**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-Q**

 

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

 

**For the Quarterly Period Ended: June 30, 2005**

 

**o TRANSITION REPORT PURSUANT TO SECTION 13OR 15(d) OFTHE SECURITIES EXCHANGE ACT OF 1934**

 

**For the Transition Period From             to             **

 

**Commission File Number: ****000-50565**

 

**S&P Managed Futures Index Fund,LP**

(Exact name of registrant as specified in its charter)

 
| **Delaware**                                                    | ** ** | **90-0080448**                        |
|-----------------------------------------------------------------|------------|---------------------------------------|
| (State or other jurisdiction of  incorporation or organization) |       | (I.R.S. Employer  Identification No.) |

 

**c/o RefcoFund Holdings, LLC******200 LibertyStreet, Tower A****

**New York, New York 10281**

(Address of principal executive offices, including zipcode)

 

Registrant’s telephone number, including area code: **(212) 693-7000**

 

Indicate by check mark whether the Registrant: (1) hasfiled all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or for suchshorter period that the registrant was required to file such reports), and (2) hasbeen subject to such filing requirements for the past 90 days.  Yes ý   No o

 

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

 

 

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**S&P MANAGED FUTURES INDEX FUND, LP**

***(A Delaware Limited Partnership)***

* *

**TABLE OF CONTENTS**

 
| **PART I  - FINANCIAL INFORMATION**   | ** ** |
|--------------------------------------------|------------|
|                                       |       |   |   |
|                                       | Item 1.    | Financial  Statements |   |
|                                       |       |   |   |
|                                       |       | Statements of  Assets and Liabilities as of June 30, 2005 (unaudited) and December 31,  2004 | 1  |
|                                       |       |   |   |
|                                       |       | Statements of  Operations for the three months ended June 30, 2005 and June 30,  2004, and for the six months ended June 30, 2005 and for the period from  March 15, 2004 (Commencement of Operations) to June 30, 2004  (unaudited) | 2  |
|                                       |       |   |   |
|                                       |       | Statements of  Changes in Net Assets for the six months ended June 30, 2005, and for  the period March 15, 2004 (Commencement of Operations) to June 30,  2004 (unaudited) | 3  |
|                                       |       |   |   |
|                                       |       | Statements of  Cash Flows for the six months ended June 30, 2005 and for the period March 15,  2004 (Commencement of Operations) to June 30, 2004 (unaudited) | 4  |
|                                       |       |   |   |
|                                       |       | Schedule of  Investments as of June 30, 2005 (unaudited) | 5  |
|                                       |       |   |   |
|                                       |       | Schedule of  Investments as of December 31, 2004 | 6  |
|                                       |       |   |   |
|                                       |       | Notes to  Financial Statements (unaudited) | 7  |
|                                       |       |   |   |
|                                       | Item 2.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 13 |
|                                       |       |   |   |
|                                       | Item 3.    | Quantitative and  Qualitative Disclosures About Market Risk | 18 |
|                                       |       |   |   |
|                                       | Item 4.    | Controls and  Procedures | 23 |
|                                       |       |   |   |
| **PART II  – OTHER INFORMATION** | ** ** |
| ** **                                 | ** ** |
|                                       | Item 2.    | Unregistered  Sales of Equity Securities and Use of Proceeds | 24 |
|                                       |       |   |   |
|                                       | Item 6.    | Exhibits | 24 |
|                                       |       |   |   |
| **SIGNATURES**                             | 25         |

 

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

**(A Delaware Limited Partnership)**

 

**STATEMENTSOF ASSETS AND LIABILITIES**

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

 
| ** **                                                                                | ** ** | **June 30, 2005** | ** ** | **December 31, 2004** | ** ** |
|-------------------------------------------------------------------------------------------|------------|------------------------|------------|----------------------------|------------|
| ASSETS:                                                                                   | ** ** | ** **             | ** ** | ** **                 | ** ** |
| Cash                                                                                      |       | $                      | 1,617,363  |                       | $          | 278,393 |   |
| Investments in Index SPC, at fair value (cost  $50,900,165 and $40,190,165, respectively) |       | 49,684,261             |       | 42,830,003                 |       |
| Investment made in advance                                                                |       | —                 |       | 2,350,000                  |       |
| Receivable from General Partner                                                           |       | 2,330                  |       | 83,812                     |       |
| TOTAL ASSETS                                                                              |       | 51,303,954             |       | 45,542,208                 |       |
|                                                                                      |       |                   |       |                       |       |
| LIABILITIES:                                                                              | ** ** | ** **             | ** ** | ** **                 | ** ** |
| Subscriptions received in advance                                                         |       | 1,514,677              |       | 2,382,786                  |       |
| Accrued expenses                                                                          |       | 312,827                |       | 213,777                    |       |
| Management fees payable                                                                   |       | 155,739                |       | 135,838                    |       |
| Redemption payable                                                                        |       | 1,241,010              |       | 76,093                     |       |
| Redemption fee payable                                                                    |       | 278                    |       | 1,722                      |       |
| Due to investors                                                                          |       | 150,000                |       | 8,250                      |       |
| TOTAL LIABILITIES                                                                         |       | 3,374,531              |       | 2,818,466                  |       |
|                                                                                      |       |                   |       |                       |       |
| NET ASSETS                                                                                |       | $                      | 47,929,423 |                       | $          | 42,723,742 |   |
| ** **                                                                                | ** ** | ** **             | ** ** | ** **                 | ** ** |
| CLASS A                                                                              | ** ** | ** **             | ** ** | ** **                 | ** ** |
| Number of Partnership Units Outstanding                                                   |       | 49,187.565             |       | 38,856.005                 |       |
| Net Assets                                                                                |       | $                      | 39,709,374 |                       | $          | 35,111,145 |   |
| Net Asset Value per Partnership Unit                                                      |       | $                      | 807.31     |                       | $          | 903.62 |   |
| ** **                                                                                | ** ** | ** **             | ** ** | ** **                 | ** ** |
| CLASS B                                                                              |       |                   |       |                       |       |
| Number of Partnership Units Outstanding                                                   |       | 9,948.427              |       | 8,314.206                  |       |
| Net Assets                                                                                |       | $                      | 8,220,049  |                       | $          | 7,612,597 |   |
| Net Asset Value per Partnership Unit                                                      |       | $                      | 826.27     |                       | $          | 915.61 |   |
|                                                                                      |       |                   |       |                       |       |

 

The accompanying notes arean integral part of these financial statements.

 

1

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

**(A Delaware Limited Partnership)**

 

**STATEMENTSOF OPERATIONS**

**FOR THETHREE MONTHS ENDED JUNE 30, 2005 AND JUNE 30, 2004, AND FOR**

**THE SIXMONTHS ENDED JUNE 30, 2005 AND FOR THE PERIOD FROM MARCH 15, 2004**

**(COMMENCEMENTOF OPERATIONS) TO JUNE 30, 2004 (UNAUDITED)**

 
| ** **                                           | ** ** | **Three Months Ended  June 30, 2005** | ** ** | **Three Months Ended  June 30, 2004** | ** ** | **Six Months Ended  June 30, 2005** | ** ** | **March 15, 2004  (Commencement of  Operations) to June  30, 2004** | ** ** |
|------------------------------------------------------|------------|--------------------------------------------|------------|--------------------------------------------|------------|------------------------------------------|------------|--------------------------------------------------------------------------|------------|
| OPERATING EXPENSES:                                  |       |                                       |       |                                       |       |                                     |       |                                                                     |       |
| Management fees                                      |       |                                       |       |                                       |       |                                     |       |                                                                     |       |
| Class A                                         |       | $                                          | 404,273    |                                       | $          | 90,289                                   |       | $                                                                        | 781,118    |   | $ | 96,042 |   |
| Class B                                         |       | 47,641                                     |       | 14,283                                     |       | 91,635                                   |       | 15,877                                                                   |       |
| Administration fees                                  |       |                                       |       |                                       |       |                                     |       |                                                                     |       |
| Class A                                         |       | 54,710                                     |       | 67,732                                     |       | 100,059                                  |       | 84,368                                                                   |       |
| Class B                                         |       | 12,178                                     |       | 20,969                                     |       | 22,567                                   |       | 24,032                                                                   |       |
| Professional fees                                    |       | 38,751                                     |       | 44,211                                     |       | 77,502                                   |       | 58,948                                                                   |       |
| Other expenses                                       |       | 4,734                                      |       | 12,196                                     |       | 9,468                                    |       | 16,189                                                                   |       |
| Total expenses                                       |       | 562,287                                    |       | 249,680                                    |       | 1,082,349                                |       | 295,456                                                                  |       |
|                                                 |       |                                       |       |                                       |       |                                     |       |                                                                     |       |
| Less waiver of management fees by General Partner    |       | (14,715                                    | )          | (40,376                                    | )          | (24,923                                  | )          | (48,733                                                                  | )          |
|                                                 |       |                                       |       |                                       |       |                                     |       |                                                                     |       |
| NET INVESTMENT LOSS                                  |       | (547,572                                   | )          | (209,304                                   | )          | (1,057,426                               | )          | (246,723                                                                 | )          |
|                                                 |       |                                       |       |                                       |       |                                     |       |                                                                     |       |
| DECREASE IN EQUITY IN INDEX SPC                      |       | (1,108,299                                 | )          | (1,525,491                                 | )          | (3,855,742                               | )          | (1,583,252                                                               | )          |
|                                                 |       |                                       |       |                                       |       |                                     |       |                                                                     |       |
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |       | $                                          | (1,655,871 | )                                          | $          | (1,734,795                               | )          | $                                                                        | (4,913,168 | ) | $ | (1,829,975 | ) |

 

The accompanying notes arean integral part of these financial statements.

 

2

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

**(A Delaware Limited Partnership)**

 

**STATEMENTSOF CHANGES IN NET ASSETS**

**FOR THE SIXMONTHS ENDED JUNE 30, 2005 AND FOR THE PERIOD FROM**

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

 
| ** **                                              | ** ** | **Six Months Ended  June 30, 2005** | ** ** | **March 15, 2004  (Commencement of  Operations) to June 30,  2004** | ** ** |
|---------------------------------------------------------|------------|------------------------------------------|------------|-------------------------------------------------------------------------------|------------|
| ** **                                              | ** ** | ** **                               | ** ** | ** **                                                                    | ** ** |
| NET DECREASE IN NET ASSETS RESULTING FROM  OPERATIONS:  |       |                                     |       |                                                                          |       |
| Net investment loss                                     |       | $                                        | (1,057,426 | )                                                                             | $          | (246,723 | ) |
| Decrease in equity in Index SPC                         |       | (3,855,742                               | )          | (1,583,252                                                                    | )          |
| Net decrease in net assets resulting from operations    |       | (4,913,168                               | )          | (1,829,975                                                                    | )          |
|                                                    |       |                                     |       |                                                                          |       |
| INCREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS:       |       |                                     |       |                                                                          |       |
| Proceeds from issuance of partnership units             |       |                                     |       |                                                                          |       |
| Class A                                            |       | 10,060,126                               |       | 14,906,113                                                                    |       |
| Class B                                            |       | 2,864,257                                |       | 4,628,300                                                                     |       |
| Redemption of partnership units                         |       |                                     |       |                                                                          |       |
| Class A                                            |       | (1,378,368                               | )          | (21,254                                                                       | )          |
| Class B                                            |       | (1,427,166                               | )          | (736,950                                                                      | )          |
| Total increase in net assets from capital  transactions |       | 10,118,849                               |       | 18,776,209                                                                    |       |
|                                                    |       |                                     |       |                                                                          |       |
| NET INCREASE IN NET ASSETS                              |       | 5,205,681                                |       | 16,946,234                                                                    |       |
|                                                    |       |                                     |       |                                                                          |       |
| NET ASSETS AT BEGINNING OF PERIOD                       |       | 42,723,742                               |       | —                                                                        |       |
|                                                    |       |                                     |       |                                                                          |       |
| NET ASSETS AT END OF PERIOD                             |       | $                                        | 47,929,423 |                                                                          | $          | 16,946,234 |   |

 

The accompanying notesare an integral part of these financial statements.

 

3

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

**(A Delaware Limited Partnership)**

 

**STATEMENTSOF CASH FLOWS**

**FOR THE SIXMONTHS ENDED JUNE 30, 2005 AND FOR THE PERIOD**

**FROM MARCH 15,2004  (COMMENCEMENT OF OPERATIONS) TO**

**JUNE 30,2004 (UNAUDITED)**

 
| ** **                                                                                                     | ** ** | **Six Months Ended  June 30, 2005** | ** ** | **March 15, 2004  (Commencement of  Operations) to June 30,  2004** | ** ** |
|----------------------------------------------------------------------------------------------------------------|------------|------------------------------------------|------------|-------------------------------------------------------------------------------|------------|
|                                                                                                           |       |                                     |       |                                                                          |       |
| CASH USED IN OPERATING ACTIVITES:                                                                              |       |                                     |       |                                                                          |       |
| Net decrease in net assets resulting from operations                                                           |       | $                                        | (4,913,168 | )                                                                             | $          | (1,829,975 | ) |
| Adjustments to reconcile net decrease in net assets  from operations to net cash used in operating activities: |       |                                     |       |                                                                          |       |
| Decrease in equity in Index SPC                                                                                |       | 3,855,742                                |       | 1,583,252                                                                     |       |
| Changes in operating assets and liabilities:                                                                   |       |                                     |       |                                                                          |       |
| Cost of investments in Index SPC                                                                               |       | (10,710,000                              | )          | (18,639,165                                                                   | )          |
| Investment made in advance                                                                                     |       | 2,350,000                                |       | (4,835,000                                                                    | )          |
| Receivable from General Partner                                                                                |       | 81,482                                   |       | (7,528                                                                        | )          |
| Accrued expenses                                                                                               |       | 99,050                                   |       | 114,645                                                                       |       |
| Management fees payable                                                                                        |       | 19,901                                   |       | 53,187                                                                        |       |
| Redemption fee payable                                                                                         |       | (1,444                                   | )          | —                                                                        |       |
| Due to investors                                                                                               |       | 141,750                                  |       | —                                                                        |       |
| Net cash used in operating activities                                                                          |       | (9,076,687                               | )          | (23,560,584                                                                   | )          |
|                                                                                                           |       |                                     |       |                                                                          |       |
| CASH PROVIDED BY FINANCING ACTIVITIES:                                                                         |       |                                     |       |                                                                          |       |
| Proceeds from issuance of partnership units                                                                    |       | 12,056,274                               |       | 24,422,082                                                                    |       |
| Redemption of partnership units                                                                                |       | (1,640,617                               | )          | (745,704                                                                      | )          |
| Net cash provided by financing activities                                                                      |       | 10,415,657                               |       | 23,676,378                                                                    |       |
|                                                                                                           |       |                                     |       |                                                                          |       |
| Net increase in cash                                                                                           |       | 1,338,970                                |       | 115,794                                                                       |       |
|                                                                                                           |       |                                     |       |                                                                          |       |
| CASH, BEGINNING OF PERIOD                                                                                      |       | 278,393                                  |       | —                                                                        |       |
|                                                                                                           |       |                                     |       |                                                                          |       |
| CASH, END OF PERIOD                                                                                            |       | $                                        | 1,617,363  |                                                                          | $          | 115,794 |   |

 

The accompanying notes arean integral part of these financial statements.

 

4

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

**(A Delaware Limited Partnership)**

 

**SCHEDULE OF INVESTMENTS**

**JUNE 30, 2005 (UNAUDITED)**

 
| ** **                                                              | ** ** | **% of**       | ** ** | ** **     | ** ** |
|-------------------------------------------------------------------------|------------|----------------|------------|----------------|------------|
| **Investments in Index SPC**                                            | ** ** | **Net Assets** | ** ** | **Fair Value** | ** ** |
| **Index Constituents**                                                  | ** ** | ** **     | ** ** | ** **     | ** ** |
| ** **                                                              | ** ** | ** **     | ** ** | ** **     | ** ** |
| SPhinx Managed Futures (Argo Willowbridge)  Segregated Portfolio        |       | 5.92           | %          | $              | 2,835,032  |   |
| SPhinx Managed Futures (Aspect) Segregated Portfolio                    |       | 8.30           | %          | 3,979,445      |       |
| SPhinx Managed Futures (Beach) Segregated Portfolio                     |       | 6.82           | %          | 3,270,805      |       |
| SPhinx Managed Futures (Campbell FME Large)  Segregated Portfolio       |       | 8.77           | %          | 4,202,196      |       |
| SPhinx Managed Futures (Chesapeake Capital) Segregated  Portfolio       |       | 7.52           | %          | 3,604,983      |       |
| SPhinx Managed Futures (Drury Capital) Segregated  Portfolio            |       | 6.71           | %          | 3,214,039      |       |
| SPhinx Managed Futures (Dunn) Segregated Portfolio                      |       | 7.81           | %          | 3,741,621      |       |
| SPhinx Managed Futures (Eclipse) Segregated  Portfolio                  |       | 7.12           | %          | 3,412,707      |       |
| SPhinx Managed Futures (Graham Global Investment)  Segregated Portfolio |       | 7.38           | %          | 3,535,698      |       |
| SPhinx Managed Futures (Hyman Beck) Segregated  Portfolio               |       | 6.92           | %          | 3,317,563      |       |
| SPhinx Managed Futures (JWH) Segregated Portfolio                       |       | 5.32           | %          | 2,551,293      |       |
| SPhinx Managed Futures (Millburn) Segregated  Portfolio                 |       | 7.86           | %          | 3,767,160      |       |
| SPhinx Managed Futures (Rotella) Segregated  Portfolio                  |       | 8.36           | %          | 4,005,423      |       |
| SPhinx Managed Futures (Winton) Segregated Portfolio                    |       | 8.86           | %          | 4,246,296      |       |
|                                                                    |       |           |       |           |       |
| TOTAL                                                                   |       | 103.67         | %          | $              | 49,684,261 |   |

 

All investments in Index SPC have directional/tacticalinvestment objective.  Redemptions fromthe Index SPC are permitted semi-monthly.

 

The accompanying notes are an integral part of thesefinancial statements.

 

5

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

**(A Delaware Limited Partnership)**

 

**SCHEDULE OF INVESTMENTS**

**DECEMBER 31, 2004**

 
| ** **                                                              | ** ** | **% of**       | ** ** | ** **     | ** ** |
|-------------------------------------------------------------------------|------------|----------------|------------|----------------|------------|
| **Investments in Index SPC**                                            | ** ** | **Net Assets** | ** ** | **Fair Value** | ** ** |
| **Index Constituents**                                                  | ** ** | ** **     | ** ** | ** **     | ** ** |
| ** **                                                              | ** ** | ** **     | ** ** | ** **     | ** ** |
| SPhinX Managed Futures (Argo Willowbridge)  Segregated Portfolio        |       | 8.48           | %          | $              | 3,623,423  |   |
| SPhinX Managed Futures (Aspect) Segregated Portfolio                    |       | 6.17           | %          | 2,634,776      |       |
| SPhinX Managed Futures (Beach) Segregated Portfolio                     |       | 6.77           | %          | 2,891,362      |       |
| SPhinX Managed Futures (Campbell FME Large)  Segregated Portfolio       |       | 7.60           | %          | 3,247,970      |       |
| SPhinX Managed Futures (Chesapeake Capital)  Segregated Portfolio       |       | 7.14           | %          | 3,048,942      |       |
| SPhinX Managed Futures (Drury Capital) Segregated  Portfolio            |       | 7.41           | %          | 3,167,826      |       |
| SPhinX Managed Futures (Dunn) Segregated Portfolio                      |       | 6.45           | %          | 2,755,206      |       |
| SPhinX Managed Futures (Eclipse) Segregated  Portfolio                  |       | 6.09           | %          | 2,603,695      |       |
| SPhinX Managed Futures (Graham Global Investment)  Segregated Portfolio |       | 7.35           | %          | 3,141,712      |       |
| SPhinX Managed Futures (Hyman Beck) Segregated  Portfolio               |       | 6.42           | %          | 2,741,850      |       |
| SPhinX Managed Futures (JWH) Segregated Portfolio                       |       | 8.88           | %          | 3,795,017      |       |
| SPhinX Managed Futures (Millburn) Segregated  Portfolio                 |       | 6.73           | %          | 2,876,523      |       |
| SPhinX Managed Futures (Rotella) Segregated  Portfolio                  |       | 6.51           | %          | 2,783,102      |       |
| SPhinX Managed Futures (Winton) Segregated Portfolio                    |       | 8.24           | %          | 3,518,599      |       |
|                                                                    |       |           |       |           |       |
| TOTAL                                                                   |       | 100.24         | %          | $              | 42,830,003 |   |

 

All investments in Index SPC have directional/tacticalinvestment objective.  Redemptions fromthe Index SPC are permitted semi-monthly.

 

The accompanying notes are an integral part of thesefinancial statements.

 

6

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**S&P MANAGED FUTURES INDEX FUND, LP**

***(A Delaware Limited Partnership)***

* *

**NOTES TO FINANCIALSTATEMENTS (UNAUDITED)**

 

**1.**                      NATURE OF BUSINESS ANDORGANIZATION 

** **

***Organization***– S&P ManagedFutures Index Fund, LP (the “Fund”) was organized as a limited partnership on May 13,2003 under the Delaware Revised Uniform Limited Partnership Act, as amended,and started operations on March 15, 2004. In accordance with the Amended and Restated Limited PartnershipAgreement, the Fund is organized as a single series of limited partnershipunits (the “Units”) which are offered in two classes – Class A and Class B(each, a “Class”).

 

RefcoFundHoldings, LLC is the General Partner of the Fund (“RFH” or the “General Partner”).  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”) asSub-Investment Manager to oversee the day-to-day investment managementfunctions for the Fund.

 

TheFund is designed to seek investment returns that substantially track theStandard & Poor’s Managed Futures Index (the “Index”), before expensesof the Fund.  The General Partner willpursue the Fund’s investment objective by allocating substantially all of theFund’s assets to SPhinXTM Managed Futures Fund SPC (the “Index SPC”), which is aCayman Islands segregated portfolio company. The Index SPC is designed to track the Index, and thus provide the Fund’slimited partners with exposure to a broad cross section of systematicmanaged futures strategies through a single investment.  The Index SPC allocates its assets toportfolio 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 Index SPC and the Fund.

 

TheFund will be terminated and dissolved upon the occurrence of any one of thefollowing events: (1) limited partners owning more than 50% of theoutstanding Units voting to dissolve the Fund; (2) the General Partnerceasing to be general partner and no new general partner being appointed; or (3) thecontinued existence of the Fund becoming unlawful.

 

BISYS-RKAlternative Investment Services, Inc. (“BISYS-RK”) acts as theadministrator, transfer agent and registrar of the Fund.  BISYS-RK also provides certain accounting andadministrative services to the Fund.

 

TheUnits are offered by Refco Securities, LLC (the “Selling Agent”), abroker-dealer registered with the United States Securities and ExchangeCommission, and by any additional selling agents who may be engaged from timeto time on behalf of the Fund.

 

**2.**                      SIGNIFICANT ACCOUNTINGPOLICIES

** **

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

 

***Basis of presentation***–******The accompanying unaudited financialstatements of the Fund have been prepared in accordance with accountingprinciples generally accepted in the United States of America for interimfinancial information and with the instructions to Form 10-Q and Rule 10-01of Regulation S-X.  Accordingly, they donot include all of the information and footnotes required by

 

7

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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.

 

***Securities Valuation*** – The economicinterest of investors in the Units ultimately resides in the Index SPC asallocated 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 Index SPC level, including management fees andincentive allocations to the Portfolio Managers.  The Fund is allocated realized and unrealizedgains and net investment income from the Index SPC in proportion to itsownership in the Index SPC.  This isreflected in the statement of operations as “decrease in equity in Index 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 is eligible to receive performance basedcompensation of 15% to 25% of net trading gain.

 

***Investment Transactions*** – The Fundrecords subscriptions and redemptions related to its investment in the Index SPCon the transaction date.

 

***Cash and Cash Equivalents*** – The Fund considers all highly liquidinvestments with a maturity of three months or less when purchased to be cashand cash equivalents.

 

***Expenses*** –******  In accordance with the Amended and Restated LimitedPartnership Agreement, the Fund will be charged for certain expenses and suchexpenses will be allocated proportionately among the partners.  The Fund is responsible for administrative,ongoing offering expenses and operating expenses, including but not limited tolegal and accounting fees, and any taxes or extraordinary expenses payable.

 

All expenses are recordedon an accrual basis.

 

***Use of Estimates*** – The preparation of financialstatements in conformity with accounting principles generally accepted in theUnited States of America requires management to make estimates and assumptions thataffect the amounts reported in the financial statements and accompanyingnotes.  Actual results could differ fromthese estimates.

 

***Income Taxes***– Federal income taxes are not provided 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 Amended and Restated Limited PartnershipAgreement, the limited partners may also be subject to various state and othertaxes.

 

**3.**                      SUBSCRIPTIONS AND REDEMPTIONS

** **

Units are issued upon subscription into and redeemedthrough redemption from the Fund.

 

Subscriptions for either Class must be made as ofthe first business day of each calendar month (the “Offering Date”) at netasset value per Unit. The net asset value per Unit of each Class isdetermined by dividing the net assets of each Class by the number of Unitsof that Class outstanding on the date the calculation is being performed.

 

TheUnits may generally be redeemed as of the last business day of each calendarmonth, subject to certain restrictions and qualifications, upon at least 10business days’ prior written notice to the General Partner.  The General Partner may declare additionalredemption dates upon notice to the

 

8

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limitedpartners and may, in unusual circumstances, permit some, or all, limitedpartners to redeem as of dates other than the end of the month.  The General Partner may not be able to maketimely payments with respect to redemptions due to the Fund’s inability to liquidateits investment in the Index SPC on a timely basis.  Redemptions of interests in the Index SPC bythe Fund as of any particular redemption date cannot exceed 20% of the Fund’sinvestment in the Index SPC as of that date unless the Index SPC has receivedat least 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. The Class BUnits are not subject to a redemption fee.

 

The activity of the Units during the period January 1,2005 to June 30, 2005 was as follows:

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

 

The activity of the Units during the period March 15,2004 (Commencement of Operations) to June 30, 2004 was as follows:

 
| ** **                                     | ** ** | **Class A** | ** ** | **Class B** | ** ** |
|------------------------------------------------|------------|------------------|------------|------------------|------------|
| ** **                                     | ** ** | ** **       | ** ** | ** **       | ** ** |
| Issued and outstanding at March 15, 2004  |       | —           |       | —           |       |
| Issuance of additional units during the period |       | 16,291.889       |       | 4,907.667        |       |
| Redemption of units during the period          |       | (25.074          | )          | (750.000         | )          |
| Issued and outstanding at June 30, 2004   |       | 16,266.815       |       | 4,157.667        |       |

 

**4.**                      RELATED PARTY TRANSACTIONS

 

RefcoSecurities, LLC, the Selling Agent of the Fund, is an affiliate of theGeneral Partner.  Refco LLC, an affiliateof the General Partner and the Selling Agent, acts as futures commissionmerchant for the Index SPC, and in such capacity provides execution, clearingand margin services in connection with futures and commodities tradingactivities.  Refco Capital Markets, Ltd.,also an affiliate of RFH, acts as the dealer for the underlying investments ofthe Index SPC for currency trading.

 

TheFund’s selling agents receive from the General Partner an upfront sellingcommission equal to 3% of the purchase price per Class A Unit at the timethat the Class A Unit is sold.  TheGeneral Partner will also pay with respect to the Class A Units, ongoingservice fees beginning in the 13th month following the purchase of Class AUnits equal to 0.167% of the Class A Units’ month-end net assets (a 2%annual rate).  For the three months endedJune 30, 2004 and 2005, the Selling Agent received $372,943 and $129,779,respectively, in upfront commissions. For the period March 15, 2004 (Commencement of Operations) to June 30,2004 and for the six months ended June 30, 2005, the Selling Agent received$447,183 and $244,020, respectively, in upfront commissions.  The Class

 

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BUnits are not subject to these commissions or ongoing servicing fees.  No selling commissions will be paid from theproceeds of subscriptions.

 

RefcoGroup Ltd., LLC, the parent of the General Partner, paid the organizational andinitial offering expenses.

 

RFHreceives a management fee of 4.15% annually of the Class A net asset valueof 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 ongoingadvisory and general management services. All fees paid to PlusFunds for sub-investment management services arepaid by RFH.  RFH may voluntarily waive aportion of its management fee in its sole discretion.

 

TheAmended and Restated Limited Partnership Agreement and/or guidelines of statesecurities regulators limit the fees that are paid by the Fund (the “ExpenseCap”).  From commencement of operationsthrough June 30, 2004 aggregate annual fees and expenses based on the Fund’snet assets could not exceed 6% of net assets per year (1/2 of 1% permonth).  This Expense Cap includedmanagement fees and customary and routine administrative expenses of the Fundbut did not include legal and accounting expenses or extraordinary expenses.

 

EffectiveJuly 1, 2004, the Fund implemented the following voluntary expense caps:the management fee payable to the General Partner and the operating expenses ofthe Fund are limited to an aggregate of 4.95% in respect of the Class AUnits and 2.95% in respect of the Class B Units calculated on the netassets 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 managementfee, the expenses of the Fund remain above 4.95% for the Class A Units and2.95% for the Class B Units, the General Partner will reimburse the Fundfor such expenses to bring them within the limits stated above.

 

The reimbursements forthe periods ended June 30, 2004 and 2005 are set forth on the Statement ofOperations.

 

As of December 31, 2004 and June 30, 2005,the GeneralPartner held 491.8988 Class B Units of the Fund totaling $450,387 and649.7891 Class B Units of the Fund totaling $536,902, respectively.

 

**5.**                      COMMITMENTS AND CONTINGENCIES

 

Inthe normal course of business, the Fund enters into contracts that contain avariety of representations and warranties and which contain generalindemnification provisions.  The Fund’smaximum exposure under these arrangements is unknown as the potential exposureinvolves future claims that may be made against the Fund.  Based upon the prior experience of theGeneral Partner, the General Partner expects the risk of loss to be remote.

 

**6.**                      DERIVATIVE FINANCIALINSTRUMENTS 

 

**By investing in the Index SPC, the Fund will besubject to all of the risks associated with the Index SPC’s investments andtrading.  The Index 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 Index SPC.**

** **

Market Risk – Derivative instruments involve varyingdegrees of off-balance sheet market risk. Changes in the level or volatility of interest rates, foreign currencyexchange rates or the market

 

10

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values of the financial instruments or commoditiesunderlying such derivative instruments may result in changes in the Index SPC’snet unrealized profit (loss) on such derivative instruments.  The Index SPC’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by the Index SPC as well as the volatility andliquidity in the markets in which such derivative instruments are traded.

 

Credit Risk – The Index SPC has credit risk associatedwith counterparty non-performance.

 

The risks associated with exchange-traded contractsare typically perceived to be less than those associated with theover-the-counter transaction (non-exchange traded), because exchanges typicallyprovide clearing house arrangements in which the collective credit (which is,in some cases, limited in amount) of the members of the exchange is pledged tosupport 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.**                      FINANCIAL HIGHLIGHTS

 
| ** **                                     | ** ** | **Class A**                                          | ** ** |
|------------------------------------------------|------------|-----------------------------------------------------------|------------|
| ** **                                     | ** ** | **Three Months Ended  June 30, 2005** | ** ** | **Three Months Ended   June 30, 2004** | ** ** | **Six Months Ended  June 30, 2005** | ** ** | **March 15, 2004  (Commencement of  Operations) to June 30,  2004** | ** ** |
| **Per Partnership Unit Data:**                 | ** ** | ** **                                                | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| **Net Asset Value, Beginning of Period**       |       | $                                                         | 837.87     |   | $ | 981.02 |   | $ | 903.62 |   | $ | 1,000.00 |   |
| Net investment loss                            |       | (9.87                                                     | )          | (16.45 | ) | (20.27 | ) | (24.25 | ) |
| Decrease in equity in Index SPC                |       | (20.69                                                    | )          | (135.40 | ) | (76.04 | ) | (146.58 | ) |
| Net decrease resulting from operations         |       | (30.56                                                    | )          | (151.85 | ) | (96.31 | ) | (170.83 | ) |
|                                           |       |                                                      |       |   |   |   |   |   |   |
| Distributions to partners                      |       | —                                                    |       | — |   | — |   | — |   |
| **Net Asset Value, End of Period**             |       | $                                                         | 807.31     |   | $ | 829.17 |   | $ | 807.31 |   | $ | 829.17 |   |
|                                           |       |                                                      |       |   |   |   |   |   |   |
| **Total return**                               |       | (3.65                                                     | )%         | (15.48 | )% | (10.66 | )% | (17.08 | )% |
|                                           |       |                                                      |       |   |   |   |   |   |   |
| **Ratios to Average Net Assets (annualized):** |       |                                                      |       |   |   |   |   |   |   |
| Pre-waiver expenses                            |       | 5.09                                                      | %          | 9.27 | % | 5.05 | % | 9.71 | % |
| Waiver by General Partner                      |       | (0.13                                                     | )%         | (1.70 | )% | (0.11 | )% | (1.85 | )% |
| After-waiver expenses                          |       | 4.96                                                      | %          | 7.57 | % | 4.94 | % | 7.86 | % |
| Net investment loss                            |       | (4.96                                                     | )%         | (7.57 | )% | (4.94 | )% | (7.86 | )% |

 

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| ** **                                     | ** ** | **Class B**                                     | ** ** |
|------------------------------------------------|------------|------------------------------------------------------|------------|
| ** **                                     | ** ** | **Three Months Ended  June 30, 2005** | ** ** | **Three Months Ended  June 30, 2004** | ** ** | **Six Months Ended  June 30, 2005** | ** ** | **March 15, 2004  (Commencement of  Operations) to June 30,  2004** | ** ** |
| **Per Partnership Unit Data:**                 | ** ** | ** **                                           | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| **Net Asset Value, Beginning of Period**       |       | $                                                    | 853.25     |   | $ | 982.60 |   | $ | 915.61 |   | $ | 1,000.00 |   |
| Net investment loss                            |       | (6.00                                                | )          | (13.91 | ) | (12.29 | ) | (20.13 | ) |
| Decrease in equity in Index SPC                |       | (20.98                                               | )          | (136.90 | ) | (77.05 | ) | (148.08 | ) |
| Net decrease resulting from operations         |       | (26.98                                               | )          | (150.81 | ) | (89.34 | ) | (168.21 | ) |
|                                           |       |                                                 |       |   |   |   |   |   |   |
| Distributions to partners                      |       | —                                               |       | — |   | — |   | — |   |
| **Net Asset Value, End of Period**             |       | $                                                    | 826.27     |   | $ | 831.79 |   | $ | 826.27 |   | $ | 831.79 |   |
|                                           |       |                                                 |       |   |   |   |   |   |   |
| **Total return**                               |       | (3.16                                                | )%         | (15.35 | )% | (9.76 | )% | (16.82 | )% |
|                                           |       |                                                 |       |   |   |   |   |   |   |
| **Ratios to Average Net Assets (annualized):** |       |                                                 |       |   |   |   |   |   |   |
| Pre-waiver expenses                            |       | 3.07                                                 | %          | 7.43 | % | 3.05 | % | 7.86 | % |
| Waiver by General Partner                      |       | (0.11                                                | )%         | (0.55 | )% | (0.11 | )% | (0.49 | )% |
| After-waiver expenses                          |       | 2.96                                                 | %          | 6.88 | % | 2.94 | % | 7.37 | % |
| Net investment loss                            |       | (2.96                                                | )%         | (6.88 | )% | (2.94 | )% | (7.37 | )% |

 

Theper Unit amounts were computed using an average number of Units outstandingduring the periods.  Total returns arecalculated for each class of partners taken as a whole, based on the change infair value during the periods of net assets of each class adjusted forsubscriptions.  Individual partner’sreturn may vary from these returns based on the timing of capitaltransactions.  Net investment lossexcludes decrease in equity in the Index SPC and is the partners’ share ofexpenses.  Expenses include the partners’share of Fund management fees and other operating expenses.  The expense ratios exclude those expensescharged by the underlying investment vehicles that were recorded by****the Index SPC.

 

8.                       **SUBSEQUENT EVENTS**

 

EffectiveJuly 1, 2005, the Fund will issue Class 1 and Class 2 Unitsreplacing Class A and Class B Units, respectively.  Previously issued Class A and Class BUnits will be renamed Class 1 and Class 2 Units, respectively.

 

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

 

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

 

Afterthe expiration of twelve months following the sale of Class 1 Units, theFund will pay the selling agents selling Class 1 Units an Ongoing ServiceFee equal to 2% annually of the Net Asset Value of each Class 1 Unit soldby the selling agent.

 

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

 

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

 

**Item 2.  Management’sDiscussion and Analysis of Financial Condition and Results of Operations**

 

**Introduction**

 

The Fund is a managedfutures investment fund designed to seek returns that substantially track theIndex, before expenses of the Fund.

 

The Fund pursues itsinvestment objective by investing in the Index SPC, which currently allocatesinvestments to 14 commodity trading advisors (“Portfolio Managers”).  All of the Index SPC’s Portfolio Managersemploy systematic trading approaches that are mostly technical trend-followingin nature and are designed to collectively deliver returns broadlyrepresentative of systematic managed futures programs, and therefore do nothave specific return or volatility targets. Portfolio Managers employing technical trend-following approachesgenerally take positions based on computer-generated models to identify trades,determine the size of positions, and to control ongoing portfolio exposure tospecific markets.

 

The Standard &Poor’s Managed Futures Index Committee (the “Index Committee”) is responsiblefor overseeing the methodology, constituent selection and operations related tothe Index. Index constituents are selected based on multiple factors includingrepresentativeness of managed futures in general, the quality of the manager’strading program, the program’s risk/return profile, performance during selectedtime frames and market conditions, and the type of market instrumentsheld.  Other, less technical factors areincluded in the selection process such as trading manager reputation,experience, training, stability and quality of organization, as well as aminimum track record length (generally 3 years) and quantity of assets undermanagement.  PlusFunds Group, Inc. (“PlusFunds”)acts as investment manager of the Index SPC. The Portfolio Managers in the IndexSPC receive allocations that generally track the Index and are initiallyweighted equally on a dollar basis, and rebalanced annually in January, or asotherwise needed.

 

**Capital Resources**

 

The Fund is designed toraise additional capital only through the sale of limited partnership interestsin the Fund (the “Units”) pursuant to the continuous offering of the Unitspursuant to registration statements filed on Form S-1 with the Securitiesand Exchange Commission (the “SEC”) 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**

 

An investment in the Fundis not liquid as there is no secondary market for the Units.  The Units may be redeemed only as of the lastbusiness day of the calendar month by providing at least ten business days’prior notice.  As of July 1, 2005,Units may also be redeemed as of the 15th day of the month.  If the 15th day is not a businessday, than the redemption shall take place on the immediately

 

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following businessday.  In addition, there are alsosubstantial restrictions on the ability of the Fund to make withdrawals fromthe Index SPC that further reduces the liquidity of the Fund’s assets.

 

While the Fund does notinvest directly in futures contracts, it possesses indirect liquidity riskthrough its investment in the Index SPC as described below. Most U.S. futuresexchanges limit fluctuations in some futures and options contract prices duringa single day by regulations referred to as daily price fluctuation limits ordaily limits.  During a single tradingday, no trades may be executed at prices beyond the daily limit. Once the priceof a contract has reached the daily limit for that day, positions in thatcontract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for severalconsecutive days with little or no trading. Similar occurrences could prevent the investment manager of the Index SPCfrom promptly liquidating unfavorable positions and subject the Index SPC tosubstantial losses that could exceed the margin initially committed to thosetrades. In addition, even if futures or options prices do not move to the dailylimit, the Index SPC may not be able to execute trades at favorable prices, iflittle trading in the contracts is taking place.  Other than the limitations described above,the Index SPC’s assets are expected to be highly liquid.

 

**Off-BalanceSheet Arrangements**

 

The Fund does not have any off-balance sheetarrangements.

 

**Results of Operations**

 

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

 

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

 

**Quarter and six months ended June 30, 2005**

 

During the quarter ended June 30,2005, of the 14 managers in the Index, 6 managers had positive returns, withunderlying managers’ returns ranging from a negative 25.82% to a positive 5.84%.  During the six months ended June 30,2005, of the 14 managers in the Index, 6 managers had positive returns, withunderlying managers’ returns ranging from a negative 34.05% to a positive9.79%.

 

After posting its seventhconsecutive year of positive returns, the Index began the 1st quarter of 2005with a loss of 6.32% in January as market participants reversed theirviews on the viability of the U.S. economy and aggressively bid up the U.S.dollar versus other currencies. As background to the reversal, the U.S. dollarcollapsed after the U.S. presidential election in November 2004, with theconsensus view holding that budget deficits, trade deficits, and trade flowswould remain in poor condition for the foreseeable future thus making the U.S.economy and its currency appear less inviting as investments.  Government bonds were down slightly for theperiod ending March 31, 2005 as the long end of global yield curvessteepened in February at least partially on account of testimony beforeCongress of Alan Greenspan, Chairman of the Federal Reserve Board, regardingbusiness activity level. However, going into the end of the 1st quarter theincrease in the U.S. trade deficit, which was the second largest inhistory-helped push U.S. bond prices even lower to a level of 10930. Althoughvolatile, metals rallied through the end of the quarter, helped by a recoveryin

 

14

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copperand silver, which were approaching recent highs based on a tighter industrysupply outlook and aweakening U.S. dollar. Additionally, energy prices continued to move higherthroughout the 1st quarter of 2005 as Northeast U.S. temperatures remained coldin January and February and the prospect that Organization of thePetroleum Exporting Countries (“OPEC”) would endorse production cuts appearedmore likely.   As a result, crude oilmoved from intra-month lows near U.S. dollar $42 at the beginning of January toend March slightly over the U.S. dollar $56 level.  Mid-way through January, U.S. equity marketsled global equity indices higher on increased news of profitability, increasedmanufacturing orders, and upwardly revised Gross Domestic Products numbers forthe fourth quarter of 2004 in the U.S. However, throughout February and March, unrelenting energy pricesand lower than expected earning reports put downside pressure on the equitymarkets.

 

The second quarter of2005 continued to be a difficult period of time for the Index.  Performance of the Index improved in May andJune. This three-month period was defined by major reversals across most majorsectors especially in the energies, the metals and the equity indices. Thisperiod of time was also marked by some market sectors finding direction in May withfollow through in June, allowing for many trends to remain intact.  In April, the equity indices experienced astrong sell-off, prompted by weaker U.S. economic data and also concerns aboutthe impact of higher energy prices paired up with poor consumer demand data.Additionally, the metals sector found support as evidence of a weakening U.S.economy emerged.  The energy markets,principally crude oil, put in new highs at the start of April andexperienced a major downward correction as data showed a large increase incrude oil inventories.  May seemedto bring some stability to the performance of the Index as U.S. bond and short-terminterest rate markets were supported by stable inflation data in the U.S.Equity indices found support on the stable inflation outlook in the U.S. andEurope amid lower energy prices.  Themonth of June brought some greater stability, as the markets in generalseemed to enjoy favorable economic data, particularly from the U.S. resultingin many markets to continue to trend into the end of the month.  Equity markets remained well supported,helped by favorable global bond markets despite rising energy prices, coupledwith the U.S. dollar strength, as the U.S. economy continued showing signs ofnon-inflationary growth.  Lastly, theglobal bond markets ended the month stronger despite the intra-month sell offcaused by higher energy prices. The result of all this activity was positiveperformance for the Index of 1.86% in the month of June.

 

Based on the above marketactivity, the Index took losses in global bond and short-term interest ratesectors, with profits in the equity indices, foreign exchange and energysectors.

 

**Quarter and six months ended June 30, 2004**

 

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

 

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All asset classes in theFund were volatile during April 2004 as market participants reacted toimproving economic news coming out of the United States. The Fund had mixed butoverall negative results, with currency and financial components deterioratingas long standing trends it was profiting from reversed course on signs that theU.S. economy is improving.

 

Most of the losses camefrom the financial sector, specifically by losses in bonds, which were mainly drivenby long positions in U.S. treasuries that were hit by a 6% reversal by tradersdumping bonds in anticipation of higher interest rates. Long positions inshort-term Euro-denominated interest rate instruments also helped depress theFund’s returns. Federal Reserve Bank statements suggested the U.S. economy wasgaining traction as jobs reports were starting to show more favorable numbersand pricing power was becoming more apparent. This in turn helped fuel concernover increasing inflation pressure and the likely response by the FederalReserve Bank to increase interest rates, which made existing bond yields lookless attractive than new bond instruments issued in a higher interest rateenvironment.

 

Losses were derived fromcurrencies 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% versusthe U.S. dollar on a month-to-date basis. The U.S. dollar gained against theEuro in particular after a closely followed German Consumer Investor Reportshowed that economic growth was only going to be 1.5% this year, which wasperceived by traders as further opening the door to an interest rate cut by theEuropean Central Bank. In addition, the interest rate increases by the Bank ofEngland were perceived as having quelled inflation and signs show the U.K.economy may be cooling as well. Combining this news with bullish economicreports from the U.S. made the U.S. appear as a more favorable place to invest,and thus drove up the U.S. dollar against other currencies.

 

By examiningmacro-economic reports in May, it became apparent that market participants werereacting on almost a “day-to-day” basis, making tactical maneuvers in reactionto news reports regarding inflation, employment, and interest rate reports, aswell as commodity price changes and geopolitical events. Continuing the themeof April, economic conditions were transitioning from the deflationary effectof a global recession to a re-inflation theme that resulted from unusuallyaccommodative monetary and fiscal policy in the U.S., Europe, and Asia.Although market participants broadly agreed on the evidence of this seculartrend, there was disagreement over the timing of its effects on individualasset classes.  Following April’s sharp dropin bonds in anticipation of increasing rates, economic reports in May weresomewhat mixed, and market participants reacted by trading the “news of the day”,which resulted in bonds reversing course from a downward trajectory formed inMay. Prices reversed, however, in mid-May on various newspoints includingOPEC’s pledge to increase oil output to help restrain record-breaking oilprices which would have a deflationary effect on yields and traders rotatedback into Bonds partially in response. With respect to currencies, the majortrend coming out of April was the U.S. dollar’s turnaround as it gainedstrength from the prospect for higher interest rates that would make it moreattractive and a medium of exchange to benefit from higher yielding investmentsin the U.S. The U.S. dollar continued to gain strength until the middle of May thenfell as market participants rotated into gold as a flight-to-quality responsethat 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 thePresident of the Iraqi Governing Council on May 17 and assorted terroristattacks in Saudi Arabia, which raised more doubts on prospects for stability inthat region and additionally by the sheer frustration of market participants tofind a stable store of value during May. For the full month of May, U.S. TreasuryBonds 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 ofthese markets traded in volatile ranges for the month.

 

The Fund’s medium-termtrend following managers were hurt the most during the month as their modelsshowed strong conviction in the positions developed in April and as aresult traders added to their short bond positions and long U.S. Dollarpositions. These managers returned between -3.0% to

 

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-5.0% for the month. Incontrast, those managers engaged in long-term trend-following actually postedflat or positive returns for the month as their systems had not turned asquickly 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. Inaddition, those managers employing shorter-term pattern-recognition strategiesalso posted flat or positive returns as they benefited from volatile sidewaysmarkets 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 causedmost of the losses in May, crude oil prices displayed a forceful up-trend thathelped diminish portfolio losses during the month as a broad set of managershad positive exposure to this market.

 

Of the 14 managers in theIndex, all had negative returns for the month of June, with long-termtrend-followers as well as traders with short-term systems contributing equallyto the negative results. Building on the story from May, most major marketstraded experienced volatile sideways price activity, whereby markets displayeda general lack of directional activity on a full month basis but developedjagged patterns on a daily and weekly basis. Although it is rare for so manymarkets to fall into this pattern simultaneously, we should note the unusualcircumstances market participants encountered as they digested the full rangeof questions relating to interest rate changes, geo-political events, economicgrowth, and inflation, to name only a few. Trend followers were again caught onthe defensive because they had to balance the need to liquidate positions andshield themselves from temporary losses against the probability that a shortterm directional move in a given market will indeed turn into a profitabletrend.

 

The geo-political and economicenvironment in June did not provide substantial reasons for trending inmany markets and as a result, strategies relying on momentum to generate alpha,such as Trend following, had a difficult time. Specific to the sectors tradedin the Fund, losses were incurred primarily in energy markets where substantialpositions were built up as crude oil trended higher over the last year, butdramatically reversed in June, falling from $42/barrel at the beginning of themonth to $35/barrel by month-end on news of increased OPEC production. In bondmarkets, European- and U.S.-based markets declined through the first 2 weeks ofthe month attracting additional short positions from the fund’s traders, onlyto reverse course mid month with nearly a 3 point move higher in the U.S. 10-YearNotes, for example, as market participants reacted to labor market news in theU.S. and speculation on the magnitude of the NY Federal Reserve Bank’s changein interest rate targets. Losses were also incurred in currency markets wherethe U.S. dollar staged a 1-month run-up against the Euro and British Pound butdid so with extreme intra-day volatility where moves approaching 2-points inthe Euro were common on a daily basis. In reaction to these adverse moves,traders were proactive in reducing exposure in losing areas. In energy, forexample, exposure was reduced by about 40% since June 1 as a result ofdeteriorating market activity. In short Yen positions, where a large portion ofcurrency losses occurred, positions were cut by 50% as risk managementprotocols were activated.

 

In contrast to thesemarkets, gains from short positions in interest rates helped to offset losseselsewhere as these markets are providing one of the few quality trending areasfrom which to profit. Smaller gains were also drawn from cotton, cattle, andwheat futures and to a lesser extent in frozen orange juice and cocoa markets,as trends developed based on supply/demand imbalances and weather-based data.

 

**Critical Accounting Policies -Valuation of the Index SPC’s positions**

 

TheGeneral Partner believes that the accounting policies that will be mostcritical to the Fund’s financial condition and results of operations relate tothe valuation of the Index SPC’s investment positions. The majority of the IndexSPC’s investment positions will be exchange-traded futures contracts, whichwill be valued daily at settlement prices published by the exchanges. The IndexSPC’s spot and forward foreign currency contracts will also be valued atpublished daily settlement prices or at dealers’ quotes. Swap contractsgenerally will be valued by reference to published

 

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settlementprices or dealers’ quotes in related markets or other measures of fair valuedeemed appropriate by the General Partner. The General Partner does not believethat the Index SPC will trade swaps to a significant degree. Thus, the GeneralPartner expects that under normal circumstances substantially all of the Index SPC’sassets, and as a result the Fund’s assets, will be valued by objective measuresand on a timely basis.

 

**The Fund**

 

The Fund commencedtrading on March 15, 2004 and has limited performance history.  “Standard & Poor’s®” and “S&PManaged Futures Index” are trademarks of The McGraw-Hill Companies, Inc.and have been licensed for use by RFH and PlusFunds. The Fund is not sponsored,endorsed, sold or promoted by Standard & Poor’s and Standard &Poor’s makes no recommendation concerning the advisability of investing in theFund.

 

**Item 3.  Quantitative and Qualitative Disclosures AboutMarket Risk**

 

**Introduction**

 

The Fund does not controlthe Index SPC, PlusFunds or any Portfolio Manager, and has no role in thechoice of Portfolio Managers, any Portfolio Manager’s choice of investments orany other investment decisions of the Index 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 Index SPC will remain available for investment bythe Fund.

 

The Fund is dependent onPlusFunds and the Index SPC’s independent administrator to provide it withperiodic reports and other information. The Fund may not be provided with detailed information regarding theprecise investments made by a Portfolio Manager because some of this informationmay be considered proprietary and otherwise confidential.  This lack of access to information may makeit more difficult for the Fund to evaluate the Index SPC and the PortfolioManagers and to make a judgment regarding the fair value of the assets of theFund.

 

The Fund is designed toinvest in the Index SPC, a speculative commodity pool.  The marketsensitive 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.

 

Market movements resultin frequent changes in the fair market value of the Index SPC’s open positionsand, consequently, in its earnings and cash flow. The Index SPC’s market riskis influenced by a wide variety of factors, including the level and volatilityof exchange rates, interest rates, equity price levels, the market value offinancial instruments and contracts, market prices for base and preciousmetals, energy complexes and other commodities, the diversification effectsamong the Index SPC’s open positions and the liquidity of the markets in whichit trades.

 

Frequently, the Index SPCrapidly acquires and liquidates both long and short positions in a wide rangeof different markets. Consequently, it is not possible to predict how aparticular future market scenario will affect performance. The Index SPC’scurrent trading advisors all employ trend-following strategies that rely onsustained movements in price. Erratic, choppy, sideways trading markets andsharp reversals in movements can materially and adversely affect the Index SPC’sperformance results. The Index SPC’s past performance is not necessarilyindicative of its future results.

 

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**Quantitative Market Risk**

 

Thefollowing quantitative disclosures regarding the Fund’s exposure to market riskcontain “forward-looking statements” within the meaning of the safe harbor fromcivil liability provided for in the Private Securities Litigation Reform Act of1995 (as set forth in Section 27A of the Securities Act of 1993, asamended, and Section 21E of the Securities Exchange Act of 1934, asamended).  All quantitative disclosuresin this section are deemed to be forward-looking statements for purposesof the safe harbor, except for any statement of historical fact.

 

TheFund’s approximate risk exposure in the various market sectors traded by itstrading advisors is quantified below in terms of value at risk.  Value at risk is a quantitative techniqueused to estimate the likelihood that a portfolio’s losses will exceed a certainamount over a given time frame and is alternately expressed in percentage orcurrency terms.  The results of thistechnique should be viewed as estimations because future results will differfrom predicted values due to changing market conditions that cannot beforecasted with complete accuracy.

 

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

 

The following tableindicates the value at risk associated with the Index SPC’s open positions bymarket category as of June 30, 2005. As of June 30, 2005, the Fund’s Net Assets were $47,929,930.  The results below illustrate the estimatedvalue at risk over a 10-business day period at a 99% level of confidence.  Value at Risk is expressed in U.S. dollarsand VaR% is expressed as a percentage of Fund Net Assets.

 

**Asof June 30, 2005**

 
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **VaR (%)** | ** ** |
|-------------------|------------|-------------------|------------|-------------|------------|
| ** **        | ** ** | ** **        | ** ** | ** **  | ** ** |
| Interest  Rate    |       | $                 | 3,899,872  |        | 8.36       | % |
| Equity Index      |       | 55,331            |       | 0.12        | %          |
| Currency          |       | (226,341          | )          | (0.49       | )%         |
| Raw  Commodity    |       | 178,062           |       | 0.38        | %          |
| **TOTAL**         |       | $                 | 3,906,924  |        | 8.37       | % |

 

**Asof December 31, 2004**

 
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **VaR (%)** | ** ** |
|-------------------|------------|-------------------|------------|-------------|------------|
|              |       |              |       |        |       |
| Interest  Rate    |       | $                 | 986,441    |        | 2.31       | % |
| Equity Index      |       | 877,821           |       | 2.05        | %          |
| Currency          |       | 1,181,512         |       | 2.77        | %          |
| Raw  Commodity    |       | 423,394           |       | 0.99        | %          |
| **TOTAL**         |       | $                 | 3,469,168  |        | 8.12       | % |

 

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**Qualitative Market Risk**

 

***Trading Risk***

 

Thefollowing qualitative disclosures regarding the Fund’s exposure to market riskcontain “forward-looking statements” within the meaning of the safe harbor fromcivil liability provided for in the Private Securities Litigation Reform Act of1995 (as set forth in Section 27A of the Securities Act of 1993, asamended, and Section 21E of the Securities Exchange Act of 1934, asamended).  All qualitative disclosures inthis section are deemed to be forward-looking statements for purposes ofthe safe harbor, except for any statement of historical fact and thedescriptions of how the Fund manages its primary market risk exposures.

 

The Fund investssubstantially all of its assets into the Index SPC.  The following are guidelines to the primarytrading risk exposures of the Index SPC by market sector.

 

*Interest Rates*

 

Interest rate risk is oneof the principal market exposures of the Index 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 other G-7countries.  However, the Index SPC alsotakes futures positions on the government debt of smaller nations.

 

*Currencies*

 

Exchange rate risk is asignificant market exposure of the Index SPC. The Index SPC’s currency exposureis to exchange rate fluctuations, primarily fluctuations that disrupt thehistorical 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 currencies, including cross-rates, which are positions between twocurrencies other than the U.S. dollar.

 

*Energy*

 

The Index SPC also hasenergy market exposure to gas and oil price movements, which often haveshort-term volatility swings resulting from political developments in theMiddle East and in the long-term are subject to the forces of global supply anddemand.

 

*Stock Indices*

 

The Index SPC’s primaryequity exposure is to equity price risk in the G-7 countries as well as othersmaller jurisdictions.  The Index SPC isprimarily exposed to the risk of adverse price trends or static markets in themajor indices of the United States, Europe and Japan.

 

*Metals*

 

The Index SPC’s metalsmarket 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 havean associated currency or interest rate risk associated with them relative totheir 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.

 

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*Agricultural*

 

The Index SPC may alsoinvest in raw commodities and will thus have exposure to agricultural pricemovements, which are often directly affected by severe or unexpected weatherconditions or by political events in countries that comprise significantsources of commodity supply.

 

*Other Trading Risks*

 

As a result of leverage,small changes in the price of the Portfolio Managers’ positions may result insubstantial losses to the Fund. 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.

 

The Portfolio Managers’trading will be subject to execution risks. Market conditions may make it impossible for the Portfolio Managers toexecute a buy or sell order at the desired price, or to close out an openposition.  Daily price fluctuation limitsare established by the exchanges and approved by the Commodities FuturesTrading Commission (the “CFTC”). When the market price of a contract reachesits daily price fluctuation limit, no trades can be executed at prices outsidethe limit. The holder of a contract may therefore be locked into an adverseprice movement for several days or more and lose considerably more than theinitial margin put up to establish the position. Thinly traded or illiquidmarkets also can make it difficult or impossible to execute trades.

 

***Non-Trading RiskExposure***

 

The Fund must rely on theIndex SPC when calculating net asset value. The net asset values received by the Fund from the Index SPC may besubject to revision through monthly financial reports of the Index SPC.  As a result, revisions to the Fund’s gain andloss calculations may occur.  Anyrevisions not deemed material in the sole discretion of the General Partnerwill not result in an adjustment to prior subscription or redemption prices forthe Fund.  Moreover, in some cases, theFund will have little ability to assess the accuracy of the valuations of itsinvestment in the Index SPC that are received from PlusFunds or from the Index SPCor its administrator.  There are nomarket quotations available to use in valuing the Fund’s investments in theIndex SPC.  As a result, theseinvestments will be valued at their fair values as determined in accordancewith 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 Index SPC.  These inaccuracies may adversely affect theFund or investors who purchase or redeem Units.

 

The Fund’s ability to trackthe Index is dependent upon PlusFunds’ ability to make the requisiteallocations to all of the Portfolio Managers that are included in theIndex.  To the extent that PlusFunds isnot able to make an allocation to a Portfolio Manager, the performance of theFund will not track the performance of the Index, before fees of the Fund.

 

The Fund investssubstantially all of its assets in the Index SPC and is subject to the risks ofthe Index SPC as follows:

 

The Index SPC is subjectto counterparty risks.  If the Index SPC’s clearingbroker becomes bankrupt or insolvent, or otherwise default on its obligationsto the Index SPC, the Index SPC may not receive all amounts owed to it inrespect to its trading, despite the clearinghouse fully discharging all of itsobligations.  Furthermore, in the eventof the bankruptcy of the clearing broker, the Index SPC could be limited torecovering only a pro rata share of all available funds

 

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segregated on behalf ofthe clearing broker’s combined customer accounts, even though propertyspecifically traceable to the Index SPC (for example, Treasury bills depositedby the Index SPC with the clearing broker as margin) was held by the clearingbroker.  In addition, some of theinstruments which the Index SPC may trade are traded in markets such as foreignexchanges or forward contract markets in which performance is theresponsibility only of the individual counterparty with whom the trader hasentered into a contract and not of an exchange or clearing corporation.  The Index SPC will be subject to the risk ofthe inability or refusal to perform on the part of the counterparties with whomthose types of contracts are traded. There are no limitations on the amount of allocated assets a PortfolioManager can trade on foreign exchanges or in forward contracts.

 

The Index SPC’s positionsare subject to speculative limits.  The CFTC anddomestic exchanges have established speculative position limits on the maximumfutures position which any person, or group of persons acting in concert, mayhold or control in particular futures contracts or options on futures contractstraded on U.S. commodity exchanges. Under current regulations, other accounts of the Portfolio Managers arecombined with the positions held by the Index SPC for position limit purposes.  This trading could preclude additionaltrading in these commodities by the Portfolio Managers for the account of the IndexSPC.

 

Systematic strategies donot consider fundamental types of data and do not have the benefit ofdiscretionary decision making.   Most of the IndexSPC’s assets will be allocated to Portfolio Managers that rely on technical,systematic strategies that do not take into account factors external to themarket itself (although certain of these strategies may have minordiscretionary 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 prices thata discretionary decision maker may take into account may cause major losses fora systematic strategy.  For example, apending political or economic event may be very likely to cause a major pricemovement, but a systematic strategy may continue to maintain positionsindicated by its trading method that might incur major losses if the eventproved to be adverse.

 

***Managing Risk Exposure***

 

The Index Committee ischarged with overseeing the methodology and operations of the Index and hasprimary responsibility for the Index’s strategy classifications, compositionand methodology.  Implicit to the Index SPC’sconstruction is consideration of the quality and effectiveness of riskawareness and volatility monitoring on the part of the commodity tradingadvisors selected for membership in the Index. In addition, numerical analysis of each Portfolio Manager’s historicalreturns with respect to performance in aggregate as well as in discrete periodsof various market cycles is made as part of the due diligence process forconsideration of membership in the Index.

 

PlusFunds, the investment manager of the IndexSPC and the sub-investment manager of the Fund, is a Delaware corporationorganized on March 25, 2002.  It hasbeen 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 amember of the National Futures Association. PlusFunds monitors the day-to-day performance of the Index SPC’sunderlying CTAs on a T+1 basis using daily pricing information verified byindependent sources.  PlusFunds screensmanagers for potential anomalies, such as excessive leverage, abnormal changesin positions, transaction mis-pricing, fraudulent behavior as

 

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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 and Procedures**

 

The General Partner ofthe Fund 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 June 30, 2005, 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.

 

There were no changes inour internal controls over financial reporting during the quarter ended June 30,2005, that have materially affected, or are reasonably likely to materiallyaffect, our internal controls over financial reporting.

 

Any control system, nomatter how well designed and operated, can provide only reasonable (notabsolute) 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**

 

**Item2.  Unregistered Sales of EquitySecurities and Use of Proceeds**

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

 

Class A Units sold through6/30/05:  51,339.102

Class A Units unsold through6/30/05:  548,660.898

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

 

Class B Units sold through6/30/05: 13,387.358

Class B Units unsold through6/30/05: 86,612.642

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

 

Units are continuously sold atmonthly closings at a purchase price equal to 100% of the net asset value perUnit as of the close of business on the last day of each month.  100% of the proceeds of the offerings havebeen applied to the working capital of the Fund for use in accordance with the“Use of Proceeds” section of the relevant prospectus included as a part of theabove referenced registration statements.

 

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

 

The managing underwriter forthe Fund is Refco Securities, LLC.

 

**Item 6.  Exhibits.**

 
| **Exhibits** |
|--------------|
|         |   |
| **3.1**      | **Certificate of Limited Partnership of the Registrant, filed  as Exhibit 3.1 to the Registrant’s Registration Statement on Form S-1  (File No. 333-107357) as filed on July 25, 2003 (File No. 333-107357),  and incorporated herein by reference.** |
| ** **   | ** ** |
| **3.2**      | **Amended and Restated Limited Partnership Agreement, filed  as Exhibit A to the Registrant’s Rule 424(b) Prospectus as  filed on July 5, 2005, and incorporated herein by reference.** |
| ** **   | ** ** |
| **31.1**     | **Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) under  the Securities Exchange Act of 1934.** |
|         |   |
| **31.2**     | **Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) under  the Securities Exchange Act of 1934.** |
|         |   |
| **32.1**     | **Certification Pursuant to 18 U.S.C. Section 1350, As  Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.** |

 

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**SIGNATURES**

 

Pursuant to the requirements of the SecuritiesExchange Act of 1934, the Registrant has duly caused this report to be signedon its behalf by the undersigned thereunto duly authorized.

 
|                              | S&P  Managed Futures Index Fund, LP |
|-----------------------------------|-----------------------------------------|
|                              | LIMITED  PARTNERSHIP                    |
|                              |                                    |
|                              |                                    |
| Date:   August 15, 2005 | by:                                     | RefcoFund  Holdings, LLC |
|                              | its  general partner                    |
|                              |                                    |   |
|                              | By:                                     | /s/  Richard C. Butt |   |
|                              |                                    | Richard C. Butt |
|                              |                                    | President |
|                              |                                    | (principal  executive officer) |
|                              |                                    |   |
|                              | By:                                     | /s/  Philip Silverman |   |
|                              |                                    | Philip  Silverman |
|                              |                                    | Secretary |
|                              |                                    | (principal  financial and accounting officer) |
|                                   |                                         |  |  |  |  |

 

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