UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549

~~SECURITIES~~FORM 8 - ~~AND EXCHANGE COMMISSION~~K

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report (Date of earliest event reported): June 8, 2006

Date of Report (Date of earliest event reported): June 1, 2006

S&P Managed Futures Index Fund, LP

(Exact name of registrant as specified in its charter)

Delaware	000-50565	90-0080448
(State or other	(Commission	(IRS Employer
(State or other jurisdiction	(Commission	(IRS Employer
jurisdiction	File Number)	Identification
of incorporation)	File Number)	Identification Number)
of incorporation)		Number)

c/o ~~RefcoFund~~ RefcoFund Holdings, LLC One World Financial Center

~~One World~~200 ~~Financial~~Liberty ~~Center~~Street — Tower A

200 Liberty Street – Tower A

New York, New York 10281

(Address of principal executive offices)

(212) 693-7000

(Registrant’s telephone number, including area code)

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

o Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) o Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a- 12) o Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) o Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

oItem ~~Soliciting~~5.02. ~~material~~Departure ~~pursuant~~of toDirectors ~~Rule~~or ~~14a-12~~Principal ~~under~~Officers; ~~the~~Election ~~Exchange~~of ~~Act~~Directors; ~~(17~~Appointment ~~CFR~~of ~~240.14a-~~Principal ~~12)~~Officers.

o(b) Effective ~~Pre-commencement~~June 9, ~~communications~~2006, ~~pursuant~~Mr. Eric Simonsen toresigned as Chief Financial Officer of RefcoFund Holdings, LLC, the ~~Rule~~general ~~14d-2~~partner (bthe “General Partner”) ~~under~~of the ~~Exchange~~S&P ~~Act~~Managed ~~(17~~Futures ~~CFR~~Index Fund, ~~240.14d-2~~LP (b“the Fund”)).

o(d) Effective ~~Pre~~June 9, 2006, Mr. Robert Shapiro, age 56, was appointed as Chief Financial Officer of the General Partner. From 2005-~~commencement~~2006, ~~communications~~Mr. Shapiro ~~pursuant~~was toemployed as Chief Investment Officer of ~~Rule~~National ~~13e~~Investment Managers Inc. Previously, Mr. Shapiro served as Executive Vice President of American Benefit Resources Inc. (2001-42005) and President of ABR Advisors, Inc. (c2002-2005). ~~under~~Mr. Shapiro is not involved in any related party transactions with the ~~Exchange~~General ~~Act~~Partner ~~(17~~or ~~CFR~~any of ~~240~~its affiliates and is not related in any way to any officer, employee or director of the General Partner or any of its affiliates.~~13e-4(c))~~

Item 8.01. Other Events.

Current Status of Fund Operations.

AtThe ~~this time the~~ hearing ~~date~~ on the proposed settlement of the ~~action~~adversary proceeding (the “Adversary Proceeding”) brought by the Official Committee of Unsecured Creditors of Refco, Inc. (the “Committee”) to avoid ~~and~~ and recover approximately $312 million from the SPhinX Managed Futures Fund ~~SPC~~ SPC (the “SPhinX Fund”) ~~has~~occurred ~~been~~on ~~adjourned to~~ June 8, 2006~~, and the deadline to object has been extended until June 1, 2006~~. ~~Under~~The ~~the terms of the current draft of the settlement, the SPhinX Fund and its related entities will transfer approximately $263 million (the “Proposed Settlement Amount”) back to the Refco~~ bankruptcy ~~estates and the SPhinX Fund will waive any and all claims it has~~court ~~against~~approved ~~Refco, Inc. (“Refco”) and its affiliates with respect to~~ the ~~Proposed Settlement~~proposed ~~Amount~~settlement ~~and~~at the ~~original transfer of approximately $312 million from Refco Capital Markets, Ltd~~hearing. ~~(“RCM”)~~The tosubstantive ~~the SPhinX Fund (the “Transfer”).~~economic ~~Although~~provisions ~~PlusFunds Group, Inc., the investment manager~~ of the ~~SPhinX Fund, estimates that approximately $46 million will be available to the SPhinX Fund for distribution to investors, if the~~ settlement is approved, the SPhinX Fund will be precluded from ever making any claim against either Refco or RCM for the Proposed Settlement Amount or the Transfer. The Fund has filed an objection to the proposed settlement.include:

21. The SPhinX Fund and its related entities will transfer approximately $263 million (the “Settlement Amount”) back to Refco Capital Markets, Ltd. (“RCM”); and

2. The SPhinX Fund will waive any and all claims against Refco, Inc. and RCM with respect to the Settlement Amount and the original transfer of approximately $312 million from RCM to the SPhinX Fund.

Due to the settlement referred to above, the value of the Fund’s investment in the SPhinX Fund is expected to be reduced by approximately 80%. Thus the net asset value of the partnership interests in the Fund are expected to be reduced by approximately the same amount. While neither the SPhinX Fund nor PlusFunds Group Inc., its investment manager, have so informed the Fund, the Fund understands that once the temporary restraining order issued in the Adversary Proceeding is lifted by the bankruptcy court, the redemptions proceeds related to the Fund’s investment in the SPhinX Fund will be released to the Fund. Once proceeds are received from the SPhinX Fund, the current net asset value of the Fund will be calculated and the Fund will commence the process of honoring previously submitted redemptions at the then current net asset value.

In addition to the above, the Fund retained the law firm of Stevens & Lee to file an objection to the proposed settlement. Stevens & Lee filed an objection to the proposed

settlement which was heard by the bankruptcy court on June 8, 2006. At this time, Stevens & Lee will not provide any additional services to the Fund.

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	S&P Managed Futures Index Fund, LP
		S&P Managed Futures Index Fund, LP By: RefcoFund Holdings, LLC, as General Partner
	By: RefcoFund Holdings, LLC,
		(Registrant)
	as General Partner
		By:	/s/ Richard C. Butt
	(Registrant)
Date: June 12, 2006		Name: Richard C. Butt
	By:	/s/ Richard C. Butt
		Title: President and Manager
	Name: Richard C. Butt
Date: June 1, 2006	Title: President and Manager

Filing Compare · Refco Public Commodity Pool, L.P.