8-K

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8 - - K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Date of Report (Date of earliest event reported):  January 6, 2006

S&P Managed Futures Index Fund, LP

(Exact name of registrant as specified in its charter)

Delaware	000-50565	90-0080448
(State or other jurisdiction of incorporation)	(Commission File Number)	(IRS Employer Identification Number)
c/o RefcoFund Holdings, LLC One World Financial Center 200 Liberty Street – Tower A New York, New York 10281
(Address of principal executive offices)
(212) 693-7000
(Registrant’s telephone number, including area code)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

o    Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

o    Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a- 12)

o    Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange  Act (17 CFR 240.14d-2(b))

o    Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 8.01. Other Events.

Current Status of Fund Operations.

PlusFunds Group, Inc. (“PlusFunds”), the investment manager of the SPhinX Managed Futures Fund SPC (the “SPhinX Fund”) in which all or substantially all of the assets of S&P Managed Futures Index Fund, LP (the “Fund”) are invested, has imposed restrictions on the payment of any and all redemption requests, as set forth in the notice to investors distributed by PlusFunds on January 6, 2006.  The notice is attached hereto as Exhibit 99.1 and is hereby incorporated by reference.  The Fund has requested that PlusFunds convert all of the SPhinX Fund’s positions to cash as soon as possible so as not to subject investors to additional market risk.  Until such time as PlusFunds acts on such request, or is compelled to act on such request, investor money will continue to be subject to certain market risk.  While investors who requested redemptions as of December 15, 2005 currently have their redemption proceeds held in cash but unavailable for distribution by PlusFunds, investors who held shares in the Fund as of December 31, 2005 had their market exposure reduced by 20% as of January 1, 2006.  Pursuant to an agreement between the Fund and PlusFunds, it is expected that another 20% will be converted to cash as of January 15, 2006, and the balance will be converted to cash as of February 1, 2006.

Management Fee and Operating and Administrative Expenses

Effective January 1, 2006, RefcoFund Holdings, LLC, the general partner of the Fund, determined to eliminate the voluntary expense limitation placed on management fees and operating and administrative expenses so as to be able to pay ongoing operating expenses of the Fund.  Management fees and operating and administrative expenses had been limited to 1.70% per annum.

Item 9.01.  Financial Statements and Exhibits

(d)          Exhibits

99.1Notice to Investors dated January 6, 2006 by PlusFunds Group, Inc.

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SIGNATURE

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 By: RefcoFund Holdings, LLC, as General Partner
	(Registrant)
	By:	/s/  Richard C. Butt
Date:  January 6, 2006	Name: Richard C. Butt
	Title: President and Manager

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EX-99..1

Exhibit 99.1

PlusFunds⁺

January 6, 2006

Dear Investor,

Further to our letters of December 20 and December 23, we write to give you an update on events related to the Refco bankruptcy proceedings that affect the fifteen segregated accounts that comprise the SPhinX Managed Futures Fund SPC (“SMFF”), and the SPhinX funds (the “Funds”) generally. As we previously discussed, on December 16, the Official Committee of Unsecured Creditors of Refco, Inc. (the “Creditors’ Committee”), filed an adversary proceeding in Bankruptcy Court againstSMFF seeking a preference claim of $312 million transferred from Refco Capital Markets Ltd. (“RCM”) before RCM filed for bankruptcy in October 2005. As we informed you, on December 16, 2005, the Creditors’ Committee obtained an ex parte temporary restraining order (the “TRO”) against SMFF attaching $312 million in its accounts. The Court modified the TRO on December 18, among other things, to allow SMFF to trade in the ordinary course of business.

Today the Court set aside theJanuary 17, 2006 trial date without setting a new date. The Creditors’ Committee announced that it shortly will file for summary judgment, which SMFF intends to oppose vigorously.

Additionally, as a consequence of the TRO, on December 30, the SPhinX board of directors (the “SPhinX Board”), which is independent of PlusFunds Group, Inc. (the “Investment Manager’), considered issues relating to the setting of net asset value (“NAV”) for SMFF and redemptions of investments that were scheduled as of December 30, 2005. The SPhinX Board determined to investigate and pursue the following approach, subject to obtaining further information and advice: To the extent redemptions are to be made, directly or indirectly, from funds other than SMFF, those redemptions will be paid in cash pursuant to terms of the applicable Offering Memorandum. To the extent the redemptions are to be made, directly or indirectly, from SMFF, those redemptions would be made in the form of securities representing the assets subject to the attachment order in the preference action. The assets underlying those securities would be held in cash in interest-bearing accounts pending resolution of the preference action. When the preference action is resolved, amounts available would then be distributed on a pro rata basis to the investors holding these securities. As we previously reported, any new investments or other amounts entering SMFF will not be subject to the TRO or to the preference claim.

The SPhinX Board also has made appropriate accrual for legal and other costs for matters of which it is aware and can reasonably expect to arise consequent upon the Refco bankruptcy, the TRO and other matters which have occurred as of December 30, 2005. To the extent such accrual is sufficient to discharge the foregoing costs, there will be no further charge to the Funds.

The Investment Manager is committed to protecting the interest of its investors to the maximum possible extent, and we will continue to keep you advised of pertinent events in the Refco bankruptcy proceedings and otherwise.

We are grateful for your continued support.

Sincerely yours,

PlusFunds Group, Inc.

PlusFunds Group, Inc. 1500 Broadway, 11th Floor, New York,NY 10036 I T212,653.1900 F212.653.1970 I www.plusfunds.com