**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM10-Q**

 

**ý****  QUARTERLYREPORT PURSUANT TO SECTION 13 OR 15(d) OFTHE SECURITIES EXCHANGE ACT OF 1934**

 

**For the Quarterly Period Ended:  September 30,2004**

 

**o****  TRANSITIONREPORT 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&PManaged 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, LLC550 W. Jackson, Suite 1300Chicago, Illinois 60661** |
| (Address of principal executive offices, including zip code)                     |
|                                                                             |                                  |
| Registrant’s telephone number, including area code: **(312) 788-2000**      |

 

Indicate by check markwhether the Registrant: (1) has filed all reports required to be filed bySection 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding12 months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.  Yes ý  No o

 

Indicate by check markwhether the Registrant is an accelerated filer (as defined in Rule 12b-2 of theSecurities Exchange Act of 1934).  Yes o  No ý

 

 

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**S&PMANAGED FUTURES INDEX FUND, LP**

**(A Delaware Limited Partnership)**

 

**TABLE OF CONTENTS**

 
| **PART I - FINANCIAL INFORMATION** | ** ** |
|------------------------------------|------------|
|                               |       |   |   |
|                               | Item 1.    | Financial Statements |   |
|                               |       |   |   |
|                               |       | Statement of Assets and Liabilities,  September 30, 2004 (unaudited) | 1 |
|                               |       |   |   |
|                               |       | Statement of Operations for the three  months ended September 30, 2004 and for the Period March 15, 2004  (Commencement of Operations) to September 30, 2004 (unaudited) | 2 |
|                               |       |   |   |
|                               |       | Statement of Changes in Net Assets for the  three months ended September 30, 2004 and for the Period March 15, 2004  (Commencement of Operations) to September 30, 2004 (unaudited) | 3 |
|                               |       |   |   |
|                               |       | Statement of Cash Flows for the three  months ended September 30, 2004 and for the Period March 15, 2004  (Commencement of Operations) to September 30, 2004 (unaudited) | 4 |
|                               |       |   |   |
|                               |       | Schedule of Investments, September 30, 2004  (unaudited) | 5 |
|                               |       |   |   |
|                               |       | Notes to Financial Statements (unaudited) | 6 |
|                               |       |   |   |
|                               | Item 2.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 11 |
|                               |       |   |   |
|                               | Item 3.    | Quantitative  and Qualitative Disclosures About Market Risk | 14 |
|                               |       |   |   |
|                               | Item 4.    | Controls  and Procedures | 18 |
|                               |       |   |   |
| **PART II - OTHER INFORMATION**    | **19**     |
|                               |       |   |   |
|                               | Item 6.    | Exhibits  and Reports on Form 8-K | 19 |
|                               |       |   |   |
| **SIGNATURES**                     | **20**     |

 

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**STATEMENTOF ASSETS AND LIABILITES**

**SEPTEMBER30, 2004 (UNAUDITED)**

 
| ASSETS:                                                                                    |   |       |       |
|--------------------------------------------------------------------------------------------|--------|------------|------------|
| Cash                                                                                       |   | $          | 458,430    |   |
| Investments in SPC (Notes 1 and 2)                                                         |   | 32,964,014 |       |
| Investment made in advance                                                                 |   | 1,345,000  |       |
| Receivable from General Partner                                                            |   | 60,544     |       |
| TOTAL ASSETS                                                                               |   | 34,827,988 |       |
|                                                                                       |   |       |       |
| LIABILITIES:                                                                               |   |       |       |
| Subscriptions received in advance                                                          |   | 1,722,094  |       |
| Accrued expenses                                                                           |   | 145,907    |       |
| Management fee payable                                                                     |   | 102,972    |       |
| Redemption payable                                                                         |   | 322,350    |       |
| Redemption fee payable                                                                     |   | 2,009      |       |
| TOTAL LIABILITIES                                                                          |   | 2,295,332  |       |
|                                                                                       |   |       |       |
| NET ASSETS                                                                                 |   | $          | 32,532,656 |   |
|                                                                                       |   |       |       |
| NET ASSET VALUE PER PARTNERSHIP UNIT:                                                      |   |       |       |
| CLASS A - based on Net Assets of  $26,099,275 and 31,377.368 partnership units outstanding |   | $          | 831.79     |   |
| CLASS B - based on Net Assets of $6,433,381  and 7,671.508 partnership units outstanding   |   | $          | 838.61     |   |

 

See notes to financial statements.

 

1

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**STATEMENTSOF OPERATIONS (UNAUDITED)**

 
| ** **                                                       | ** ** | **Three Months Ended  September 30, 2004** | ** ** | **March 15, 2004  (Commencement of  Operations) to  September 30, 2004** | ** ** |
|------------------------------------------------------------------|------------|--------------------------------------------|------------|--------------------------------------------------------------------------|------------|
| OPERATING EXPENSES:                                              | ** ** | ** **                                 | ** ** | ** **                                                               | ** ** |
| Management fees                                                  | ** ** | ** **                                 | ** ** | ** **                                                               | ** ** |
| Class A                                                          |       | $                                          | 214,481    |                                                                     | $          | 310,523 |   |
| Class B                                                          |       | 30,314                                     |       | 46,191                                                                   |       |
| Administration fee                                               |       |                                       |       |                                                                     |       |
| Class A                                                          |       | 51,073                                     |       | 135,441                                                                  |       |
| Class B                                                          |       | 15,068                                     |       | 39,100                                                                   |       |
| Professional fees                                                |       | 29,474                                     |       | 88,422                                                                   |       |
| Other expenses                                                   |       | 10,026                                     |       | 26,215                                                                   |       |
| Total expenses                                                   |       | 350,436                                    |       | 645,892                                                                  |       |
|                                                             |       |                                       |       |                                                                     |       |
| Less reimbursement of expenses by General  Partner               |       | (53,016                                    | )          | (101,749                                                                 | )          |
|                                                             |       |                                       |       |                                                                     |       |
| NET INVESTMENT LOSS                                              |       | (297,420                                   | )          | (544,143                                                                 | )          |
|                                                             |       |                                       |       |                                                                     |       |
| INCREASE (DECREASE) IN EQUITY IN SPC                             |       | 738,101                                    |       | (845,151                                                                 | )          |
|                                                             |       |                                       |       |                                                                     |       |
| NET INCREASE (DECREASE) IN NET ASSETS  RESULTING FROM OPERATIONS |       | $                                          | 440,681    |                                                                     | $          | (1,389,294 | ) |

 

See notes to financial statements.

 

2

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**STATEMENTSOF CHANGES IN NET ASSETS (UNAUDITED)**

 
| ** **                                                       | ** ** | **Three Months Ended  September 30, 2004** | ** ** | **March 15, 2004  (Commencement of  Operations) to  September 30, 2004** | ** ** |
|------------------------------------------------------------------|------------|--------------------------------------------|------------|--------------------------------------------------------------------------|------------|
| ** **                                                       | ** ** | ** **                                 | ** ** | ** **                                                               | ** ** |
| INCREASE (DECREASE) IN NET ASSETS RESULTING  FROM OPERATIONS:    |       |                                       |       |                                                                     |       |
| Net investment loss                                              |       | $                                          | (297,420   | )                                                                        | $          | (544,143 | ) |
| Increase (Decrease) in equity in SPC                             |       | 738,101                                    |       | (845,151                                                                 | )          |
|                                                             |       |                                       |       |                                                                     |       |
| Net increase (decrease) in net assets  resulting from operations |       | 440,681                                    |       | (1,389,294                                                               | )          |
|                                                             |       |                                       |       |                                                                     |       |
| INCREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS:                |       |                                       |       |                                                                     |       |
| Proceeds from issuance of partnership units                      |       |                                       |       |                                                                     |       |
| Class A                                                          |       | 12,548,469                                 |       | 27,454,582                                                               |       |
| Class B                                                          |       | 3,108,026                                  |       | 7,736,326                                                                |       |
| Redemption of partnership units                                  |       |                                       |       |                                                                     |       |
| Class A                                                          |       | (280,330                                   | )          | (301,584                                                                 | )          |
| Class B                                                          |       | (230,424                                   | )          | (967,374                                                                 | )          |
|                                                             |       |                                       |       |                                                                     |       |
| Total increase in net assets from capital  transactions          |       | 15,145,741                                 |       | 33,921,950                                                               |       |
|                                                             |       |                                       |       |                                                                     |       |
| NET INCREASE IN NET ASSETS                                       |       | 15,586,422                                 |       | 32,532,656                                                               |       |
|                                                             |       |                                       |       |                                                                     |       |
| NET ASSETS AT BEGINNING OF PERIOD                                |       | 16,946,234                                 |       | —                                                                   |       |
|                                                             |       |                                       |       |                                                                     |       |
| NET ASSETS AT END OF PERIOD                                      |       | $                                          | 32,532,656 |                                                                     | $          | 32,532,656 |   |

 

See notes to financial statements.

 

3

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**STATEMENTSOF CASH FLOWS (UNAUDITED)**

 
| ** **                                                                                                | ** ** | **Three Months Ended  September 30, 2004** | ** ** | **March 15, 2004  (Commencement of  Operations) to  September 30, 2004** | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|--------------------------------------------|------------|--------------------------------------------------------------------------|------------|
|                                                                                                      |       |                                       |       |                                                                     |       |
| CASH PROVIDED BY (USED IN) OPERATING  ACTIVITES:                                                          |       |                                       |       |                                                                     |       |
| Net increase (decrease) in net assets  resulting from operations                                          |       | $                                          | 440,681    |                                                                     | $          | (1,389,294 | ) |
| Adjustments to reconcile net increase  (decrease) in net assets to net cash used in operating activities: |       |                                       |       |                                                                     |       |
| (Increase) Decrease in equity in SPC                                                                      |       | (738,101                                   | )          | 845,151                                                                  |       |
| Decrease (Increase) in investment made in  advance                                                        |       | 3,490,000                                  |       | (1,345,000                                                               | )          |
| (Increase) in receivable from General  Partner                                                            |       | (53,016                                    | )          | (60,544                                                                  | )          |
| Increase in accrued expenses                                                                              |       | 31,262                                     |       | 145,907                                                                  |       |
| Increase in management fees payable                                                                       |       | 49,785                                     |       | 102,972                                                                  |       |
| Redemption fee payable                                                                                    |       | 1,634                                      |       | 2,009                                                                    |       |
| Investments in SPC at cost                                                                                |       | (15,170,000                                | )          | (33,809,165                                                              | )          |
| Net cash used in operating activities                                                                     |       | (11,947,755                                | )          | (35,507,964                                                              | )          |
|                                                                                                      |       |                                       |       |                                                                     |       |
| CASH PROVIDED BY (USED IN) FINANCING  ACTIVITIES:                                                         |       |                                       |       |                                                                     |       |
| Partners’ subscriptions                                                                              |       | 12,490,920                                 |       | 36,913,002                                                               |       |
| Partners’ redemptions                                                                                |       | (200,529                                   | )          | (946,608                                                                 | )          |
| Net cash provided by financing activities                                                                 |       | 12,290,391                                 |       | 35,966,394                                                               |       |
|                                                                                                      |       |                                       |       |                                                                     |       |
| Net increase in cash                                                                                      |       | 342,636                                    |       | 458,430                                                                  |       |
|                                                                                                      |       |                                       |       |                                                                     |       |
| CASH, BEGINNING OF PERIOD                                                                                 |       | 115,794                                    |       | —                                                                   |       |
|                                                                                                      |       |                                       |       |                                                                     |       |
| CASH, END OF PERIOD                                                                                       |       | $                                          | 458,430    |                                                                     | $          | 458,430 |   |

 

See notes to financial statements.

 

4

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**SCHEDULE OF INVESTMENTS**

**SEPTEMBER30, 2004 (UNAUDITED)**

 
| **Investments in SPC**                          | ** ** | **% of  Net Assets** | ** ** | **Fair Value** | ** ** |
|-------------------------------------------------|------------|----------------------|------------|----------------|------------|
| **Index Constituents**                          | ** ** | ** **           | ** ** | ** **     | ** ** |
| ** **                                      | ** ** | ** **           | ** ** | ** **     | ** ** |
| Aspect Capital Limited                          |       |                 |       |           |       |
| (Aspect Diversified Program)                    |       | 6.53                 | %          | $              | 2,125,842  |   |
| Beach Capital Management Limited                |       |                 |       |           |       |
| (Beach Discretionary Programme)                 |       | 7.09                 | %          | 2,306,407      |       |
| Drury Capital, Inc.                             |       |                 |       |           |       |
| (Diversified Program)                           |       | 7.77                 | %          | 2,527,991      |       |
| Campbell & Company, Inc.                    |       |                 |       |           |       |
| (Financial, Metals and Energy Large  Portfolio) |       | 7.88                 | %          | 2,562,204      |       |
| Chesapeake Capital Corporation                  |       |                 |       |           |       |
| (The Diversified Program)                       |       | 7.08                 | %          | 2,304,200      |       |
| Dunn Capital Management, Inc.                   |       |                 |       |           |       |
| (Dunn Combined Financial)                       |       | 6.17                 | %          | 2,005,862      |       |
| Eclipse Capital Management, Inc.                |       |                 |       |           |       |
| (Global Monetary Program)                       |       | 6.72                 | %          | 2,187,428      |       |
| Graham Capital Management, L.P.                 |       |                 |       |           |       |
| (Global Diversified Program)                    |       | 7.31                 | %          | 2,378,299      |       |
| Hyman Beck & Company, Inc.                  |       |                 |       |           |       |
| (The Global Portfolio)                          |       | 5.68                 | %          | 1,846,663      |       |
| John W. Henry & Company, Inc.               |       |                 |       |           |       |
| (Global Financial and Energy Portfolio)         |       | 9.57                 | %          | 3,113,208      |       |
| Millburn Ridgefield Corporation                 |       |                 |       |           |       |
| (Diversified Portfolio)                         |       | 6.38                 | %          | 2,074,634      |       |
| Rotella Capital Management, Inc.                |       |                 |       |           |       |
| (The Polaris Program)                           |       | 6.98                 | %          | 2,269,814      |       |
| Willowbridge Associates Inc.                    |       |                 |       |           |       |
| (Argo Trading System)                           |       | 7.81                 | %          | 2,541,796      |       |
| Winton Capital Management Ltd.                  |       |                 |       |           |       |
| (Diversified Program)                           |       | 8.36                 | %          | 2,719,666      |       |
|                                            |       |                 |       |           |       |
| TOTAL                                           |       | 101.33               | %          | $              | 32,964,014 |   |

 

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

 

See notes to financial statements.

 

5

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**NOTES TOFINANCIAL STATEMENTS**

**PERIOD MARCH 15, 2004 (COMMENCEMENT OF OPERATIONS) TO SEPTEMBER 30,2004 (UNAUDITED)**

 

**1.****                                      NATUREOF 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 DelawareRevised Uniform Limited Partnership Act, as amended and started operations onMarch 15, 2004.  In accordance with theLimited Partnership Agreement, the Fund is organized as a single series oflimited partnership units which are offered in two classes – Class A and ClassB.

 

RefcoFundHoldings, LLC (“RFH”) is the General Partner of the Fund.  The General Partner has the sole authorityand responsibility for managing the operations of the Fund and directing theinvestment of the Fund’s assets.  RFH hasretained the services of PlusFunds Group, Inc. (“PlusFunds”) as Sub-InvestmentManager to oversee the day-to-day investment management functions for the Fund.

 

The Fund isdesigned 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’sinvestment objective by allocating substantially all of the Fund’s assets toSPhinXTM Managed Futures Fund SPC (the “SPC”), a Cayman Islands segregatedportfolio company.  The SPC is designedto track the Index, and thus provide limited partners with exposure to a broadcross section of systematic managed futures strategies through a singleinvestment.  The SPC allocates its assetsto portfolio managers (the “Portfolio Managers”) that generally employ a broadrange of systematic trading strategies in the futures markets.  Other markets, such as the interbank foreignexchange market, may be used as well. Standard & Poor’s has granted a license to PlusFunds and RFH toutilize the Index in connection with the SPC and the Fund, respectively.

 

The Fundwill be terminated and dissolved upon the first to occur of: (1) limitedpartners owning more than 50% of the outstanding Units voting to dissolve theFund; (2) the General Partner ceasing to be general partner and no new generalpartner being appointed; or (3) the continued existence of the Fund becomingunlawful.

 

RKConsulting, LLC (“RK”) acts as the administrator, transfer agent and registrarof the Fund.  RK provides certainaccounting and administrative services to the Fund.

 

The unitsof the Fund are offered by Refco Securities, LLC (the “Selling Agent”), abroker-dealer registered with the U.S. Securities and Exchange Commission, andby any additional selling agents who may be engaged from time to time on behalfof the Fund.

 

**2.****                                      SIGNIFICANTACCOUNTING POLICIES**

 

Thefollowing is a summary of significant accounting policies consistently followedby the Fund.

 

***Basis of presentation***–****** Theaccompanying unaudited financial statements of the Fund have been prepared inaccordance with accounting principles generally accepted in the United Statesof America for interim financial information and with the instructions to Form10-Q and Rule 10-01 of Regulation S-X. Accordingly, they do not include all of the information and footnotesrequired by

 

6

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accountingprinciples generally accepted in the United States of America for completefinancial statements.  In the opinion ofmanagement, all adjustments (consisting only of normal recurring adjustments)considered necessary for a fair statement of the financial condition andresults of operations of the Fund for the period presented have been included.

 

Operatingresults for the period March 15, 2004 to September 30, 2004, are notnecessarily indicative of the results that may be expected for the year endingDecember 31, 2004.

 

***Securities Valuation*** – The economicinterest of investors in the Fund’s unit classes ultimately resides in the SPCas allocated to the Portfolio Managers of the Index.  This investment is valued on a monthly basisand represents the net asset value of the assets allocated to the PortfolioManagers.  Such net asset value isderived after valuing the assets allocated to the Portfolio Managers anddeducting expenses at the SPC level, including management fees and incentiveallocations to the Portfolio Managers. The Fund is allocated realized and unrealized gains and net investmentincome from the SPC in proportion to its ownership in the SPC.  This is reflected in the statement ofoperations as “equity in SPC”.

 

Managementfees payable to the Portfolio Managers range from 1.00% to 2.50% per annum ofthe assets allocated to a Portfolio Manager. Each Portfolio Manager receives a performance fee allocation of 15% to25% of net trading gain.

 

***Investment Transactions*** – The Fundrecords subscriptions and redemptions related to its investment in the SPC onthe transaction date.  Investmenttransactions are accounted for on a trade date basis.

 

***Cash and Cash Equivalents*** – The Fundconsiders all highly liquid investments with a maturity of three months or lesswhen purchased to be cash and cash equivalents.

 

***Expenses*** – In accordancewith the Limited Partnership Agreement, the Fund shall be charged for certainexpenses and such expenses will be allocated proportionately among thepartners.  The Fund is responsible foradministrative, ongoing offering expenses and operating expenses, including butnot limited to legal and accounting fees, and any taxes or extraordinary expensespayable.

 

Allexpenses are recorded on an accrual basis.

 

***Use of Estimates***– Thepreparation of financial statements in conformity with accounting principlesgenerally accepted in the United States of America requires management to makeestimates and assumptionsthat affect the amounts reported in the financial statements and accompanyingnotes.  Actual results could differ fromthese estimates.

 

***Income Taxes***– Federal income taxes are not provided for aseach partner is individually liable for the taxes, if any, on its share of theFund’s taxable income items including capital gains, interest, dividends, anddeductions. In accordance with the Limited Partnership Agreement, the limitedpartners may also be subject to various state and other taxes.

 

**3.****                                      SUBSCRIPTIONSAND REDEMPTIONS**

 

Units are issued upon subscription into and redeemed through redemptionfrom the Fund.

 

Subscriptions for any Class may be made as of the first business day ofeach calendar month (the “Offering Date”) at net asset value per unit. The netasset value per unit is determined by dividing a class’ net assets by thenumber of units of that class outstanding on the date the calculation is beingperformed.

 

7

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The limitedpartnership units may generally be redeemed as of the last business day of anycalendar month, subject to certain restrictions and qualifications, upon atleast 10 business days’ prior written notice to the General Partner.  The General Partner may declare additionalredemption dates upon notice to the limited partners and may, in unusualcircumstances, permit some, or all, limited partners to redeem as of datesother than the end of the month.  TheGeneral Partner may not be able to make timely payments with respect to redemptionsdue to the Fund’s inability to liquidate its investment in the SPC on a timelybasis.  Redemptions of interests in theSPC by the Fund as of any particular redemption date cannot exceed 20% of theFund’s investment in the SPC as of that date unless the SPC has received atleast 15 business days’ notice prior to a redemption date.

 

Aredemption fee of 3% of net asset value per Class A unit applies if a Class Aunit is redeemed within 12 months of its original purchase. TheClass B Units are not subject to a redemption fee.

 

Partnership units activity during the period March 15, 2004(Commencement of Operations) to September 30, 2004 was as follows:

 
| ** **                                      | ** ** | **Class A** | ** ** | **Class B** | ** ** |
|-------------------------------------------------|------------|-------------|------------|-------------|------------|
| ** **                                      | ** ** | ** **  | ** ** | ** **  | ** ** |
| Issued and outstanding at March 15, 2004        |       | —      |       | —      |       |
| Issuance of additional units during the  period |       | 3,364.515   |       | 1,799.000   |       |
| Redemption of units during the period           |       | —      |       | (750.000    | )          |
| Issued and outstanding at March 31, 2004        |       | 3,364.515   |       | 1,049.000   |       |
|                                            |       |        |       |        |       |
| Issuance of additional units during the  period |       | 12,927.374  |       | 3,108.667   |       |
| Redemption of units during the period           |       | (25.074     | )          | —      |       |
| Issued and outstanding at June 30, 2004         |       | 16,266.815  |       | 4,157.667   |       |
|                                            |       |        |       |        |       |
| Issuance of additional units during the  period |       | 15,425.401  |       | 3,789.818   |       |
| Redemption of units during the period           |       | (314.848    | )          | (275.977    | )          |
| Issued and outstanding at September 30,  2004   |       | 31,377.368  |       | 7,671.508   |       |

 

**4.****                                      RELATEDPARTY TRANSACTIONS**

 

RefcoSecurities, LLC, the Selling Agent of the Fund, is an affiliateof RefcoFund Holdings, LLC, the General Partner.  Refco LLC, an affiliate of the GeneralPartner and the Selling Agent, acts as futures commission merchant for the SPC,and in such capacity provides execution, clearing and margin services inconnection with futures and commodities trading activities.  Refco Capital Markets, Ltd., also anaffiliate of RFH, acts as the dealer for the underlying investments of the SPCfor currency trading.

 

Pursuant tothe provisions of the Fund’s Prospectus, the Fund’s selling agents receive fromthe General Partner an upfront selling commission equal to 3% of the purchaseprice per Class A Unit at the time that the Class A Unit is sold.  The General Partner will also pay withrespect to the Class A Units, ongoing service fees beginning in the 13thmonth following the purchase of Class A Units equal to 0.167% of the Class AUnits’ month-end net assets (a 2.00% annual rate).  As of September 30, 2004, the Selling Agentreceived total of $821,687 in upfront commissions.  For the three months ended September 30,2004, the Selling Agent received $374,504 in upfront commissions. The Class BUnits are not subject to these commissions or ongoing servicing fees.  No selling commissions will be paid from theproceeds of subscriptions.

 

8

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Refco GroupLtd., LLC, the parent of the General Partner, paid the organizational andinitial offering expenses.

 

RFH, as theGeneral Partner, receives a management fee of 4.15% annually of the Class A netasset value of the Fund and 2.15% annually of the Class B net asset value ofthe Fund, calculated daily and paid monthly in arrears, in exchange forproviding ongoing advisory and general management services.  All fees paid to PlusFunds for sub-investmentmanagement services are paid by RFH.  RFHmay voluntarily waive a portion of its management fee at its discretion.

 

The LimitedPartnership Agreement and/or guidelines of state securities regulators limitthe fees that are paid by the Fund (the “Expense Cap”).  From commencement of operations through June30, 2004 aggregate annual fees and expenses based on the Fund’s net assetscould not exceed 6% of net assets per year (1/2 of 1% per month).  This Expense Cap included management fees andcustomary and routine administrative expenses of the Fund but did not includelegal and accounting expenses or extraordinary expenses.

 

Effective July 1, 2004, the Fund implemented the following voluntaryexpense caps: the management fee payable to the General Partner and theoperating expenses of the Fund are limited to an aggregate of 4.95% in respectof the Class A units and 2.95% in respect of the Class B units calculated onthe net assets before the application of fees. To the extent that the monthlymanagement fee payable to the General Partner and operating expenses of theFund exceed the above mentioned limits, the General Partner will waive itsmanagement fee of 4.15% with respect to the Class A units and 2.15% withrespect 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% forthe Class B units, the General Partner reimburses the Fund for such expenses tobring them within the limits stated above. The reimbursement for the period endedSeptember 30, 2004 is set forth on the Statement of Operations.

 

As of September 30, 2004, the General Partner has purchased 366.272 Class B unitsof the Fund totaling $325,000.

 

**5.****                                      COMMITMENTSAND CONTINGENCIES**

 

In thenormal course of business, the Fund enters into contracts that contain avariety of representations and warranties and which provide generalindemnifications.  The Fund’s maximumexposure under these arrangements is unknown as this would involve futureclaims that may be made against the Fund that have not yet occurred.  Based upon the prior experience of theGeneral Partner, the General Partner expects the risk of loss to be remote.

 

**6.****                                      DERIVATIVEFINANCIAL INSTRUMENTS**

 

The Partnership, by investing in the SPC,will be subject to all of the risks associated with the SPC’s investments andtrading.  The SPC may invest inderivative instruments, which include futures, forwards, swaps or options, orother financial instruments with similar characteristics.  All derivatives are reported at fair valueand changes in value are reflected in the net asset value of the SPC.

 

Market Risk – Derivative instruments involve varying degrees ofoff-balance sheet market risk.  Changesin the level or volatility of interest rates, foreign currency exchange ratesor the market values of the financial instruments or commodities underlyingsuch derivative instruments may result in changes in the SPC’s net unrealizedprofit (loss) on such derivative instruments. The SPC’s exposure to market risk is influenced by a number of factors,including the relationships among the

 

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derivative instruments held by the SPC as well as the volatility andliquidity in the markets in which such derivative instruments are traded.

 

Credit Risk – The SPC has credit risk associated with counterpartynon-performance.

 

The risks associated with exchange-traded contracts are typicallyperceived to be less than those associated with the over-the-countertransaction (non-exchange traded), because exchanges typically (but notuniversally) provide clearing house arrangements in which the collective credit(in some cases limited in amount, in some cases not) of the members of theexchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of the respective individualcounterparties.  Margins, which may besubject to loss in the event of a default, are generally required in exchangetrading, while counterparties may require margin in the over-the-countermarkets.

 

**7.****                                      FINANCIALHIGHLIGHTS**

 

The Fund has presented the following disclosures for investmentcompanies required by the AICPA Audit and Accounting Guide, *Audits of Investment Companies*:

 
| ** **                                     | ** ** | **Three Months Ended September 30, 2004** | ** ** | **March 15, 2004 (Commencement of  Operations) to September 30, 2004** | ** ** |
|------------------------------------------------|------------|-------------------------------------------|------------|------------------------------------------------------------------------|------------|
| ** **                                     | ** ** | **Class A**                               | ** ** | **Class B**                                                            | ** ** | **Class A** | ** ** | **Class B** | ** ** |
| **Per Partnership Unit Data:**                 | ** ** | ** **                                | ** ** | ** **                                                             | ** ** | ** ** | ** ** | ** ** | ** ** |
| **Net Asset Value, Beginning of Period**       |       | $                                         | 829.17     |                                                                   | $          | 831.79 |   | $ | 1,000.00 |   | $ | 1,000.00 |   |
| Net investment loss                            |       | (10.21                                    | )          | (6.16                                                                  | )          | (28.74 | ) | (22.16 | ) |
| Increase (Decrease) in equity in SPC           |       | 12.83                                     |       | 12.98                                                                  |       | (139.47 | ) | (139.23 | ) |
| Net decrease resulting from operations         |       | 2.62                                      |       | 6.82                                                                   |       | (168.21 | ) | (161.39 | ) |
|                                           |       |                                      |       |                                                                   |       |   |   |   |   |
| Distributions to partners                      |       | —                                    |       | —                                                                 |       | — |   | — |   |
| **Net Asset Value, End of Period**             |       | $                                         | 831.79     |                                                                   | $          | 838.61 |   | $ | 831.79 |   | $ | 838.61 |   |
|                                           |       |                                      |       |                                                                   |       |   |   |   |   |
| **Total return**                               |       | 0.32                                      | %          | 0.82                                                                   | %          | (16.82 | )% | (16.14 | )% |
|                                           |       |                                      |       |                                                                   |       |   |   |   |   |
| **Ratios to Average Net Assets (annualized):** |       |                                      |       |                                                                   |       |   |   |   |   |
| Pre-reimbursement expenses                     |       | 5.77                                      | %          | 3.83                                                                   | %          | 7.03 | % | 5.23 | % |
| Reimbursement by General Partner               |       | (0.79                                     | )%         | (0.88                                                                  | )%         | (1.13 | )% | (0.74 | )% |
| After-reimbursement expenses                   |       | 4.98                                      | %          | 2.95                                                                   | %          | 5.90 | % | 4.49 | % |
| Net investment loss                            |       | (4.98                                     | )%         | (2.95                                                                  | )%         | (5.90 | )% | (4.49 | )% |

 

The per partnership unitamounts were computed using an average number of partnership units outstandingduring the period.  Total returns arecalculated for each class of partners taken as a whole, based on the change infair value during the period of net assets of each class adjusted for subscriptions.  Individual partner’s return may vary fromthese returns based on the timing of capital transactions.  Net investment loss excludes decrease inequity in the SPC and is the partners’ share of expenses.  Expenses include the partners’ share of Fundmanagement fees and other operating expenses. The expense ratios exclude those expenses charged by the underlyinginvestment vehicles that were recorded by the SPC.

 

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

 

**Introduction**

 

S&PManaged Futures Index Fund, LP (the “Fund”) is a managed futures investmentfund designed to seek returns that substantially track the Index, beforeexpenses of the Fund.

 

TheFund pursues its investment objective by investing in the SPC, which currentlyallocates investments to 14 commodity trading advisors (“CTAs” or “PortfolioManagers”).  All of the SPC’s CTAs employsystematic trading approaches that are mostly technical trend-following innature and are designed to collectively deliver returns broadly representativeof systematic managed futures programs, and therefore do not have specificreturn or volatility targets.  CTAsemploying technical trend-following approaches generally take positions basedon computer-generated models to identify trades, determine the size ofpositions, and to control ongoing portfolio exposure to specific markets.

 

TheStandard & Poor’s Managed Futures Index Committee (the “Index Committee”)is responsible for overseeing the methodology, constituent selection andoperations related to the Index. Index constituents are selected based onmultiple 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 ofmarket instruments held.  Other, lesstechnical factors, are included in the selection process such as tradingmanager reputation, experience, training, stability and quality oforganization, as well as a minimum track record length (generally 3 years) andquantity of assets under management. PlusFunds Group, Inc. (“PlusFunds”) acts as investment manager of theSPC and has overall responsibility for managing the Portfolio Funds. ThePortfolio Managers in the SPC receive allocations that generally track theIndex and are initially weighted equally on a dollar basis, and rebalancedannually in January.

 

**Capital Resources**

 

TheFund is designed to raise additional capital only through the sale of unitspursuant to the continuous offering and does not intend to raise any capitalthrough borrowing.  The General Partner does not plan to invest the Fund’sassets directly other than in the stated investment objective, but the GeneralPartner may invest funds temporarily in U.S. government obligations, moneymarket accounts, or other short-term interest-bearing accounts.  Additionally, the General Partner may borrowmoney on an unsecured or secured basis for cash management purposes, and willpay interest on such activities.

 

**Liquidity**

 

Aninvestment in the Fund is not liquid as there is no secondary market for thepartnership units.  The partnership unitsmay be redeemed only as of the last business day of the calendar month with atleast ten business days’ prior notice of the intent to redeem.  In addition, there are also substantialrestrictions on the ability of the Fund to make withdrawals from the SPC thatfurther reduces the liquidity of the Fund.

 

Whilethe Fund does not invest directly in futures contracts, it possesses indirectliquidity risk through its investment in the SPC as described below. Most U.S.futures exchanges limit fluctuations in some futures and options contractprices during a single day by regulations referred to as daily pricefluctuation limits or daily limits. During a single trading day, no trades may be executed at prices beyondthe daily limit. Once the price of a contract has reached the daily limit forthat day, positions in that contract can neither be taken nor liquidated.  Futures prices have occasionally moved to thedaily limit for several consecutive days with little or no trading.  Similar occurrences could prevent the investmentmanager of the SPC from promptly liquidating unfavorable positions

 

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andsubject the SPC to substantial losses that could exceed the margin initiallycommitted to those trades. In addition, even if futures or options prices donot move to the daily limit, the SPC may not be able to execute trades atfavorable 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’sassets are expected to be highly liquid.

 

**Results Of Operations**

 

The S&P Managed Futures Index Fund, LP - Class A commencedoperations on March 15, 2004 and returned –16.82% year-to-date and 0.32% forthe three month period ended September 30, 2004, net of fees and expenses.

 

The S&P Managed Futures Index Fund, LP - Class B commencedoperations on March 15, 2004 and returned –16.14% year-to-date and 0.82% forthe three month period ended September 30, 2004, net of fees and expenses.

 

The results of the Fund, excluding Fund level expenses, are directlycorrelated to that of the SPC.

 

**July 2004**

 

Ofthe 14 managers in the S&P Managed Futures Index (“MFI”), 12 had negativereturns for the month of July, with returns for the underlying managers rangingfrom –6% to +7%.  Losses were greatest infinancials, including stock indices, currency markets, and stock indices.  Specifically, long positions in US T-Bonds,Euro/Dollar, and Gold hurt performance as the up-trends formed by these marketsin June broke apart into a volatile sideways trading range.  Conversely, large gains were harvested fromCrude Oil and Natural Gas, as both markets developed pronounced up-trends, aswell as in Agriculturals such as Wheat, Corn, and Sugar.  Smaller profits were gained in the Soybeanmarket as we caught part of the 50% drop in that market in July.  Markets were still affected by concerns overthe viability and speed of a global economic recovery along with the threat ofterrorism and supply levels of Crude Oil. As a result of negative performance over the last several months, theMFI was in a drawdown of about –20% by the end of July.  The market background to this drawdownconsists of 3 specific phases. First, in January and February 2004 the MFIaccumulated gains generated at the end of multi-year trends in Bonds, U.S.Dollar, and Crude Oil.  Second, the MFIlost ground in April, with trendfollowers generating disappointing returns, asthese large multi-year trends came to an end and started reversing in avolatile manner.  Third, from May 2004 toJuly 2004, almost every market went into a very unusual “whipsaw” pattern wherefalse break-outs occurred on both very short and medium time frames luring bothlonger-term and shorter-term trendfollowers into building positions in marketmoves that proved to reverse as quickly as 1 day in extremely volatile fashion(e.g. Crude Oil, Bonds, Currencies). This has been a persistent and very unusual profile because it isaffecting so many markets for several months at a time.  The unusually volatile nature of markets wasattributed to unresolved concerns that market participants had about inflation,interest rates, economic growth, and terrorism and their combined effect on allinvestable asset classes.

 

**August 2004**

 

Ofthe 14 managers in the S&P Managed Futures Index (“MFI”), 7 had positivereturns in August, representing an increase in the number of managers producingpositive returns in recent months, with underlying managers’ returns rangingfrom –7% to +8%.  Overall MFI performancewas down less than 1% for the month, which represented a flattening out of thedrawdown momentum.  Although recentmonths had experienced a dramatic lack of volatility and trading opportunitiesin most asset classes, there were strong signs of trending in most LongDuration Government Bond Index futures, Energy (especially Natural Gas), andAgricultural markets during August from which the MFI profited.  Losses offset these gains, however, in BaseMetals, particularly in Nickel Futures, as the run

 

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upover the prior few months abruptly reversed course on news that warehouseinventories and Russian output is rising, which had the combined effect ofallaying fears of continued shortages causing a sharp reversal downward.  Other losses were incurred in Financials,especially in Stock Indices where prices of Equity Index Futures reversed theirdowntrend to rally with positive returns upwards of 6%.  Smaller losses were incurred in InterestRates where long positions in EURIBOR contracts and Eurodollars had minorpullbacks.  Conversely, large gains wereharvested from the Energy sector, especially from short positions in NaturalGas which fell from the US$6.20 level to US$5.00 during the course of August onnews of storage injections increasing inventories to a level above their 5 yearaverage combined with unseasonably cool weather relative to history whichdampened demand for gas fired electric plant output.  Crude Oil exposure generated small profitsfor the month as most long positions were successfully closed out at a profitprior to the market reversal from $US50 to $US43.  Larger profits were gained from a uniformtrend in Global Bond markets, with German, Japanese, US, and UK sovereign longduration debt contracts increasing in price as inflationary worries abated dueto a retreat in Crude Oil prices combined with mixed economic news from theEuro-region and US.  Smaller gains werealso realized in the Wheat futures as prices continued on a downward slope inAugust.

 

**September 2004**

 

Ofthe 14 managers in the S&P Managed Futures Index (“MFI”), 11 had positivereturns in September with underlying managers’ returns ranging from -2% to+21%.  Overall, the MFI return was upnearly 4% for the month.  With respect tomarkets as a whole during the last 6 months, the forces of acceleratinginterest rates, rapid commodity price inflation, and concern over geopoliticaldevelopments have created a plateau in the expected rate of change of theglobal economic recovery.  This stagnationhas led to much lower volatility in equities, bonds, and currencies and hasresulted in markets that have largely traded in tightly bound ranges withlittle directional momentum or extremely choppy trends that detracted from MFIreturns during this period.  InSeptember, however, many markets started to show signs of momentum again andthe trendfollowing strategies in the MFI found and exploited tradingopportunities in Energy, Government Bond, Metal, and Agricultural markets.  Long positions in Energy markets provided thebest trading opportunities, with prices in Crude Oil rising 9 straight sessionsin a row to lifetime highs above USD $50. The causes for this rapid ascent in prices include fundamental globalsupply shortages, high demand growth, in addition to the effects of hurricanedamage to oil rigs in the Gulf of Mexico, Russian Government tax reclaims fromYukos Oil Co. which are affecting deliveries to China, and rebel activity inNigeria which threatens to disrupt supplies to western countries.  Profits were also gained in long GovernmentBond positions which trended higher with pronounced momentum.  U.S. Treasury Bond Futures, for example,rallied to a high of USD $114 in September due in large part to thedeflationary effect of Crude Oil prices on the U.S. economic recovery.  Gold had an equally impressive rally whichthe MFI participated in on the long side, as prices hit a low area of USD $397in early September and then rallied to USD $420 on the effects of a weakenedU.S. Dollar.  Large gains were also madein long Copper Futures positions as prices drove from a low of USD $1.22 toalmost USD $1.40 on large-scale forecasted supply shortages.  Finally, profits were captured in shortpositions in Corn Futures which have been in a bear market spiral since earlyJune, as prices dropped from USD $3.30 to recent lows around the USD $2.00level on substantial gains in crop yield estimates and favourable weatherforecasts.

 

**CriticalAccounting Policies - Valuation of the SPC’s positions**

 

The General Partner believes that the accounting policies that will bemost critical to the Fund’s financial condition and results of operationsrelate to the valuation of the SPC’s investment positions. The majority of theSPC’s investment positions will be exchange-traded futures contracts,

 

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which will be valued daily at settlement prices published by theexchanges. The SPC’s spot and forward foreign currency contracts will also bevalued at published daily settlement prices or at dealers’ quotes. Swapcontracts generally will be valued by reference to published settlement pricesor dealers’ quotes in related markets or other measures of fair value deemedappropriate by the General Partner. The General Partner does not believe thatthe SPC will trade swaps to a significant degree. Thus, the General Partnerexpects 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 ona timely basis.

 

**The Fund**

 

The Fund commenced trading on March 15, 2004 and has limitedperformance history.  “Standard &Poor’s®” and “S&P Managed Futures Index” aretrademarks of The McGraw-Hill Companies, Inc. and have been licensed for use byRFH and PlusFunds. The Fund is not sponsored, endorsed, sold or promoted byStandard & Poor’s and Standard & Poor’s makes no recommendationconcerning the advisability of investing in the Fund.

 

**Item 3****.  Quantitative andQualitative Disclosures About Market Risk**

 

**Introduction**

 

TheFund does not control the SPC, PlusFunds or any Portfolio Manager, and has norole in the choice of Portfolio Managers, any Portfolio Manager’s choice ofinvestments or any other investment decisions of the SPC.  The Fund is dependent upon the expertise andabilities of PlusFunds in implementing the Index strategy as well as thePortfolio Managers who have investment discretion over assets allocated tothem.  There can be no assurance that theservices of PlusFunds or of a Portfolio Manager will be available for anylength of time, or that the SPC will remain available for investment by theFund.

 

TheFund is dependent on PlusFunds and the SPC’s independent administrator toprovide it with periodic reports and other information.  The Fund may not be provided with detailedinformation regarding the precise investments made by a Portfolio Managerbecause some of this information may be considered proprietary and otherwiseconfidential.  This lack of access toinformation may make it more difficult for the Fund to evaluate the SPC and thePortfolio Managers and to make a judgment regarding the fair value of theassets of the Fund.

 

TheFund is designed to invest in the SPC, a speculative commodity pool.  Themarket sensitive instruments indirectly held by it are acquired for speculativetrading purposes, and all or a substantial amount of the Fund’s assets areindirectly subject to the risk of trading loss.

 

Marketmovements result in frequent changes in the fair market value of the SPC’s openpositions and, consequently, in its earnings and cash flow. The SPC’s marketrisk is influenced by a wide variety of factors, including the level andvolatility of exchange rates, interest rates, equity price levels, the marketvalue of financial instruments and contracts, market prices for base andprecious metals, energy complexes and other commodities, the diversificationeffects among the SPC’s open positions and the liquidity of the markets inwhich it trades.

 

TheSPC often rapidly acquires and liquidates both long and short positions in awide range of different markets. Consequently, it is not possible to predicthow a particular future market scenario will affect performance. The SPC’scurrent trading advisors all employ trend-following strategies that rely onsustained movements in price. Erratic, choppy, sideways trading markets andsharp

 

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reversalsin 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 sectorstraded by its trading advisors is quantified below in terms of value atrisk.  Value at risk is a quantitativetechnique used to estimate the likelihood that a portfolio’s losses will exceeda certain amount over a given time frame and is alternately expressed inpercentage or currency terms.  Theresults of this technique should be viewed as estimations because futureresults will differ from predicted values due to changing market conditionsthat cannot be forecasted with complete accuracy.

 

***Value at Risk By Market Sectors***

 

Thefollowing table indicates the value at risk associated with the SPC’s openpositions by market category as of September 30, 2004.  As of September 30, 2004, the Fund’s NetAssets were $32,532,656.  The resultsbelow illustrate the estimated value at risk over a 10-business day period at a99% level of confidence.  ‘Value at Risk’is expressed in Dollar terms and ‘VaR%’ is expressed as a percentage of FundNet Assets.

 
| ** **        | ** ** | **As of September 30, 2004** | ** ** |
|-------------------|------------|------------------------------|------------|
| ** **        | ** ** | ** **                   | ** ** | ** ** | ** ** |
| **Market Sector** | ** ** | **Value at Risk**            | ** ** | **VaR (%)** | ** ** |
| ** **        | ** ** | ** **                   | ** ** | ** ** | ** ** |
| Interest Rate     |       | $                            | 1,683,916  |   | 5.18 | % |
| Equity Index      |       | 114,124                      |       | 0.35 | % |
| Currency          |       | 656,797                      |       | 2.02 | % |
| Raw Commodity     |       | 1,013,144                    |       | 3.11 | % |
| **TOTAL**         |       | $                            | 3,467,981  |   | 10.66 | % |

 

**Qualitative Market Risk**

 

***Trading Risk***

 

TheFund invests substantially all of its assets into the SPC.  The following are guidelines to the primarytrading risk exposures of the SPC by market sector.

 

*Interest Rates*

 

Interestrate risk is one of the principal market exposures of the SPC.  Interest rate movements directly affect theprice of interest rate futures positions held and indirectly the value of itsstock index and currency positions. Interest rate movements in one country aswell as relative interest rate movements between countries materially impactprofitability.  The primary interest rateexposure is to interest rate fluctuations in the United States and the otherG-7 countries.  However, the SPC alsotakes futures positions on the government debt of smaller nations.

 

*Currencies*

 

Exchangerate risk is a significant market exposure of the SPC. The SPC’s currencyexposure is to exchange rate fluctuations, primarily fluctuations that disruptthe historical pricing relationships between different currencies and currencypairs.  These fluctuations are influencedby interest rate changes as well as political and general economicconditions.  The Fund trades in a largenumber of

 

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currencies,including cross-rates, which are positions between two currencies other thanthe U.S. dollar.

 

*Energy*

 

TheSPC also has energy market exposure to gas and oil price movements, which oftenhave short-term volatility swings resulting from political developments in theMiddle East and in the longer-term are subject to the forces of global supplyand demand.

 

*Stock Indices*

 

TheSPC’s primary equity exposure is to equity price risk in the G-7 countries aswell as other smaller jurisdictions.  TheSPC is primarily exposed to the risk of adverse price trends or static marketsin the major U.S., European and Japanese indices.

 

*Metals*

 

TheSPC’s metals market exposure is to fluctuations in the price of both preciousmetals, 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 themrelative to their price in a specific currency. Other metals, such as Silver, Platinum, Copper, and Steel, havesubstantial industrial applications, and may be subject to forces affectingindustrial production and demand.

 

*Agricultural / Softs*

 

TheSPC may also invest in raw commodities and will thus have exposure toagricultural price movements, which are often directly affected by severe orunexpected weather conditions or by political events in countries that comprisesignificant sources of commodity supply.

 

*Other Trading Risks*

 

Asa 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 canbe used to invest in contracts of much greater total value.  The resulting leverage means that arelatively small change in the market price of a contract can produce asubstantial loss.  Like other leveragedinvestments, any purchase or sale of a contract may result in losses in excessof the amount invested in that contract. The Portfolio Managers may lose more than their initial margin depositson a trade.

 

ThePortfolio Managers’ trading will be subject to execution risks.  Market conditions may make it impossible forthe Portfolio Managers to execute a buy or sell order at the desired price, orto close out an open position.  Dailyprice fluctuation limits are established by the exchanges and approved by theCommodities Futures Trading Commission (the “CFTC”). When the market price of acontract reaches its daily price fluctuation limit, no trades can be executedat prices outside the limit. The holder of a contract may therefore be lockedinto an adverse price movement for several days or more and lose considerablymore than the initial margin put up to establish the position. Thinly traded orilliquid markets also can make it difficult or impossible to execute trades.

 

***Non-Trading RiskExposure***

 

TheFund must rely on the SPC when calculating net asset value.  The net asset values received by the Fundfrom the SPC may be subject to revision through monthly financial reports ofthe SPC.  As

 

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aresult, revisions to the Fund’s gain and loss calculations may occur.  Any revisions not deemed material in the solediscretion of the General Partner will not result in an adjustment to priorsubscription or redemption prices for the Fund. Moreover, in some cases, the Fund will have little ability to assess theaccuracy of the valuations of its investment in the SPC that are received fromPlusFunds or from the SPC or its administrator. There are no market quotations available to use in valuing the Fund’sinvestments in the SPC.  As a result,these investments will be valued at their fair values as determined inaccordance with procedures adopted in good faith by the General Partner.  These valuations may not in all casesaccurately reflect the values of the Fund’s investments in the SPC.  These inaccuracies may adversely affect theFund or investors who purchase or redeem units.

 

TheFund’s ability to track the Index is dependent upon PlusFunds’ ability to makethe requisite allocations to all of the Portfolio Managers that are included inthe Index.  To the extent that PlusFundsis not able to make an allocation to a Portfolio Manager, the performance ofthe Fund will not track the performance of the Index, before fees of the Fund.

 

TheFund invests substantially all of its assets in the SPC and is subject to therisks of the SPC as follows:

 

TheSPC is subject to counterparty risks.  Ifthe SPC’s clearing broker becomes bankrupt or insolvent, or otherwise defaulton its obligations to the SPC, the SPC may not receive all amounts owed to itin respect to its trading, despite the clearinghouse fully discharging all ofits obligations.  Furthermore, in theevent of the bankruptcy of the clearing broker, the SPC could be limited torecovering only a pro rata share of all available funds segregated on behalf ofthe clearing broker’s combined customer accounts, even though propertyspecifically traceable to the SPC (for example, Treasury bills deposited by theSPC with the clearing broker as margin) was held by the clearing broker.  In addition, some of the instruments whichthe SPC may trade are traded in markets such as foreign exchanges or forwardcontract markets in which performance is the responsibility only of theindividual counterparty with whom the trader has entered into a contract andnot of an exchange or clearing corporation. The SPC will be subject to the risk of the inability or refusal toperform on the part of the counterparties with whom those types of contractsare traded.  There are no limitations onthe amount of allocated assets a Portfolio Manager can trade on foreignexchanges or in forward contracts.

 

TheSPC’s positions are subject to speculative limits.  The CFTC and domestic exchanges haveestablished speculative position limits on the maximum futures position whichany person, or group of persons acting in concert, may hold or control inparticular futures contracts or options on futures contracts traded on U.S.commodity exchanges.  Under currentregulations, other accounts of the Portfolio Managers are combined with thepositions held by the SPC for position limit purposes.  This trading could preclude additionaltrading in these commodities by the Portfolio Managers for the account of theSPC.

 

Systematicstrategies do not consider fundamental types of data and do not have thebenefit of discretionary decision making. Most of the SPC’s assets will be allocated to Portfolio Managers thatrely on technical, systematic strategies that do not take into account factorsexternal to the market itself (although certain of these strategies may haveminor discretionary elements incorporated into their systematic strategy).  The widespread use of technical tradingsystems frequently results in numerous Portfolio Managers attempting to executesimilar trades at or about the same time, altering trading patterns andaffecting market liquidity.  Furthermore,the profit potential of trend-following systems may be diminished by thechanging character of the markets, which may make historical price data (onwhich technical programs are based) only marginally relevant to future marketpatterns.  Systematic strategies aredeveloped on the basis of a statistical analysis of market prices.Consequently, any factor external to the market itself that dominates pricesthat a discretionary decision maker may take into account may cause majorlosses for a systematic

 

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strategy.  For example, a pending political or economicevent may be very likely to cause a major price movement, but a systematicstrategy may continue to maintain positions indicated by its trading methodthat might incur major losses if the event proved to be adverse.

 

***Managing Risk Exposure***

 

TheIndex Committee is charged with overseeing the methodology and operations ofthe Index and has primary responsibility for the Index’s strategyclassifications, composition and methodology. Implicit to the SPC’s construction is consideration of the quality andeffectiveness of risk awareness and volatility monitoring on the part of thecommodity trading advisors selected for membership in the Index.  In addition, numerical analysis of eachPortfolio Manager’s historical returns with respect to performance in aggregateas well as in discrete periods of various market cycles is made as part of thedue diligence process for consideration of membership in the Index.

 

PlusFunds, the investment manager of the SPC and the sub-investmentmanager of the Fund, is a Delaware corporation organized on March 25,2002.  It has been registered with theCFTC as a commodity pool operator since July 1, 2002 and as a commodity tradingadvisor since March 14, 2003 and is a member of the NFA.  PlusFunds monitors the day-to-day performanceof the SPC’s underlying CTAs on a T+1 basis using daily pricing informationverified by independent sources. PlusFunds screens managers for potential anomalies, such as excessiveleverage, abnormal changes in positions, transaction mis-pricing, fraudulentbehavior as well as deviation from investment style.  On a weekly basis, PlusFunds performs ananalysis of portfolio exposure across securities, sectors, regions and assetallocation along with value at risk, and incremental risk analysis.  PlusFunds selects the Portfolio Fundsgenerally to track the Index, but there may be differences specifically ifthere is a change in Index composition.

 

**Item 4****.  Controls andProcedures**

 

TheGeneral Partner carried out an evaluation, under the supervision and with theparticipation of the General Partner’s management, including its principalexecutive officer and principal financial officer, of the design and operationof the Fund’s disclosure controls and procedures.  Based on this evaluation, the General Partner’sprincipal executive officer and principal financial officer concluded that, asof September 30, 2004, the Fund’s disclosure controls and procedures wereeffective to provide reasonable assurance that the information required to bedisclosed by the Fund in the reports filed or submitted under the SecuritiesExchange Act of 1934 is recorded, processed, summarized and reported within thetime periods specified in the SEC’s rules and forms.  During the reported period there were nochanges in controls.

 

Anycontrol system, no matter how well designed and operated, can provide onlyreasonable (not absolute) assurance that its objectives will be met.  Furthermore, no evaluation of controls canprovide absolute assurance that all control issues and instances of fraud, ifany, have been detected.

 

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**PART II- OTHER INFORMATION**

 

**Item 6****.  Exhibits and Reportson Form 8-K**

 

**(a)**                         **Exhibits**

 

**31.1**              **Certification of PrincipalExecutive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Actof 1934**

 

**31.2**              **Certification of PrincipalFinancial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Actof 1934**

 

**32.1**              **Certification Pursuant to 18U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-OxleyAct of 2002**

 

**(b)**                         **Reports on Form 8-K**

 

**None.**

 

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**SIGNATURES**

 

Pursuant to the requirementsof the Securities Exchange Act of 1934, the Registrant has duly caused thisreport to be signed on its behalf by the undersigned thereunto duly authorized.

 
|                          | S&P  Managed Futures Index Fund, LP |
|-------------------------------|-----------------------------------------|
|                          | LIMITED  PARTNERSHIP                    |
|                          |                                    |
|                          |                                    |
| Date:   November 8, 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) |
|                               |                                         |  |  |  |  |

 

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