markets.

The second quarter of 2005 continued to be a difficult period of time for the Index. Performance of the Index improved in May and June. This three-month period was defined by major reversals across most major sectors especially in the energies, the metals and the equity indices. This period of time was also marked by some market sectors finding direction in May with follow through in June, allowing for many trends to remain intact. In April, the equity indices experienced a strong sell-off, prompted by weaker U.S. economic data and also concerns about the impact of higher energy prices paired up with poor consumer demand data. Additionally, the metals sector found support as evidence of a weakening U.S. economy emerged. The energy markets, principally crude oil, put in new highs at the start of April and experienced a major downward correction as data showed a large increase in crude oil inventories. May seemed to bring some stability to the performance of the Index as U.S. bond and short-term interest rate markets were supported by stable inflation data in the U.S. Equity indices found support on the stable inflation outlook in the U.S. and Europe amid lower energy prices. The month of June brought some greater stability, as the markets in general seemed to enjoy favorable economic data, particularly from the U.S. resulting in many markets to continue to trend into the end of the month. Equity markets remained well supported, helped by favorable global bond markets despite rising energy prices, coupled with the U.S. dollar strength, as the U.S. economy continued showing signs of non-inflationary growth. Lastly, the global bond markets ended the month stronger despite the intra-month sell off caused by higher energy prices. The result of all this activity was positive performance for the Index of 1.86% in the month of June.

Based on the above market activity, the Index took losses in global bond and short-term interest rate sectors, with profits in the equity indices, foreign exchange and energy sectors.

Quarter and six months ended June 30, 2004

Of the 14 Portfolio Managers in the Index, only 3 were profitable in March. Most sectors traded had an extremely volatile month, with individual markets such as equities, energy, and currencies accelerating in one direction, then aggressively reversing course without warning. Of the 8 pure trend-followers, 6 had negative returns and amongst the pattern recognition managers, 5 of 6 had negative returns. Most of the losses in March were attributable to trading in 3 sectors. In currencies, the Index had losses in the Yen market as short positions that had been developed in a long-standing down trend in that currency were caught in a late month 7% rally, with the exchange rate moving from a price level of 112 Yen per U.S. dollar to close the month at 104 Yen per U.S. dollar. In stock indices, the Index had losses from a mid-month correction, where the S&P 500 Index, for example, moved from 1,157 to 1,091, losing approximately 6% in a 2-week time frame. Finally, the Index had losses in the energy sector, where the Index’s long positions in crude oil had a late month correction, falling almost 5% in the last 8 trading days of the month. Losses in these Sectors were partially offset by gains in other sectors, where the Index benefited from long positions in natural gas and agricultural markets, which both had run-ups approaching 7% during March.

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 the 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 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 as a more favorable place to invest, and thus drove up the U.S. dollar against other currencies.

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 the middle of May 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. Treasury 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.

Of the 14 managers in the 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 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 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 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 limited performance history. “Standard & Poor’s®” 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 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, sideways trading markets and sharp 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 June 30, 2005. As of June 30, 2005, the Fund’s Net Assets were $47,929,930. 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 U.S. dollars and VaR% is expressed as a percentage of Fund Net Assets.

As of June 30, 2005

Market Sector	Value at Risk			VaR (%)

Interest Rate	$	3,899,872		8.36	%
Equity Index	55,331			0.12	%
Currency	(226,341		)	(0.49	)%
Raw Commodity	178,062			0.38	%
TOTAL	$	3,906,924		8.37	%

As of December 31, 2004

Market Sector	Value at Risk		VaR (%)

Interest Rate	$	986,441	2.31	%
Equity Index	877,821		2.05	%
Currency	1,181,512		2.77	%
Raw Commodity	423,394		0.99	%
TOTAL	$	3,469,168	8.12	%

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.

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

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 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.

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 default 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, 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 U.S. commodity exchanges. 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.

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

PART II- OTHER INFORMATION

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

Title of Class of Securities	Units Registered	Effective Date	File Number
Initial Registration on Form S-1 – Class A Units of Limited Partnership Interest	100,000	January 30, 2004	333-107357
Initial Registration on Form S-1 – Class B Units of Limited Partnership Interest	100,000	January 30, 2004	333-107357
Additional Registration on Form S-1 – Class A Units of Limited Partnership Interest	500,000	November 1, 2004	333-118965
Total Class A Units Registered	600,000
Total Class B Units Registered	100,000

Class A Units sold through 6/30/05: 51,339.102

Class A Units unsold through 6/30/05: 548,660.898

Aggregate price paid for Class A Units sold through 6/30/05: $44,200,686

Class B Units sold through 6/30/05: 13,387.358

Class B Units unsold through 6/30/05: 86,612.642

Aggregate price paid for Class B Units sold through 6/30/05: $11,781,217

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.

As of July 1, 2005, Units will be sold as of the 1^st and 16^th day of each month. If the day is not a business day, the Units will be offered on the next business day.

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 July 5, 2005, 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.

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 15, 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)

Dated: August 15, 2005	/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