<Page>

                                  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/

<Page>

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

TABLE OF CONTENTS

<Table>
<S>                                                                                                   <C>
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
</Table>

<Page>

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

STATEMENT OF ASSETS AND LIABILITES
JUNE 30, 2004 (UNAUDITED)

<Table>
<S>                                                                 <C>
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
</Table>

See notes to financial statements.

                                        1
<Page>

STATEMENTS OF OPERATIONS (UNAUDITED)

<Table>
<Caption>
                                                                                    MARCH 15, 2004
                                                                                  (COMMENCEMENT OF
                                                            THREE MONTHS ENDED   OPERATIONS) TO JUNE
                                                              JUNE 30, 2004           30, 2004
<S>                                                          <C>                   <C>
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)
                                                             ===============       ===============
</Table>

See notes to financial statements.

                                        2
<Page>

STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)

<Table>
<Caption>
                                                                                    MARCH 15, 2004
                                                                                  (COMMENCEMENT OF
                                                           THREE MONTHS ENDED  OPERATIONS) TO JUNE 30,
                                                              JUNE 30, 2004              2004
<S>                                                          <C>                   <C>
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
                                                             ===============       ===============
</Table>

See notes to financial statements.

                                        3
<Page>

STATEMENTS OF CASH FLOWS (UNAUDITED)

<Table>
<Caption>
                                                                                    MARCH 15, 2004
                                                                                  (COMMENCEMENT OF
                                                            THREE MONTHS ENDED   OPERATIONS) TO JUNE
                                                              JUNE 30, 2004           30, 2004
<S>                                                          <C>                   <C>
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
                                                             ===============       ===============
</Table>

See notes to financial statements.

                                        4
<Page>

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

SCHEDULE OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)

<Table>
<Caption>
                                                                  % OF
INVESTMENTS IN SPC                                              NET ASSETS           FAIR VALUE
--------------------------------------------------------------------------------------------------
<S>                                                                   <C>          <C>
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
                                                             ===============       ===============
</Table>

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

See notes to financial statements.

                                        5
<Page>

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
<Page>

      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
<Page>

      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:

<Table>
<Caption>
                                                                    CLASS A          CLASS B
      ----------------------------------------------------------------------------------------
      <S>                                                          <C>               <C>
      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
                                                                 -----------------------------
</Table>

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
<Page>

      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
<Page>

<Table>
<Caption>
                                                                                           MARCH 15, 2004 (COMMENCEMENT OF
                                                  THREE MONTHS ENDED JUNE 30, 2004          OPERATIONS) TO JUNE 30, 2004
                                                     CLASS A             CLASS B             CLASS A             CLASS B
---------------------------------------------------------------------------------------------------------------------------
<S>                                              <C>                 <C>                 <C>                 <C>
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)%
</Table>

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
<Page>

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
<Page>

      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
<Page>

      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
<Page>

      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
<Page>

      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
<Page>

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.

<Table>
<Caption>
                                           AS OF JUNE 30, 2004
      MARKET SECTOR                           VALUE AT RISK            VAR (%)
      ---------------------------------------------------------------------------
      <S>                                    <C>                             <C>
      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%
                                             ===============      ===============
</Table>

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
<Page>

      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
<Page>

      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
<Page>

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
<Page>

                           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
<Page>

                                   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