<Page>

        As filed with the Securities Exchange Commission on July 25, 2003
                                               REGISTRATION NO. ____ - _________
================================================================================

                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                                   ----------
                                    FORM S-1
                             REGISTRATION STATEMENT
                                      UNDER
                           THE SECURITIES ACT OF 1933
                                   ----------
                       S&P MANAGED FUTURES INDEX FUND, LP
             (Exact name of registrant as specified in its charter)

       DELAWARE                        6799                    90-0080448
(State of Organization)   (Primary Standard Industrial      (I.R.S. Employer
                              Classification Number)      Identification Number)

                                  DENNIS KLEJNA
                           C/O REFCOFUND HOLDINGS, LLC
                           550 W. JACKSON, SUITE 1300
                             CHICAGO, ILLINOIS 60661
                                 (312) 788-2000
          (Address, including zip code, and telephone number, including
             area code, of registrant's principal executive offices)

                                  DENNIS KLEJNA
                       S&P MANAGED FUTURES INDEX FUND, LP
                             REFCOFUND HOLDINGS, LLC
                           550 W. JACKSON, SUITE 1300
                             CHICAGO, ILLINOIS 60661
                                 (312) 788-2000
            (Name, address, including zip code, and telephone number,
                   including area code, of agent for service)

                                   ----------

                                   COPIES TO:
                                Joseph P. Collins
                                  Peter Schultz
                          Mayer, Brown, Rowe & Maw LLP
                            190 South LaSalle Street
                             Chicago, Illinois 60603

                                   ----------

        APPROXIMATE DATE OF COMMENCEMENT OF PROPOSED SALE TO THE PUBLIC:
AS SOON AS PRACTICABLE AFTER THE EFFECTIVE DATE OF THIS REGISTRATION STATEMENT.

If any of the securities being registered on this Form are to be offered on a
delayed or continuous basis pursuant to Rule 415 under the Securities Act of
1933, check the following box. /X/

If this Form is filed to register additional securities for an offering pursuant
to Rule 462(b) under the Securities Act, check the following box and list the
Securities Act registration number of the earlier effective registration
statement for the same offering. / /

If this form is a post-effective amendment filed pursuant to Rule 462(c) under
the Securities Act, check the following box and list the Securities Act
registration number of the earlier effective registration statement for the same
offering. / /

If this Form is a post-effective amendment filed pursuant to Rule 462(d) under
the Securities Act, check the following box and list the Securities Act
registration statement number of the earlier effective registration statement
for the same offering. / /

If delivery of the prospectus is expected to be made pursuant to Rule 434,
please check the following box. / /

                         CALCULATION OF REGISTRATION FEE

<Table>
<Caption>
TITLE OF EACH CLASS OF                            PROPOSED                                             AMOUNT OF
   SECURITIES BEING        AMOUNT BEING       MAXIMUM OFFERING       PROPOSED MAXIMUM AGGREGATE      REGISTRATION
      REGISTERED            REGISTERED         PRICE PER UNIT            OFFERING PRICE(1)               FEE
--------------------------------------------------------------------------------------------------------------------
 <S>                       <C>                <C>                         <C>                        <C>
   Units of limited
 partnership interest      100,000 units      $ 1,000 per unit            $  100,000,000             $ 8,090.00
</Table>

(1) Calculated pursuant to Rule 457(o)

THE REGISTRANT HEREBY AMENDS THIS REGISTRATION STATEMENT ON SUCH DATE OR DATES
AS MAY BE NECESSARY TO DELAY ITS EFFECTIVE DATE UNTIL THE REGISTRANT SHALL FILE
A FURTHER AMENDMENT THAT SPECIFICALLY STATES THAT THIS REGISTRATION STATEMENT
SHALL THEREAFTER BECOME EFFECTIVE IN ACCORDANCE WITH SECTION 8(a) OF THE
SECURITIES ACT OF 1933 OR UNTIL THIS REGISTRATION STATEMENT SHALL BECOME
EFFECTIVE ON SUCH DATE AS THE COMMISSION, ACTING PURSUANT TO SAID SECTION 8(a),
MAY DETERMINE.

================================================================================

<Page>

THE INFORMATION IN THIS PROSPECTUS AND DISCLOSURE DOCUMENT IS NOT COMPLETE AND
MAY BE CHANGED. WE MAY NOT SELL THESE SECURITIES UNTIL THE REGISTRATION
STATEMENT FILED WITH THE SECURITIES AND EXCHANGE COMMISSION IS EFFECTIVE. THE
PROSPECTUS AND DISCLOSURE STATEMENT IS NOT AN OFFER TO SELL THESE SECURITIES AND
IT IS NOT SOLICITING AN OFFER TO BUY THESE SECURITIES IN ANY STATE WHERE THE
OFFER OR SALE IS NOT PERMITTED.

                    SUBJECT TO COMPLETION DATED JULY 25, 2003
                         PART ONE -- DISCLOSURE DOCUMENT
                       S&P MANAGED FUTURES INDEX FUND, LP
                                  $100,000,000
                      UNITS OF LIMITED PARTNERSHIP INTEREST

<Table>
<S>                                <C>                                          <C>
THE FUND                           THE GENERAL PARTNER                          THE OFFERING

S&P Managed Futures Index          RefcoFund Holdings, LLC, a registered        Refco Securities, LLC and
Fund, LP is a Delaware limited     commodity pool operator and commodity        additional selling agents are
partnership designed to seek       trading advisor, is the general partner      offering the Fund's Units at
investment returns that            of the Fund.                                 $1,000 per Unit for an initial
substantially track the                                                         offering period ending 60
Standard & Poor's Managed          THE INDEX                                    calendar days after the date
Futures Index, before expenses                                                  of this prospectus (subject to
of the Fund.                       The Index is designed to offer an            earlier termination or an
                                   investable benchmark that is                 extension for an additional 60
An investment in the Fund may      representative of the managed futures        calendar days). After the
provide valuable                   segment of hedge fund investing. The         initial offering period, Units
diversification to a               Index focuses on systematic,                 will be continuously offered
traditional portfolio of           trend-following trading methodologies        for sale as of the first
stocks and bonds.                  that constitute the significant majority     business day of each month at
                                   of managed futures investment                their net asset value.
                                   strategies.
                                                                                There is no scheduled
                                                                                termination date for the
                                                                                offering of Units.

                                                                                The minimum initial investment
                                                                                is $10,000; $3,000 for an
                                                                                individual retirement account;
                                                                                and $2,500 for existing
                                                                                limited partners.
</Table>

THE RISKS

These are speculative securities. Read this entire prospectus before you decide
to invest. See "The Risks You Face" beginning on page 7.

<Table>
<S>                                <C>                                          <C>
The Fund is speculative. You       The Fund is subject to substantial           Although the Fund seeks to
may lose all or substantially      charges. You will sustain losses if the      track the performance of the
all of your investment in the      Fund is unable to generate sufficient        Index, various factors,
Fund.                              trading profits to offset its fees and       including expenses, will cause
                                   expenses.                                    a deviation between the Fund's
                                                                                performance and the
                                                                                Index's performance.
</Table>

<Page>

<Table>
<S>                                <C>                                          <C>
The Fund is newly formed and       The Units are not a liquid investment.       The Fund is subject to various
has no performance history.        No secondary market exists for the           conflicts of interests as
The Index has a very limited       Units. You may only redeem Units at the      further described herein,
actual performance history.        end of each month. A redemption fee          including those related to the
The past performance of the        applies if you redeem Units within 12        following: (1) the general
Index is not necessarily           months of their original purchase. There     partner, the selling agent and
indicative of future results.      are substantial restrictions on the          the clearing broker for the
                                   ability of the Fund to make withdrawals      Index are affiliated; and (2)
                                   from the Index SPC that further reduces      your selling agent will receive
                                   the liquidity of the Fund.                   upfront and ongoing compensation
                                                                                in connection with your investment
                                                                                in the Fund.

You will be taxed on your          The market prices of commodity interest
share of the Fund's income,        contracts fluctuate rapidly. In
even though the Fund does not      addition, commodity interest contracts
intend to make any                 are typically traded on margin. This
distributions.                     means that a small amount of capital can
                                   be used to invest in contracts of much
                                   greater total value. The resulting
                                   leverage magnifies the impact of both
                                   profit and loss.
</Table>

                                    ---------

     TO PURCHASE UNITS, YOU WILL BE REQUIRED TO REPRESENT AND WARRANT, AMONG
OTHER THINGS, THAT YOU HAVE RECEIVED A COPY OF THIS PROSPECTUS AND THAT YOU
SATISFY THE MINIMUM NET WORTH AND INCOME STANDARDS FOR A RESIDENT OF YOUR STATE
TO INVEST IN THE FUND.

                                    ---------

     THIS PROSPECTUS IS IN TWO PARTS: A DISCLOSURE DOCUMENT AND A STATEMENT OF
ADDITIONAL INFORMATION. THESE PARTS ARE BOUND TOGETHER AND BOTH CONTAIN
IMPORTANT INFORMATION.

                                    ---------

     YOUR ARE ENCOURAGED TO DISCUSS YOUR INVESTMENT DECISION WITH YOUR
FINANCIAL, TAX AND LEGAL ADVISORS.

                                    ---------

     NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED OF THESE SECURITIES OR PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A
CRIMINAL OFFENSE.


<Page>

     THE FUND IS NOT A MUTUAL FUND REGISTERED UNDER THE INVESTMENT COMPANY ACT
OF 1940, AS AMENDED.

                                    ---------

     THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF
PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED UPON THE ADEQUACY OR
ACCURACY OF THIS DISCLOSURE DOCUMENT.

                                    ---------

        REFCO SECURITIES, LLC                     REFCOFUND HOLDINGS, LLC
            SELLING AGENT                             GENERAL PARTNER

                  The date of this prospectus is ______, 2003.


<Page>

                            COMMODITY FUTURES TRADING
                                   COMMISSION
                            RISK DISCLOSURE STATEMENT

     YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU
TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT
FUTURES AND OPTIONS TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS.
SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND
CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS
ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE
POOL.

     FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR
MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS
THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID
DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A
COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGES 31 TO 34
AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO
RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 5.

     THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS
NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE,
BEFORE YOU DECIDE TO PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY
STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK
FACTORS OF THIS INVESTMENT, AT PAGES 7 TO 14.

     YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES
OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES,
INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO
REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS
PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO
COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN
NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.

                                    ---------
                PLEASE SEE THE IMPORTANT PRIVACY POLICY STATEMENT
                              BEGINNING ON PAGE 50.

                                    ---------
     THIS PROSPECTUS DOES NOT INCLUDE ALL OF THE INFORMATION OR EXHIBITS IN THE
FUND'S REGISTRATION STATEMENT. YOU CAN READ AND

                                       i
<Page>

COPY THE ENTIRE REGISTRATION STATEMENT AT THE PUBLIC REFERENCE FACILITIES
MAINTAINED BY THE SEC IN WASHINGTON, D.C.

     THE FUND WILL FILE QUARTERLY AND ANNUAL REPORTS WITH THE SEC. YOU CAN READ
AND COPY THESE REPORTS AT THE SEC PUBLIC REFERENCE FACILITIES IN WASHINGTON,
D.C. AT 450 FIFTH STREET, N.W., ROOM 1024, WASHINGTON, D.C. 20549. PLEASE CALL
THE SEC AT 1-202-942-8090 FOR FURTHER INFORMATION.

     THE FUND'S FILINGS WILL BE POSTED ON THE SEC WEBSITE AT http://www.sec.gov.

     UNTIL ___________ 2003, ALL DEALERS THAT EFFECT TRANSACTIONS IN THE UNITS,
WHETHER OR NOT PARTICIPATING IN THIS OFFERING, MAY BE REQUIRED TO DELIVER A
PROSPECTUS. THIS IS IN ADDITION TO THE DEALERS' OBLIGATIONS TO DELIVER A
PROSPECTUS WHEN ACTING AS UNDERWRITERS AND WITH RESPECT TO THEIR UNSOLD
ALLOTMENTS OR SUBSCRIPTIONS.

                                       ii
<Page>

                       S&P MANAGED FUTURES INDEX FUND, LP
                              ORGANIZATIONAL CHART

[CHART]

     Some of the entities indicated in this organizational chart are related.
See "Conflicts of Interest" beginning on page 36. No loans have been, are or
will be made between the general partner and the Fund. Descriptions of the
dealings between the general partner and the Fund are set forth under "Charges"
beginning on page 31.

                                      iii
<Page>

                                TABLE OF CONTENTS

<Table>
<Caption>
                                                                                      PAGE
<S>                                                                                      <C>
PART ONE -- DISCLOSURE DOCUMENT

Summary                                                                                  1
     The Fund and the General Partner                                                    1
     The Index                                                                           1
     Use of Proceeds                                                                     2
     The Offering                                                                        2
     Is the Fund a Suitable Investment for You?                                          3
     Major Risks of the Fund                                                             3
     Redemptions                                                                         4
     Breakeven Table                                                                     4
     Federal Income Tax Aspects                                                          6
     The Futures and Forward Markets; Spot and Swap Contracts                            6
The Risks You Face                                                                       7
     You Could Lose Your Entire Investment in the Fund                                   7
     The Fund Has No Operating History; Past Performance Is Not Indicative of
          Future Performance                                                             7
     The Fund is Subject to Substantial Fees and Expenses                                7
     An Investment in the Fund Is Not Liquid                                             8
     The Fund Will Not Precisely Track the Index                                         8
     Risks Related to Managed Futures Trading                                            8
          The Index SPC will be Subject to Market Fluctuations                           8
          As a Result of Leverage, Small Changes in the  Price of the Portfolio
               Managers' Positions May Result in Substantial Losses                      8
          The Portfolio Managers' Trading Will Be Subject to Execution Risks             8
          The Index SPC will be Subject to Counterparty Risks                            9
          The Index SPC's Positions Will Be Subject to Speculative Limits                9
          Trading On Foreign Exchanges Presents Greater Risk Than Trading On
               U.S. Exchanges                                                            9
          The Portfolio Managers May Trade Forward Contracts                             9
          The Portfolio Managers May Enter into Swap and Similar Transactions            9
</Table>

                                       iv
<Page>

<Table>
<Caption>
                                                                                      PAGE
<S>                                                                                     <C>
          The Portfolio Managers May Engage in Exchanges of Futures for
               Physicals                                                                10
          The Index SPC May Trade Security Futures Products                             10
          Systematic Strategies Do Not Consider Fundamental Types of Data               10
          Increased Competition Among Trend-Following Traders Could Reduce
               the Index SPC's Profitability                                            11
     The Fund is Dependent Upon Third Parties                                           11
     The Fund Will Have Limited Access to Information Regarding the Index SPC and
          the Portfolio Managers                                                        11
     The Fund Must Rely on the Index SPC When Calculating Net Asset Value               11
     The Fund May Lose the Standard & Poor's License                                    12
     Incentive-Based Compensation May Affect Portfolio Managers' Trading                12
     The Fund Does Not Anticipate Making Distributions                                  12
     Possible Effect of Redemptions on the Value of the Units                           12
     The General Partner Has the Ability to Suspend Redemption Rights                   12
     The Fund's Status As a Partnership                                                 13
     You Will Be Taxed Each Year On Your Share of Fund Profits                          13
     You Will Be Taxed On the Fund's Interest Income Even If The Fund Suffers
          Trading Losses                                                                13
     Limitations On the Deductibility of Investment Advisory Fees                       13
     The IRS Could Audit Both the Fund and Individual Limited Partners                  14
     The Fund Does Not Have Some Statutory Registrations                                14
Investment Factors                                                                      14
     The General Partner                                                                14
     The Index                                                                          14
     Investment Diversification                                                         15
     Market Diversification                                                             15
     Opportunity to Profit in Rising as well as in Declining Markets                    15
     Small Minimum Investment; Smaller Minimum Additional Investment                    16
     Limited Liability                                                                  16
     Administrative Convenience                                                         16
</Table>

                                        v
<Page>

<Table>
<Caption>
                                                                                      PAGE
<S>                                                                                     <C>
Management's Discussion and Analysis of Financial Condition and Results of Operations   16
     Critical Accounting Policies - Valuation of the Index SPC's positions              17
Performance Information                                                                 17
     The Fund                                                                           17
     The General Partner                                                                17
     The Sub-Investment Manager                                                         20
          The Index SPC - Actual Extracted Performance                                  20
          The Index SPC - Pro Forma Performance (Reflecting the Fund's
            Additional Fees and Expenses)                                               21
The General Partner                                                                     22
     Background and Management                                                          23
The Sub-Investment Manager                                                              24
     Background and Management                                                          24
Investment Program                                                                      26
     The Index SPC                                                                      28
Use of Proceeds                                                                         30
Charges                                                                                 31
     Management Fee                                                                     32
     Administrative Fee                                                                 33
     Upfront Selling Commission Reimbursement                                           33
     Redemption Fees                                                                    33
     Fund's Pro Rata Share of the Fees and Expenses of the Index SPC                    33
     Ongoing Offering Costs                                                             34
     Ordinary Expenses                                                                  34
     Extraordinary Expenses                                                             34
     Caps on Fees                                                                       34
Redemptions; Net Asset Value                                                            35
     Redemption Procedure                                                               35
     Net Asset Value                                                                    36
Conflicts of Interest                                                                   36
</Table>

                                       vi
<Page>

<Table>
<Caption>
                                                                                      PAGE
<S>                                                                                     <C>
     General                                                                            36
     The General Partner                                                                36
     The Selling Agents                                                                 36
     Other Business Activities, Proprietary Trading and Trading for Other Accounts      37
     Fiduciary Duty and Remedies                                                        37
The Fund's Limited Partnership Agreement                                                38
     Principal Office; Location of Records                                              38
     Management of Fund Affairs; Voting by Limited Partners                             38
     Possible Repayment of Distributions Received by Limited Partners;
          Indemnification of the Fund by Limited Partners                               39
     Indemnification and Standard of Liability                                          39
     Transfers of Units Restricted                                                      40
     Reports to Limited Partners                                                        40
     Dissolution and Termination of the Fund                                            40
Federal Income Tax Aspects                                                              40
     The Fund's Partnership Tax Status                                                  41
     Taxation of Limited Partners on Profits and Losses of the Fund                     41
     Fund Losses by Limited Partners                                                    41
     Passive-Activity Loss Rules" and its Effect on the Treatment of Income and Loss    41
     Cash Distributions and Unit Redemptions                                            42
     Gain or Loss on Section 1256 Contracts and Non-Section 1256 Contracts              42
     Tax on Capital Gains and Losses                                                    42
     Limited Deduction for Certain Expenses                                             43
     Interest Income                                                                    43
     Syndication Expenses                                                               43
     Investment Interest Deductibility Limitations                                      43
     IRS Audits of the Fund and its Limited Partners                                    43
     Taxation of Foreign Investors                                                      44
     Tax-Exempt U.S. Limited Partners                                                   45
     State and Other Taxes                                                              45
</Table>

                                       vii
<Page>

<Table>
<Caption>
                                                                                      PAGE
<S>                                                                                    <C>
     Investment in Index SPC                                                            45
Purchases by Employee Benefit Plans                                                     46
     General                                                                            46
     Plan Assets"                                                                       47
     Ineligible Purchasers                                                              47
Plan of Distribution                                                                    48
     Subscription Procedure                                                             48
Anti-Money Laundering Disclosures                                                       49
     The Selling Agents                                                                 49
RefcoFund Holdings, LLC Privacy Policy                                                  50
     Your Privacy Is Our Priority                                                       50
     Why and How We Collect Personal Information                                        50
     How We Protect Personal Information                                                51
     Sharing Information With Our Affiliates                                            51
     Disclosure to Non-Affiliated Third Parties                                         51
     Accessing and Revisiting Your Personal Information                                 52
Legal Matters                                                                           52
Experts                                                                                 52
Reports                                                                                 52
Index to Financial Statements                                                           53
PART TWO -- STATEMENT OF ADDITIONAL INFORMATION                                         62
Pro Forma Aggregate Historical Returns of Index                                         63
The Futures and Forward Markets                                                         64
     Futures and Forward Contracts                                                      64
     Hedgers and Speculators                                                            64
     Exchanges; Position and Daily Limits; Margins                                      65
Glossary                                                                                66
Limited Partnership Agreement - Exhibit A                                              A-i
Subscription Requirements - Exhibit B                                                  B-1
Suitability Instructions - Exhibit C                                                   C-1
</Table>

                                      viii
<Page>

<Table>
<Caption>
                                                                                      PAGE
<S>                                                                                    <C>
Consent to Electronic Delivery - Exhibit D                                             D-1
Request for Redemption - Exhibit E                                                     E-1
</Table>

                                       ix
<Page>

                       S&P MANAGED FUTURES INDEX FUND, LP

SUMMARY

THE FUND AND THE GENERAL PARTNER

     S&P Managed Futures Index Fund, LP is a futures investment fund designed to
seek returns that substantially track the Standard & Poor's Managed Futures
Index(TM), referred to as the Index, before expenses of the Fund.

     RefcoFund Holdings, LLC serves as the Fund's general partner. The Fund is a
Delaware limited partnership formed on May 13, 2003. The Fund's main office is
located at the office of the general partner - 550 W. Jackson, Suite 1300,
Chicago, Illinois 60661 (telephone: (312) 788-2000).

     The general partner has been registered with the Commodity Futures Trading
Commission as a commodity pool operator since October 14, 1981 and as a
commodity trading advisor since September 21, 1993 and is a member of the NFA.
As of May 31, 2003, the general partner was managing approximately $63 million
in client assets.

     If the Fund is successful, it can provide valuable diversification to
traditional portfolios of stocks and bonds, as the Fund's performance should be
generally unrelated to the general stock and bond markets.

THE INDEX

     Standard & Poor's has long been recognized worldwide as a global provider
of equity indices. In October 2002, Standard & Poor's launched the Standard &
Poor's(R) Hedge Fund Index. In January 2003, Standard & Poor's launched the
Index, which is an expansion of the managed futures subset of the Standard &
Poor's Hedge Fund Index. The Index is designed to offer an investable benchmark
that is representative of the managed futures segment of hedge fund investing.
The Index focuses on the systematic, trend-following trading methodologies that
constitute the significant majority of managed futures investment strategies.
Constituents of the Index are programs that use managed futures strategies.

     The general partner will pursue the Fund's investment objective by
allocating substantially all of the Fund's assets to SPhinX(TM) Managed Futures
Fund SPC, referred to as the Index SPC, a Cayman Islands special purpose
company. The Index SPC allocates its assets to portfolio managers that generally
employ a broad range of systematic trading strategies in the futures markets.
Other markets, such as the interbank foreign exchange market, may be used as
well.

     The Index SPC is designed to track the Index, and thus provide its
investors with exposure to a broad cross section of systematic managed futures
strategies through a single investment. As a limited partner you will have
access to a variety of managed futures strategies that ordinarily would not be
available without high minimum investment requirements. The Fund

                                        1
<Page>

provides you with access to professionally selected managers who are considered
to be representative of systematic managed futures strategies.

     The portfolio managers that are included in the Index are selected by
Standard & Poor's Index Committee based on, among other things, an analysis of:

     -    the portfolio manager's trading strategy;

     -    risk/return characteristics;

     -    volatility levels;

     -    performance during various time periods and market cycles; and

     -    the structure of the portfolio manager's portfolio and the types of
instruments held.

     Standard & Poor's is responsible for calculating the Index and publishes
Index values on the Standard & Poor's website: www.standardandpoors.com. The
Index is rebalanced annually or as otherwise required by Standard & Poor's.
Addition or deletion of Index constituents is at the sole discretion of Standard
& Poor's Index Committee.

USE OF PROCEEDS

     The Fund expects that the proceeds from the sale of Units, net of the
Fund's initial and ongoing organizational and offering costs as well as amounts
the Fund retains to cover ongoing operating expenses, will be invested in the
Index SPC as soon as practicable after the receipt of such proceeds by the Fund.

THE OFFERING

     Units in the Fund are being offered for an initial offering period
beginning on the date of this prospectus and ending 60 calendar days later. The
general partner may end the initial offering period earlier or extend it for an
additional 60 days. During the initial offering period, you may buy Units for
$1,000 each. All subscriptions received during the initial offering period will
be held in an interest bearing escrow account with Fifth Third Bank. If the Fund
begins trading at the end of the initial offering period, interest earned on
subscriptions will be treated as interest earned by the Fund. If 30,000 Units
are not sold during the initial offering period, or, if for any other reason the
Fund does not begin trading at the end of the initial offering period, the
offering of Units will terminate and your subscription will be returned to you
with interest within 5 business days.

     Once the Fund has begun trading, you may buy Units at the net asset value
per Unit as of the first business day of each calendar month in which they are
offered. Interest earned on subscriptions submitted prior to the first business
day of the calendar month will be treated as interest earned by the Fund. The
net asset value per Unit is determined by dividing the Fund's net assets (its
assets minus its liabilities) by the number of Units outstanding on the date the
calculation is being performed.

                                        2
<Page>

     The minimum investment is $10,000, although the minimum initial investment
for an individual retirement account is $3,000. Existing investors subscribing
for additional Units may do so in $2,500 minimums. Units will be sold in
fractions calculated to three decimal places.

     To subscribe, you must complete and sign the Subscription Agreement and
Power of Attorney Signature Page that accompanies this prospectus and deliver it
to your selling agent. You must submit these documents at least five business
days (and cleared funds to purchase the Units at least three business days)
before the first business day of the calendar month in which the subscription is
to be effective.

IS THE FUND A SUITABLE INVESTMENT FOR YOU?

     You should consider investing in the Fund if you are interested in its
potential to produce returns that are generally unrelated to those of stocks and
bonds and you are prepared to risk the loss of all or a significant portion of
your investment.

     The Fund is a diversification opportunity for an investment portfolio, not
a complete investment program.

     You should consider an investment in the Fund to be a three to five year
commitment.

     To invest, you must, at a minimum, have either (1) a net worth of at least
$150,000, exclusive of home, furnishings and automobiles, or (2) a net worth,
similarly calculated, of at least $45,000 and an annual gross income of at least
$45,000. A number of states in which the Units are offered impose higher
suitability standards. These standards are regulatory minimums only, and just
because you meet the standard does not necessarily mean the Units are a suitable
investment for you.

     You should not invest more than 10% of your net worth (exclusive of home,
furnishings and automobiles) in the Fund.

     You should read this prospectus carefully and discuss with your selling
agent any questions you have about the Fund before making an investment.

MAJOR RISKS OF THE FUND

-    The Fund is speculative. You may lose all or substantially all of your
investment in the Fund.

-    The Fund is newly formed and has no performance history. The Index SPC has
a very limited actual performance history. The past performance of the Index SPC
is not necessarily indicative of future results.

-    The Fund is subject to substantial charges. You will sustain losses if the
Fund is unable to generate sufficient trading profits to offset its fees and
expenses.

-    The Units are not a liquid investment. No secondary market exists for the
Units. You may redeem the Units only as of the last business day of each month.
A redemption fee applies

                                        3
<Page>

if you redeem Units within 12 months of their original purchase. There are
substantial restrictions on the ability of the Fund to make withdrawals from the
Index SPC that further reduces the liquidity of the Fund.

-    Although the Fund seeks to track the performance of the Index, certain
factors, including expenses, will cause a deviation between Fund's performance
and the Index's performance.

-    The Fund is subject to various conflicts of interests as further described
herein, including those related to the following: (1) the general partner, the
selling agent and the clearing broker for the Index SPC are affiliated; and (2)
your selling agent will receive upfront and ongoing compensation in connection
with your investment in the Fund.

-    The market prices of commodity interest contracts fluctuate rapidly. In
addition, commodity interest contracts are typically traded on margin. This
means that a small amount of capital can be used to invest in contracts of much
greater total value. The resulting leverage magnifies the impact of both profit
and loss.

     See pages 7 through 14 for a complete description of the risks of an
investment in the Fund.

REDEMPTIONS

     You may redeem your Units as of the last business day of any calendar
month. You must submit your written redemption request at least 10 business
days' prior to the redemption date. A redemption fee of 3% of net asset value
per Unit applies if you redeem Units within 12 months of their original
purchase. After the 12th month following purchase of a Unit, no redemption fees
apply. There are substantial restrictions on the ability of the Fund to make
withdrawals from the Index SPC that further reduces the liquidity of the Fund.

BREAKEVEN TABLE

     The "Breakeven Table" below indicates the approximate percentage and dollar
returns required for the redemption value of an initial $10,000 investment in
the Units to equal the amount originally invested 12 months after issuance. The
"Breakeven Table," as presented, is an approximation only.

                     [REMAINDER OF PAGE INTENTIONALLY BLANK]

                                        4
<Page>

                                 BREAKEVEN TABLE

<Table>
<Caption>
                                                                              DOLLAR RETURN
                                                                        REQUIRED ($10,000 INITIAL
                                                  PERCENTAGE RETURN         INVESTMENT) FIRST
 EXPENSES (1) WHICH MUST BE                     REQUIRED FIRST TWELVE       TWELVE MONTHS OF
   OFFSET TO "BREAK EVEN"                       MONTHS OF INVESTMENT           INVESTMENT
---------------------------------------------   ---------------------   -------------------------
<S>                                                      <C>                       <C>
Management Fee (2)                                       3.75%                     $ 375

Administrative Fee (3)                                   0.25%                     $  25

Ordinary Expenses (4)                                    0.15%                     $  15

Ongoing Offering Expenses (5)                            0.25%                     $  25

Upfront selling commissions (6)                          0.75%                     $  75

RETURN ON $10,000 INITIAL INVESTMENT
 REQUIRED FOR "BREAK EVEN" ON THE FIRST
 ANNIVERSARY OF PURCHASE                                 5.15%                     $ 515

RETURN ON $10,000 INITIAL INVESTMENT
 REQUIRED FOR "BREAK EVEN" ON THE FIRST
 ANNIVERSARY OF PURCHASE IF REDEMPTION FEE
 APPLIES (7)                                             8.15%                     $ 815
</Table>

NOTES TO "BREAKEVEN TABLE"

(1)  The foregoing break-even analysis assumes that the Units have a constant
month-end net asset value. Calculations are based on $10,000 as the net asset
value per Unit. See "Charges" at page 31 of this prospectus for an explanation
of the expenses included in the "Breakeven Table."

(2)  The Fund will pay the general partner a monthly management fee of 3.75% per
annum. From this amount the general partner will pay the organizational and
initial offering expenses of the Fund. In addition, beginning in the 13th month
following the purchase of any Units, the general partner will pay to the selling
agents of the Units a monthly trailing commission equal to 0.1875% of the Fund's
month-end net assets (a 2.25% annual rate) per Unit multiplied by the number of
Units placed by the selling agent for providing additional services in
connection with the Units.

(3)  The Fund will pay the general partner a monthly administrative fee of 0.25%
per annum.

(4)  Ordinary expenses are paid as incurred. For this "Breakeven Table" such
amounts have been estimated. These expenses include the legal, audit and other
routine expenses of the Fund.

(5)  The Fund will pay its ongoing offering expenses. These expenses are not
expected in the aggregate to exceed 0.25% per annum of the month-end net asset
value of the Fund.

                                        5
<Page>

(6)  The general partner will pay the selling agents an upfront selling
commission of 3% of the subscribed amount. The general partner will be
reimbursed monthly by the Fund at a rate of 0.75% per annum, provided, however,
that the Fund will cease to reimburse the general partner with respect to any
upfront selling commission when the general partner has received the amount
originally paid by the general partner, plus interest.

(7)  A redemption fee of 3% of net asset value per Unit, payable to the General
Partner, applies if you redeem Units within 12 months of their original
purchase.

     The Fund will also be required to pay its pro rata portion of the expenses
of the Index SPC. These expenses include (1) management fees and incentive fees,
if any, paid to the portfolio managers; (2) fees paid to the Index SPC's
administrator to administer the Index SPC; (3) brokerage commissions and other
transaction-related expenses of the Index SPC; and (4) accounting, audit and
legal expenses, custodial fees and any extraordinary expenses of the Index SPC.
Because these expenses are costs of the Index, and as such are reflected in the
performance of the Index SPC, they are not included in the break-even estimate
set forth above.

FEDERAL INCOME TAX ASPECTS

     The Fund will be treated as a partnership for federal income tax purposes.
You will be taxed each year on the Fund's income whether or not you redeem any
of your Units or receive distributions from the Fund. The general partner does
not intend to make any distributions. Accordingly, unless you redeem Units, you
will not have a source of income from the Fund to pay your taxes.

     40% of any trading profits on U.S. exchange-traded contracts are taxed as
short-term capital gains at ordinary income rates, while 60% of any trading
profits are taxed as long-term capital gains at a 15% maximum rate for
individuals for sales and exchanges occurring after May 5, 2003 and prior to
January 1, 2009 (and 20% for sales or exchanges occurring thereafter). The
Fund's trading gains from other contracts will be primarily short-term capital
gains. This tax treatment applies regardless of how long a limited partner holds
Units. Interest income is taxed at ordinary income rates.

     Losses on the Units may be deducted against capital gains. However, capital
losses in excess of capital gains may only be deducted against ordinary income
to the extent of $3,000 per year. Consequently, you could pay tax on the Fund's
interest income even though you have lost money on your Units.

THE FUTURES AND FORWARD MARKETS; SPOT AND SWAP CONTRACTS

     Futures contracts are generally traded on exchanges and call for the future
delivery of various commodities or cash settlement of certain financial
instruments.

     Forward currency contracts are traded off-exchange through banks or
dealers.

     Futures and forward trading is a "zero-sum" risk transfer economic
activity. For every gain realized by a futures and forward trader, there is an
equal and offsetting loss suffered by another.

                                        6
<Page>

     Spot contracts are cash market transactions in which the buyer and seller
agree to the immediate purchase and sale of a specific commodity, usually with a
short settlement period. Swap contracts generally involve an exchange of a
stream of payments between contracting parties. Neither spot nor swap contracts
are exchange-traded.

THE RISKS YOU FACE

SET FORTH BELOW ARE THE PRINCIPAL RISKS ASSOCIATED WITH AN INVESTMENT IN THE
FUND. YOU SHOULD CONSIDER THESE RISKS WHEN MAKING YOUR INVESTMENT DECISION. YOU
SHOULD NOT INVEST IN UNITS UNLESS YOU CAN AFFORD TO LOSE ALL OF YOUR INVESTMENT.

YOU COULD LOSE YOUR ENTIRE INVESTMENT IN THE FUND

     The Fund will pursue its investment objective by investing in the Index
SPC, which allocates its assets among the portfolios managers. The Index SPC
will be subject to all of the risks associated with the investment and trading
by the portfolio managers. There are some general market conditions in which any
given investment strategy is unlikely to be profitable. Neither the Fund, the
Index SPC nor the portfolio managers will have any ability to control or predict
these market conditions. The investment approach utilized on behalf of the Fund
and the Index SPC may not be successful. You could lose all or substantially all
of your investment in the Fund.

THE FUND HAS NO OPERATING HISTORY; PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
PERFORMANCE

     The Fund is newly formed and has no performance history. The Index SPC has
a very limited operating history. The past performance of the Index SPC is not
necessarily indicative of future results. The portfolio managers will be
selected based in part on their performance history and implementation of a
strategy deemed by Standard & Poor's to be representative of managed futures
programs in general. The experience of some portfolio managers may be limited.
Furthermore, each portfolio manager is free to alter its managed futures
strategy implementation as it deems appropriate from time to time. Significant
changes in strategy would require a review by Standard & Poor's. Market
conditions and trading approaches are continually changing, and a portfolio
manager's past successful performance may be largely irrelevant to its prospects
for future profitability.

THE FUND IS SUBJECT TO SUBSTANTIAL FEES AND EXPENSES

     The Fund is subject to significant fees and expenses. In order for the Fund
to be profitable and for the investors to realize any profits the investment
profits realized by the Fund must exceed these fees and expenses. The Fund will
pay management and administrative fees to the general partner, will reimburse
the general partner for selling commissions and will pay its pro rata share of
the fees and expenses of the Index SPC. Some of the strategies and techniques
employed by the portfolio managers may require frequent trades to take place
and, as a consequence, portfolio turnover and brokerage commissions may be
greater than for other investment entities of similar size. In addition, the
Fund will pay its operating expenses

                                        7
<Page>

regardless of the profitability of the Fund. You will sustain losses if the Fund
is unable to generate sufficient trading profits and interest income to offset
its fees and expenses.

AN INVESTMENT IN THE FUND IS NOT LIQUID

     The Units are not a liquid investment. There is no secondary market for the
Units. You may redeem your Units only as of the first business day of a calendar
month, and you must give the Fund at least 10 business days' prior written
notice of your intent to redeem. A redemption fee will apply if you redeem your
Units within 12 months after their original purchase. There are also substantial
restrictions on the ability of the Fund to make withdrawals from the Index SPC
that further reduces the liquidity of the Fund.

THE FUND WILL NOT PRECISELY TRACK THE INDEX

     Although the Fund seeks to track the performance of the Index, various
factors can cause a deviation between the performance of the Fund and the
performance of the Index. These factors include (1) the expenses of the Fund and
the Index SPC, (2) limitations on the Fund's investments resulting from the need
to comply with the Fund's investment restrictions or with regulatory or tax law
requirements, and (3) the need to maintain a portion of the Fund's assets in
cash or short-term investments to maintain liquidity to effect redemptions and
to pay expenses. The performance of the Fund will not correspond precisely to
the performance of the Index.

RISKS RELATED TO MANAGED FUTURES TRADING

     THE INDEX SPC WILL BE SUBJECT TO MARKET FLUCTUATIONS. Managed futures
trading involves trading in various commodity interests and financial
instruments. The market prices of futures contracts fluctuate rapidly. Prices of
futures contracts traded by the portfolio managers are affected generally, among
other things, by (1) changing supply and demand relationships, (2) agricultural,
trade, fiscal, monetary and exchange control programs and (3) policies of
governments, and national and international political and economic events. The
profitability of the Index SPC depends entirely on capitalizing on fluctuations
in market prices.

     AS A RESULT OF LEVERAGE, SMALL CHANGES IN THE PRICE OF THE PORTFOLIO
MANAGERS' POSITIONS MAY RESULT IN SUBSTANTIAL LOSSES. Commodity interest
contracts are typically traded on margin. This means that a small amount of
capital can be used to invest in contracts of much greater total value. The
resulting leverage means that a relatively small change in the market price of a
contract can produce a substantial loss. Like other leveraged investments, any
purchase or sale of a contract may result in losses in excess of the amount
invested in that contract. The portfolio managers may lose more than their
initial margin deposits on a trade.

     THE PORTFOLIO MANAGERS' TRADING WILL BE SUBJECT TO EXECUTION RISKS. Market
conditions may make it impossible for the portfolio managers to execute a buy or
sell order at the desired price, or to close out an open position. Daily price
fluctuation limits are established by the exchanges and approved by the CFTC.
When the market price of a contract reaches its daily price fluctuation limit,
no trades can be executed at prices outside the limit. The holder of a contract
may therefore be locked into an adverse price movement for several days or more
and lose considerably more than the initial margin put up to establish the
position. Thinly traded or illiquid markets also can make it difficult or
impossible to execute trades.

                                        8
<Page>

     THE INDEX SPC WILL BE SUBJECT TO COUNTERPARTY RISKS. If the Index SPC's
clearing brokers become bankrupt or insolvent, or otherwise default on their
obligations to the Index SPC, the Index SPC may not receive all amounts owed to
it in respect to its trading, despite the clearinghouse fully discharging all of
its obligations. Furthermore, in the event of the bankruptcy of one of the
clearing brokers, the Index SPC could be limited to recovering only a pro rata
share of all available funds segregated on behalf of the clearing broker's
combined customer accounts, even though property specifically traceable to the
Index SPC (for example, Treasury bills deposited by the Index SPC with the
clearing broker as margin) was held by the clearing broker. In addition, some of
the instruments which the Index SPC may trade are traded in markets in which
performance is the responsibility only of the individual counterparty with whom
the trader has entered into a contract and not of an exchange or clearing
corporation. The Index SPC will be subject to the risk of the inability or
refusal to perform on the part of the counterparties with whom those types of
contracts are traded.

     THE INDEX SPC'S POSITIONS WILL BE SUBJECT TO SPECULATIVE LIMITS. The CFTC
and domestic exchanges have established speculative position limits on the
maximum futures position which any person, or group of persons acting in
concert, may hold or control in particular futures contracts or options on
futures contracts traded on U.S. commodity exchanges. Under current regulations,
other accounts of the portfolio managers are combined with the positions held by
the Index SPC for position limit purposes. This trading could preclude
additional trading in these commodities by the portfolio manager for the account
of the Index SPC.

     TRADING ON FOREIGN EXCHANGES PRESENTS GREATER RISK THAN TRADING ON U.S.
EXCHANGES. The portfolio managers may trade contracts on non-U.S. exchanges.
Non-U.S. trading involves risks -- including exchange-rate exposure, excessive
taxation, possible governmental regulation and lack of regulation -- which U.S.
trading does not. Some non-U.S. markets, in contrast to U.S. exchanges, are
"principals' markets" where performance is the responsibility only of the
individual member with whom the trader has entered into a contract and not of
any exchange or clearing corporation. In addition, the Index SPC's rights and
responsibilities if a non-U.S. exchange or clearinghouse defaults or declares
bankruptcy are likely to be more limited than if a U.S. exchange does the same.

     THE PORTFOLIO MANAGERS MAY TRADE FORWARD CONTRACTS. Forward contracts are
not traded on exchanges and the Index SPC will not receive the regulatory
protections of the exchanges or the CFTC in connection with such trading. As a
result, the Index SPC may incur substantial losses if the banks and dealers
acting as principals on forward contracts are unable to perform. In addition,
there are no limitations on daily price moves in forward contracts, and
speculative position limits do not apply to forward contract trading. Further,
there have been periods when participants in forward markets have refused to
quote prices for forward contracts or have quoted prices with an unusually wide
spread between the price at which they will buy and that at which they will
sell.

     THE PORTFOLIO MANAGERS MAY ENTER INTO SWAP AND SIMILAR TRANSACTIONS. Swap
contracts are not traded on exchanges and are not subject to the same type of
government regulation as exchange markets. As a result, many of the protections
afforded to participants on organized exchanges and in a regulated environment
are not available in connection with these transactions.

                                        9
<Page>

The swap markets are "principals' markets," in which performance with respect to
a swap contract is the responsibility only of the counterparty to the contract,
and not of any exchange or clearinghouse. As a result, the Index SPC is subject
to the risk of the inability or refusal to perform with respect to swap
contracts on the part of the counterparties with which the portfolio managers
trade. There are no limitations on daily price movements in swap transactions.
Speculative position limits are not applicable to swap transactions, although
the counterparties with which the portfolio managers trade may limit the size or
duration of positions available to the portfolios managers as a consequence of
credit considerations. Participants in the swap markets are not required to make
continuous markets in the swap contracts they trade. Participants could refuse
to quote prices for swap contracts or quote prices with an unusually wide spread
between the price at which they are prepared to buy and the price at which they
are prepared to sell.

     THE PORTFOLIO MANAGERS MAY ENGAGE IN EXCHANGES OF FUTURES FOR PHYSICALS. An
exchange of futures for physicals is a transaction permitted under the rules of
many futures exchanges in which two parties holding futures positions may close
out their positions without making an open, competitive trade on the exchange.
Generally, the holder of a short futures position buys the physical commodity,
while the holder of a long futures position sells the physical commodity. The
prices at which these transactions are executed are negotiated between the
parties. Regulatory changes may in the future prevent the portfolio managers
from exchanging futures for physicals, which could adversely affect performance
of the Index SPC.

     THE INDEX SPC MAY TRADE SECURITY FUTURES PRODUCTS. The portfolio managers
may purchase and sell single stock futures contracts and other security futures
products. A single stock future obligates the seller to deliver (and the
purchaser to take delivery of) a specified equity security to settle the futures
transaction. Other security futures products include "narrow-based" stock index
futures contracts (in general, contracts based on the value of nine or fewer
securities in a specific market or industry sector, such as energy, health care
or banking) and futures contracts based on exchange-traded funds, or ETFs, that
are designed to track the value of broader stock market indices (such as the Dow
Jones Industrial Average or the NASDAQ 100 Index). Single stock futures and
other security futures products are relatively illiquid and trade on a limited
number of exchanges. The margin required with respect to single stock futures
(usually at least 20% of the face value of the contract) generally is higher
than the margin required with respect to other types of futures contracts (in
some cases as low as 2% of the face value of the contract). The resulting lower
level of leverage available to the portfolio managers with respect to security
futures products may adversely affect the Index SPC's performance. Security
futures products are typically traded on electronic trading platforms and are
subject to risks related to system access, varying response time, security and
system or component failure. In addition, although the Index SPC's broker will
be required to segregate the Index SPC's trades, positions and funds from those
of the broker itself as required by CFTC regulations, the insurance provided to
securities customers by the Securities Investor Protection Corporation, or SIPC,
will not be applicable to the Index SPC's security futures positions because
SIPC protection does not apply to futures accounts.

     SYSTEMATIC STRATEGIES DO NOT CONSIDER FUNDAMENTAL TYPES OF DATA. Most of
the Index SPC's assets will be allocated to portfolio managers that rely on
technical, systematic strategies that do not take into account factors external
to the market itself. The widespread use of

                                       10
<Page>

technical trading systems frequently results in numerous managers attempting to
execute similar trades at or about the same time, altering trading patterns and
affecting market liquidity. Furthermore, the profit potential of trend-following
systems may be diminished by the changing character of the markets, which may
make historical price data (on which technical programs are based) only
marginally relevant to future market patterns.

     INCREASED COMPETITION AMONG TREND-FOLLOWING TRADERS COULD REDUCE THE INDEX
SPC'S PROFITABILITY. A substantial number of commodity trading advisors use
technical trading systems, particularly trend-following systems, like some of
the portfolio managers' systems. As the amount of money under the management of
such systems increases, competition for the same positions increases, making the
positions more costly and more difficult to acquire.

THE FUND IS DEPENDENT UPON THIRD PARTIES

     The Fund does not control the Index SPC, PlusFunds, or any portfolio
manager, and has no role in the choice of portfolio managers, any portfolio
manager's choice of investments or any other investment decisions of the Index
SPC. The Fund will be dependent upon the expertise and abilities of the
portfolio managers who will have investment discretion over assets allocated to
them. There can be no assurance that the services of PlusFunds or of a portfolio
manager will be available for any length of time, or that the Index SPC will
remain available for investment by the Fund.

THE FUND WILL HAVE LIMITED ACCESS TO INFORMATION REGARDING THE INDEX SPC AND THE
PORTFOLIO MANAGERS

     The Fund will be dependent on PlusFunds and the Index SPC's independent
administrator to provide it with periodic reports and other information. The
Fund may not be provided with detailed information regarding the precise
investments made by a portfolio manager because some of this information may be
considered proprietary or otherwise confidential. This lack of access to
information may make it more difficult for the Fund to evaluate the Index SPC
and the portfolio managers and to value the assets of the Fund.

THE FUND MUST RELY ON THE INDEX SPC WHEN CALCULATING NET ASSET VALUE

     The net asset values received by the Fund from the Index SPC may be subject
to revision through annual audit of the Index SPC. As a result, revisions to the
Fund's gain and loss calculations may occur. Any revisions not deemed material
in the sole discretion of the general partner will not result in an adjustment
to prior subscription or redemption prices for the Fund. Moreover, in some
cases, the Fund will have little ability to assess the accuracy of the
valuations of its investment in the Index SPC that are received from PlusFunds
or from the Index SPC or its administrator. There are no market quotations
available to use in valuing the Fund's investments in the Index SPC. As a
result, these investments will be valued at their fair values as determined in
accordance with procedures adopted in good faith by the general partner. These
valuations may not in all cases accurately reflect the values of the Fund's
investments in the Index SPC. These inaccuracies may adversely affect the Fund
or investors who purchase or redeem Units.

                                       11
<Page>

THE FUND MAY LOSE THE STANDARD & POOR'S LICENSE

     Standard & Poor's has granted a license to PlusFunds to use various
trademarks as well as the right to utilize the Index in connection with the
operation of various investment products. PlusFunds has sublicensed some of
these rights to Refco Group Ltd., LLC and its affiliates, referred to as the
Refco Group. Under various circumstances, the license agreement between
PlusFunds and Standard & Poor's or the sublicense agreement between PlusFunds
and the Refco Group may be terminated. In the event of a termination, the Fund
may be unable to continue to utilize the trademarks and continued operation of
the Fund may become impractical or impossible.

INCENTIVE-BASED COMPENSATION MAY AFFECT PORTFOLIO MANAGERS' TRADING

     The portfolio managers will be entitled to compensation based upon net
trading gain in the value of the assets they manage. Incentive-based
arrangements may give them incentives to engage in transactions that are more
risky or speculative than they might otherwise make because speculative
investments might result in higher profits in which the portfolio manager would
participate, resulting in higher incentive fees to them. On the other hand,
those investments might result in larger losses to the Index SPC. The portfolio
managers will not return an incentive fee for a period in which there is net
trading gain if, in a subsequent period, the investments under their management
suffer a net trading loss. In addition, because the incentive fee for each
portfolio manager is based solely on its performance, and not the overall
performance of the Index SPC, the Fund may indirectly pay an incentive fee to
one or more portfolio managers during periods when the Index SPC, and thus the
Fund, are not profitable on an overall basis.

THE FUND DOES NOT ANTICIPATE MAKING DISTRIBUTIONS

     The general partner does not intend to make distributions to the limited
partners but intends to re-invest substantially all of the Fund's income and
gains for the foreseeable future. You will be liable to pay taxes on your
allocable share of Fund taxable income. Therefore, you may need to pay tax
liabilities out of separate funds or redemptions from the Fund.

POSSIBLE EFFECT OF REDEMPTIONS ON THE VALUE OF THE UNITS

     Substantial redemptions of Units could require the Fund and the Index SPC
to liquidate investments more rapidly than otherwise desirable in order to raise
the necessary cash to fund the redemptions and, at the same time, achieve a
market position appropriately reflecting a smaller equity base. This could make
it more difficult to recover losses or generate profits. Illiquidity in the
markets could make it difficult to liquidate positions on favorable terms, and
may result in losses.

THE GENERAL PARTNER HAS THE ABILITY TO SUSPEND REDEMPTION RIGHTS

     Under some circumstances, the general partner may suspend your right to
redeem all or some of your Units. This may occur if the general partner
determines that redemptions would impair the ability of the Fund to meet its
objectives or if a market disruption makes it impossible or impracticable to
value the Units or liquidate Fund assets. IF REDEMPTION RIGHTS ARE

                                       12
<Page>

SUSPENDED, THE UNITS SUBJECT TO THE REDEMPTION REQUEST WILL NOT BE REDEEMED AND
WILL CONTINUE TO BE SUBJECT TO MARKET AND OTHER RISKS. The Index SPC may suspend
the Fund's redemption rights for similar reasons with similar consequences.

THE FUND'S STATUS AS A PARTNERSHIP

     The general partner has been advised by its counsel that under current
federal income tax laws and regulations the Fund should be classified as a
partnership and not as an association taxable as a corporation. In addition, the
general partner has been advised by its counsel that under current federal
income tax laws the Fund should not be classified as a so-called publicly traded
partnership. This advice is not binding upon the IRS. If the Fund were taxed as
a corporation for federal income tax purposes, income or loss of the Fund would
not be passed through to the limited partners, and the Fund would be subject to
tax on its income at the rates of tax applicable to corporations without any
deductions for distributions to the Fund. In addition, all or a portion of
distributions made to limited partners could be taxable to the limited partners
as dividends.

YOU WILL BE TAXED EACH YEAR ON YOUR SHARE OF FUND PROFITS

     You will be taxed on your share of Fund income or gain each year, whether
or not you redeem Units or receive distributions from the Fund. Because a
substantial portion of the Index SPC's open positions are "marked-to-market" at
the end of each year, some of your tax liability will be based on unrealized
gains which the Fund may, in fact, never realize. 40% of any trading profits on
U.S. exchange-traded contracts are taxed as short-term capital gains at ordinary
income rates, while 60% of any trading profits are taxed as long-term capital
gains at a 20% maximum rate for individuals. These rates apply regardless of how
long the Index SPC holds a contract, or an investor his or her Units.

     Over time, the compounding effects of the annual taxation of the Fund's
income are material to the economic consequences of investing in the Fund. For
example, a 10% compound annual rate of return over five years would result in an
initial $10,000 investment compounding to $16,105. However, after factoring in a
30% tax rate each year, the result would be $14,025.

YOU WILL BE TAXED ON THE FUND'S INTEREST INCOME EVEN IF THE FUND SUFFERS TRADING
LOSSES

     Losses on the Fund's trading are almost exclusively capital losses.
Non-corporate investors may use net capital losses to offset up to $3,000 of
ordinary income each year. So, for example, if your share of the Fund's trading
(I.E., capital) loss was $3,000 in a given fiscal year and your share of
interest income was $5,000, you would incur a net loss in the net asset value of
your Units equal to $5,000, but would nevertheless recognize taxable income of
$2,000.

LIMITATIONS ON THE DEDUCTIBILITY OF INVESTMENT ADVISORY FEES

     The general partner does not intend to treat the ordinary expenses of the
Fund as "investment advisory fees" for federal income tax purposes. The general
partner believes that this is the position adopted by virtually all United
States futures fund sponsors. However, were the ordinary expenses of the Fund
characterized as investment advisory fees, non-corporate

                                       13
<Page>

taxpayers would be subject to substantial restrictions on the deductibility of
those expenses, would pay increased taxes in respect of an investment in the
Fund and could actually recognize taxable income despite having incurred a
financial loss.

THE IRS COULD AUDIT BOTH THE FUND AND INDIVIDUAL LIMITED PARTNERS

     The IRS could audit the Fund's tax returns and require the Fund to adjust
the returns. If an audit results in an adjustment, you could be audited and
required to pay additional taxes, plus interest and possibly penalties.

THE FUND DOES NOT HAVE SOME STATUTORY REGISTRATIONS

     The Fund has not registered as an investment company or a "mutual fund,"
which would subject the Fund to extensive regulation by the SEC under the
Investment Company Act. Therefore, you do not have the protection provided by
such legislation, which, among other things, (1) requires that an investment
company's board of directors, including a majority of disinterested directors,
approve some of its activities and contractual relationships, and (2) prohibits
an investment company from engaging in some transactions with its affiliates.
Further, to the extent registration under or compliance with these laws is
required, the Fund may incur significant burdens and expenses in connection
therewith. Moreover, the general partner is not registered as an investment
adviser under the Investment Advisers Act of 1940 or any similar state law.
However, the general partner is registered as a commodity pool operator and a
commodity trading advisor and is subject to regulation as such by the CFTC and
the NFA.

INVESTMENT FACTORS

     ALTHOUGH THERE CAN BE NO ASSURANCE THAT THE PORTFOLIO MANAGERS WILL TRADE
SUCCESSFULLY ON BEHALF OF THE INDEX SPC OR THAT THE FUND WILL AVOID SUBSTANTIAL
LOSSES, IF THE FUND IS SUCCESSFUL, AN INVESTMENT IN THE FUND OFFERS INVESTORS
THE FOLLOWING POTENTIAL ADVANTAGES.

THE GENERAL PARTNER

     The general partner's experience and familiarity with the managed futures
industry assist the general partner in its ongoing monitoring of the Index SPC
as well as in the administration of the Fund. The general partner's principals
have over 100 years of combined experience in the investment field. As of May
31, 2003, the general partner had approximately $63 million under management.

THE INDEX

     The Index is designed to offer an investable benchmark that is
representative of the managed futures segment of hedge fund investing. By
investing in the Fund, you will have access to a broad cross section of
systematic managed futures strategies through a single investment.

                                       14
<Page>

INVESTMENT DIVERSIFICATION

     If you are not prepared to spend substantial time trading in the futures
and forward markets, you may nevertheless participate in these markets through
investing in the Fund. An investment in the Fund can provide valuable
diversification to a traditional portfolio of stocks and bonds. The general
partner believes that the profit potential of the Fund does not depend upon
favorable general economic conditions and that the Fund is just as likely to be
profitable or unprofitable during periods of declining stock and bond markets as
at any other time.

     Allocating a small portion of your investment portfolio to a managed
futures investment, such as the Fund, can potentially enhance the performance of
the portfolio. Modern portfolio theory suggests that a diverse portfolio with
positively performing assets that have little or no correlation with each other
should have higher returns and lower risk, as measured by variability of
returns, than a less diversified portfolio.

     Historically, managed futures investments have had very little correlation
to the stock and bond markets. Non-correlated performance is not, however,
negatively correlated performance. Non-correlation means only that the
performance of managed futures likely has no relation to the performance of
stocks and bonds.

     Non-correlation will not provide diversification advantages beyond,
perhaps, lowering a portfolio's overall volatility unless the non-correlated
assets are performing positively. There can be no assurance that the Fund will
perform positively or avoid losses.

MARKET DIVERSIFICATION

     The Index SPC will trade in 40 to 60 or more markets, though not
necessarily in all markets at all times.

     The diversification of the Index SPC permits investors to participate in
markets that would otherwise not be included in their portfolios, thereby both
potentially diversifying risk and increasing profit opportunities.

     The markets traded by the Index SPC may change from time to time.

OPPORTUNITY TO PROFIT IN RISING AS WELL AS IN DECLINING MARKETS

     The Fund may realize positive or negative returns in both rising and
declining markets as futures positions may be established on either the long or
the short side of a market. Unlike short selling in the securities markets,
selling short in futures in anticipation of a drop in price can be accomplished
without additional restrictions or special margin requirements.

     It is potentially advantageous for investors to own investments that can
appreciate during a period of generally declining prices, financial disruption
or economic instability. Investors must realize, however, that the Fund is not
specifically designed to appreciate in declining markets. Rather, it is designed
to substantially track the Index. The Fund will only increase in value if the
portfolio managers' trading systems identify market trends and are able to trade
those trends profitably.

                                       15
<Page>

SMALL MINIMUM INVESTMENT; SMALLER MINIMUM ADDITIONAL INVESTMENT

     The portfolio managers typically manage individual accounts only of
substantial size--$1,000,000 or more. You may gain access to the portfolio
managers for a minimum investment of only $10,000 ($3,000 for an individual
retirement account). You may make additional investments in minimums of only
$2,500.

LIMITED LIABILITY

     If you open an individual futures account, you will be generally liable for
all losses incurred in the account, and may lose substantially more than you
committed to the account. However, as an investor in the Fund, you cannot lose
more than your investment plus undistributed profits.

ADMINISTRATIVE CONVENIENCE

     The general partner is responsible for all aspects of the Fund's operation.
You will receive monthly unaudited and annual audited financial reports as well
as information necessary for you to complete your federal income tax returns.
The approximate daily net asset value per Unit will be available on Bloomberg or
by calling representatives of the general partner at 212-693-7047.

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

     The Fund was formed on May 13, 2003 under the laws of the State of
Delaware. To date, its only activities have been preparing for this offering and
accepting capital contributions of $1,000 from the general partner and $1 from
the initial limited partner. The Fund has not begun trading. Therefore, the
financial statement of the Fund included in the prospectus is not indicative of
future operating results. The Fund's future operating results will depend in
large part upon the commodity and financial futures markets in general, the
Index SPC's performance, changes in interests rates and the amount of
subscriptions and redemptions. Because of the nature of these factors and their
interaction, it is impossible to predict future operating results, financial
position and cash flows of the Fund.

     The portfolio managers will make all trading decisions on behalf of the
Index SPC. The general partner will have no control over the operation of the
Index SPC. The Fund's performance results will be reported to you monthly along
with a discussion of the Index SPC's trading activities. As a limited partner,
however, you will not know the Index SPC's actual positions.

                                       16
<Page>

CRITICAL ACCOUNTING POLICIES - VALUATION OF THE INDEX SPC'S POSITIONS

     The general partner believes that the accounting policies that will be most
critical to the Fund's financial condition and results of operations relate to
the valuation of the Index SPC's positions. The majority of the Index SPC's
positions will be exchange-traded futures contracts, which will be valued daily
at settlement prices published by the exchanges. The Index SPC's spot and
forward foreign currency contracts will also be valued at published daily
settlement prices or at dealers' quotes. Swap contracts generally will be valued
by reference to published settlement prices or dealers' quotes in related
markets or other measures of fair value deemed appropriate by the general
partner. The general partner does not believe that the Index SPC will trade
swaps to a significant degree. Thus, the general partner expects that under
normal circumstances substantially all of the Index SPC's assets, and as a
result the Fund's assets, will be valued by objective measures and on a timely
basis.

PERFORMANCE INFORMATION

THE FUND

     THIS POOL HAS NOT COMMENCED TRADING AND DOES NOT HAVE ANY PERFORMANCE
HISTORY

THE GENERAL PARTNER

     The following Capsule A sets forth performance information for the 10 other
pools operated to date by the general partner, all 10 of which are multi-advisor
pools.

                     [REMAINDER OF PAGE INTENTIONALLY BLANK]

                                       17
<Page>

                                    CAPSULE A

       CAPSULE PERFORMANCE OF OTHER POOLS OPERATED BY THE GENERAL PARTNER
                         JANUARY 1, 1998 - MAY 31, 2003

<Table>
<S>                          <C>                      <C>                   <C>                  <C>                 <C>
NAME OF POOL:                  MBFB I Trading          Refco Global         Capricorn Trading      Mercury MTC          Venus MTC
                               Company Limited           Financial            Co. Limited           (Cayman)            (Cayman)
                                                       Futures Trust                                 Limited             Limited
                                                          (Thales
                                                        Bermuda LP)

TYPE OF POOL:                 Privately Offered          Privately          Privately Offered       Privately           Privately
                                                          Offered                                   Offered/            Offered/
                                                                                                    Principal           Principal
                                                                                                    Protected           Protected

INCEPTION OF TRADING:           July 1, 1994          April 8, 1998         February 9, 1998     April 1, 1992       April 1, 1993

AGGREGATE GROSS
SUBSCRIPTIONS:               1,984,999,800 Yen          $8,592,697             $6,940,746          $27,623,781         $43,260,813

CURRENT NET ASSET VALUE:             0                  $7,883,079             $3,522,004              $0                  $0

WORST MONTHLY DRAWDOWN*:       -5.23% (1/99)          -8.00% (4/00)          -5.68% (7/98)       -6.08% (11/98)      -6.00% (12/98)

WORST PEAK-TO-VALLEY              -17.48%                -22.14%                 -9.93%              -9.39%             -15.23%
DRAWDOWN**:                     (2/98-7/98)            (7/99-11/01)           (5/99-12/02)        (1/99-5/99)         (3/98-8/98)

2003 COMPOUND RATE  OF
RETURN:                              --                   2.69%                 14.94%                 --                  --

2002 COMPOUND RATE OF
RETURN:                              --                   6.99%                 -2.48%                 --                  --

2001 COMPOUND ANNUAL RATE
OF RETURN:                           --                  -4.66%                 -0.02%                 --                  --

2000 COMPOUND ANNUAL RATE
OF RETURN:                           --                 -10.03%                 -3.57%                0.02%              -4.49%

1999 COMPOUND ANNUAL RATE
OF RETURN:                         -1.53%                 5.48%                  5.62%               13.92%              16.31%

1998 COMPOUND ANNUAL RATE          10.72%               9.49% (from           -0.64% (from           17.57%              -0.23%
OF RETURN:                                             April 8, 1998)       February 9, 1998)
</Table>

     *"Worst Monthly Drawdown" is the largest negative monthly rate of return
experienced by a pool.
     **"Worst Peak-to-Valley Drawdown" is the greatest percentage decline in net
asset value experienced by a pool without such net asset value being
subsequently equaled or exceeded. For example, if the value of a pool unit
dropped by 1% in each of January and February, rose 1% in March and dropped
again by 2% in April, a "Peak-to-Valley Drawdown" would be still continuing at
the end of April in the amount of approximately -3%, whereas if the value of the
pool unit has risen by approximately 2% or more in March, the drawdown would
have ended as of the end of February at the -2% level.

     PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

     Purchasers of Units will acquire no interests in these pools.

                                       18
<Page>

                              CAPSULE A (Continued)

       CAPSULE PERFORMANCE OF OTHER POOLS OPERATED BY THE GENERAL PARTNER
                         JANUARY 1, 1998 - MAY 31, 2003



<Table>
<S>                          <C>                     <C>                   <C>                  <C>                 <C>
NAME OF POOL:                     Selective            Northern Star       The Admiral Futures    Clark Street          Dearborn
                                  Financial            Hedge Fund I            Fund, Ltd.         Futures Fund       Street Futures
                              Portfolio Limited                                                                           Fund

TYPE OF POOL:                 Privately Offered          Privately          Publicly Offered        Publicly            Publicly
                                                          Offered                                   Offered             Offered

INCEPTION OF TRADING:        September 1, 1998       January 1, 1999         June 18, 1981      August 18, 1983     August 18, 1983

AGGREGATE GROSS
SUBSCRIPTIONS:                   $7,035,769             $43,676,694            $1,388,881          $2,806,266          $1,101,645

CURRENT NET ASSET VALUE:         $8,304,581             $42,976,502                $0                  $0                  $0

WORST MONTHLY DRAWDOWN*:       -4.75% (4/01)          -5.23% (4/00)          -14.51% (3/00)     -20.34% (11/01)      -15.49% (2/01)

WORST PEAK-TO-VALLEY              -18.51%                -30.00%                -34.47%             -32.83%             -71.01%
DRAWDOWN**:                     (5/99-03/03)           (5/99-3/03)            (3/00-5/00)         (3/00-5/00)         (2/98-9/01)

2003 COMPOUND RATE  OF
RETURN:                             3.86%                  1.24%                   --                  --                  --

2002 COMPOUND RATE OF
RETURN:                            -5.66%                 -0.52%                   --                45.27%                --

2001 COMPOUND ANNUAL RATE
OF RETURN:                         -0.15%                 -8.82%                 -3.58%             -15.04%              -23.79%

2000 COMPOUND ANNUAL RATE
OF RETURN:                         -2.52%                 -9.86%                 18.88%              16.67%              -22.57%

1999 COMPOUND ANNUAL RATE
OF RETURN:                         -9.53%                 -1.48%                 11.31%               5.20%              -14.37%

1998 COMPOUND ANNUAL RATE       1.82% (from                 --                    9.91%               2.07%              -10.67%
OF RETURN:                   September 1, 1998)
</Table>

     *"Worst Monthly Drawdown" is the largest negative monthly rate of return
experienced by a pool.
     **"Worst Peak-to-Valley Drawdown" is the greatest percentage decline in net
asset value experienced by a pool without such net asset value being
subsequently equaled or exceeded. For example, if the value of a pool unit
dropped by 1% in each of January and February, rose 1% in March and dropped
again by 2% in April, a "Peak-to-Valley Drawdown" would be still continuing at
the end of April in the amount of approximately -3%, whereas if the value of the
pool unit has risen by approximately 2% or more in March, the drawdown would
have ended as of the end of February at the -2% level.

     PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

     Purchasers of Units will acquire no interest in these pools.

                                       19
<Page>

THE SUB-INVESTMENT MANAGER

     The actual and pro forma performance record of the Index SPC is set forth
in Capsules B and C below. The Sub-Investment Manager also acts as the
investment manager or commodity pool operator for other privately offered
limited partnerships and as the sponsor of offshore investment vehicles. The
performance results of these other vehicles is not being presented pursuant to
relief under CFTC Regulation 4.7.

     THE INDEX SPC - ACTUAL EXTRACTED PERFORMANCE

     The Index SPC trades pursuant to two different programs. The Fund's assets
will be traded pursuant to the Index SPC's S&P Managed Futures Index Program -
which allocates assets to the 14 constituents of the Index proportional to their
weight in the Index. The Index is rebalanced annually in January to equal
weighting among constituents. The other program traded by the Index Fund is the
S&P Hedge Fund Index which allocates assets to only four managed futures
programs. The Index SPC commenced trading the S&P Hedge Fund Index program on
July 16, 2002. The Index SPC commenced trading the S&P Managed Futures Index
program on December 10, 2002, but made allocations only to 12 of the
constituents. On December 23, 2002, it made allocations to the remaining two
constituents. S&P began calculating the S&P Managed Futures Index values on
January 1, 2003. To present the fairest representation of the Index SPC's
performance, the following capsule (1) excludes the performance related to the
S&P Hedge Fund Index program and (2) aggregates the performance of the 14
portfolios to develop composite figures.

                     [REMAINDER OF PAGE INTENTIONALLY BLANK]

                                       20
<Page>

                                    CAPSULE B

     EXTRACTED ACTUAL CAPSULE PERFORMANCE OF SPHINX MANAGED FUTURES FUND SPC

Name of Pool: SPhinX Managed Futures Fund SPC
Type of Pool: Privately Offered
Inception of Trading:  December 10, 2002
Aggregate Gross Subscriptions: $83,189,500
Current Net Asset Value: $97,351,046
Worst Monthly Draw-down*: -7.62% (3/03)
Worst Peak-to-Valley Draw-down**: -7.62% (3/03-3/03)

<Table>
<Caption>
                     RATES OF RETURN

                (COMPUTED ON A COMPOUNDED
                       MONTHLY BASIS)
                -------------------------
   MONTH           2003            2002
------------    ----------      ---------
<S>               <C>             <C>
January            6.96%
February           6.93%
March             -7.62%
April              0.78%
May                6.43%
June
July
August
September
October
November
December                          5.61%
Year              13.33%          5.61%
</Table>

     *"Worst Monthly Drawdown" is the largest negative monthly rate of return
experienced by a pool.

     **"Worst Peak-to-Valley Drawdown" is the greatest percentage decline in net
asset value of a pool experienced by the pool without such net asset value being
subsequently equaled or exceeded. For example, if the value of a pool unit
dropped by 1% in each of January and February, rose 1% in March and dropped
again by 2% in April, a "Peak-to-Valley Drawdown" would still be continuing at
the end of April in the amount of approximately -3%, whereas if the value of the
pool unit had risen by approximately 2% or more in March, the drawdown would
have ended as of the end of February at the -2% level.

     PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

     THE INDEX SPC - PRO FORMA PERFORMANCE (REFLECTING THE FUND'S ADDITIONAL
FEES AND EXPENSES)

     To illustrate the effect of the Fund's fees and expenses, the following
capsules presents the performance record of the Index SPC (as set forth in
Capsule C), but it has been adjusted to reflect the fees to which the Fund will
be subject in its first year of trading.

                     [REMAINDER OF PAGE INTENTIONALLY BLANK]

                                       21
<Page>

                                    CAPSULE C

        PRO FORMA CAPSULE PERFORMANCE OF SPHINX MANAGED FUTURES FUND SPC

Name of Pool: SPhinX Managed Futures Fund SPC
Type of Pool: Privately Offered
Inception of Trading:  December 10, 2002
Aggregate Gross Subscriptions:  $83,189,500
Current Net Asset Value: $97,351,046
Worst Pro Forma Monthly Draw-down*: -8.04% (3/03)
Worst Pro Forma Peak-to-Valley Draw-down**: -8.04% (3/03-3/03)

<Table>
<Caption>
                     RATES OF RETURN

                (COMPUTED ON A COMPOUNDED
                       MONTHLY BASIS)
                -------------------------
   MONTH           2003            2002
------------    ----------      ---------
<S>               <C>             <C>
January            6.51%
February           6.49%
March             -8.04%
April              0.35%
May                5.99%
June
July
August
September
October
November
December                          5.16%
Year              10.94%          5.16%
</Table>

     *"Worst Monthly Drawdown" is the largest negative monthly rate of return
experienced by a pool.

     **"Worst Peak-to-Valley Drawdown" is the greatest percentage decline in net
asset value of a pool experienced by the pool without such net asset value being
subsequently equaled or exceeded. For example, if the value of a pool unit
dropped by 1% in each of January and February, rose 1% in March and dropped
again by 2% in April, a "Peak-to-Valley Drawdown" would still be continuing at
the end of April in the amount of approximately -3%, whereas if the value of the
pool unit had risen by approximately 2% or more in March, the drawdown would
have ended as of the end of February at the -2% level.

     PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THE GENERAL PARTNER

     RefcoFunds Holdings, LLC, the general partner, is a Delaware limited
liability company organized on January 21, 1999 to manage discretionary accounts
in futures and forward markets. RefcoFunds Holdings, LLC is the successor entity
after a merger with RefcoFund Holdings Corporation. RefcoFund Holdings
Corporation was incorporated in Delaware on May 16, 1981 under the name
ContiFund Management Corporation. As of May 31, 2003, the general partner was
managing approximately $63 million in client assets.

     RefcoFund Holdings is the futures asset management subsidiary of Refco
Group Ltd., LLC, which is the parent company of a network of global firms
providing financial services to a broad range of predominantly institutional
clients on a world-wide basis. The core of these

                                       22
<Page>

activities consists of the brokerage and clearing of financial and commodity
futures and options contracts on global regulated markets. The general partner
administers, monitors and structures money management products for investors and
manages futures funds. The general partner currently manages futures trading
programs in Asia, Europe, Canada and the United States.

     The general partner has been registered with the CFTC as a commodity pool
operator since October 14, 1981 and as a commodity trading advisor since
September 21, 1993 and is a member of NFA. The registration of the general
partner with the CFTC must not be taken as an indication that the CFTC has
recommended or approved wither the general partner or the Fund.

     The general partner will be required to make and maintain a cash general
partnership investment in the Fund equal to 1% of the total contributions of all
limited partners to the Fund. The general partner may make withdrawals of any
investment in excess of this amount. However, the general partner has no intent
or commitments to, nor is it a reasonable possibility that the general partner
will, fund cash flow deficits, if any, or provide other direct or indirect
financial assistance to the Fund.

BACKGROUND AND MANAGEMENT

     PHILLIP R. BENNETT has been a Manager of the general partner since its
inception. Mr. Bennett has been the President of Refco Capital LLC since
September 1981 and President and Chief Executive Officer of Refco Group Ltd.,
LLC since March 1999 and May 1985, respectively. Mr. Bennett has also been a
manager of Refco Alternative Investments, LLC since its inception in October
1999. Mr. Bennett received his M.A. in Geography from Cambridge University in
1970.

     THOMAS HACKL has been a Manager of the general partner since July 2003. Mr.
Hackl joined Refco Group Ltd., LLC in June 2002, as a member of the management
Committee and Executive Vice President of Refco Group Ltd., LLC and is in charge
of global asset management. Mr. Hackl was the Head Treasury and Investment
Banking in BAWAG - PSK Group, Austria's largest private bank. He joined BAWAG in
1991. He was also a member of various other positions related to BAWAG. Prior to
that, he was a Department Head at Badenwuerttembergische Bank in Stuttgart,
Germany from 1987 - 1991. Mr. Hackl graduated from the University of Mannheim,
Germany with a degree in Business Administration.

     JOSEPH MURPHY has been a Manager of the general partner since October 1999.
Mr. Murphy also has been the President of the general partner since October
1999. In addition, Mr. Murphy has been a Manager of Refco Alternative
Investments, LLC since October 1999. Mr. Murphy is also the Chief Executive
Officer of Refco, LLC, one of the largest institutional and retail brokers in
the world. He is also Executive Vice President of Refco Group Ltd., LLC, a
provider of a broad range of financial services to clients located throughout
the world. Prior to joining Refco, Mr. Murphy held positions at Chase Manhattan
Bank and HSBC Futures. Mr. Murphy received his Bachelor of Science from
Providence College. Mr. Murphy's professional affiliations include serving as
Vice-Chairman of the Board for the Futures Industry Association, Vice-Chairman
of the Board of Trade Clearing Corporation, a director of the NFA, and a member
of the Advisory Board for NQLX.

                                       23
<Page>

     DAVID A. KUGLER has been the President of the general partner since July
2003. Mr. Kugler has worked with leading investment firms since September 1990
and has specialized in asset management since January 1997. At Refco Alternative
Investments, LLC Mr. Kugler oversees product development and marketing strategy
and serves as the group's liaison with senior Refco management. Prior to joining
Refco in September 2002, he was managing director for the Alternative Investment
Products Group at Orbitex Financial Services Group from May to September 2002.
In that role, he developed a team that structured and distributed both domestic
and offshore alternative products, raising in excess of USD150 million in assets
in less than six months. In January1997, Mr. Kugler founded Monument Funds Group
("Monument Funds") and attracted more than USD 400 million in leading edge,
long-only technology mutual funds. Mr. Kugler sold Monument Funds in May 2000 to
Orbitex. Between September 1990 and January 1997 Mr. Kugler was a top financial
consultant at Merrill Lynch and Paine Webber, two large brokerage firms,
advising high net worth investors and institutions on financial strategies. Mr.
Kugler began his professional career as a Naval officer and aviator, flying
sensitive missions throughout Northern Europe, the Mediterranean, the Mid East
and North Africa during the period 1983 to 1989. Mr. Kugler received his BA in
Economics from the State University of New York in Albany, New York.

     PHILIP SILVERMAN has been Secretary of the general partner since June 1997.
In addition, Mr. Silverman has been a Manager and Secretary of Refco Alternative
Investments, LLC since October 1999. Mr. Silverman has served as Secretary of
Refco Group Ltd., LLC since June 1996, as Manager and Secretary of
Forstmann-Leff International Associates, LLC since May 1997, and as a Manager of
Forstmann-Leff Associates, LLC since June 1997. Mr. Silverman received his
B.B.A. in Marketing/Accounting from Baruch College in 1976 and his MBA in
Accounting from Long Island University in 1980. Mr. Silverman is a certified
public accountant.

THE SUB-INVESTMENT MANAGER

     PlusFunds, the sub-investment manager, is a Delaware corporation organized
on March 25, 2002.

     PlusFunds has been registered with the CFTC as a as a commodity pool
operator since July 1, 2002 and as a commodity trading advisor since March 14,
2003 and is a member of NFA. The registration of PlusFunds with the CFTC must
not be taken as an indication that the CFTC has recommended or approved either
PlusFunds or the Fund.

BACKGROUND AND MANAGEMENT

     GABRIEL BOUSBIB, Chief Executive Officer. From January 1996 to July 2001,
Mr. Bousbib held a number of operating and corporate development positions with
the Reuters Group. In his last position at Reuters, Mr. Bousbib was Managing
Director of Business Development with responsibility for Reuters acquisitions
and strategic investments in the buy-side and technology segments. During his
tenure, Mr. Bousbib led Reuters' largest acquisitions in the Americas, as well
as in the financial technology space and was involved in Reuters' first
investment in the wealth management space. Mr. Bousbib was previously Senior
Vice President and Chief Operating Officer, Risk Management Division, Reuters
America Holdings. He had

                                       24
<Page>

overall operational responsibility for Reuters' application software business in
the Americas, including sales and marketing, technical and application support,
as well as development and financial engineering. Prior to joining Reuters, Mr.
Bousbib was a Managing Director and principal of the CBM Group, Inc., a
management consulting firm specializing in financial services and risk
management, from July 1992 to December 1995. Mr. Bousbib was the founder of MYCA
Inc., a software company developing risk management systems for derivative
dealers. Mr. Bousbib started his career in the securities industry in May 1987
when he joined Merrill Lynch Capital Markets as a risk manager and trader in
Merrill Lynch's global derivatives group. Mr. Bousbib holds an M.B.A. from
Columbia University Graduate School of Business and is a graduate from Ecole
Polytechnique in Paris.

     CHRISTOPHER SUGRUE, Chairman and Cofounder. Mr. Sugrue has been active in
the private equity and hedge fund market since 1993 both as an investor and
advisor to various organizations in the alternative investments arena. From 1993
to 1998 Mr. Sugrue was a Senior Vice President of Refco Group Ltd, working
directly for the Chairman and Principals of the firm. From 1998 to present he
has served as the Chairman of PlusFunds Group Inc. Mr. Sugrue graduated from the
College at the University of Chicago and also holds a Masters Degree from the
University of Chicago in Politics and Economics.

     DIEGO WINEGARDNER, Vice Chairman and Cofounder. Since September 1991, Mr.
Winegardner has been involved in all facets of the alternative investment
management process including manager research, due diligence, portfolio
construction and ongoing monitoring of related investments. From October 1996
until the formation of PlusFunds in April 1998, Mr. Winegardner founded and
served as President of Sagax Capital Management, Inc. At Sagax, Mr. Winegardner
launched a fund of funds investment partnership that managed assets in
alternative investments for high net worth clients as well as providing
consulting services to institutions investing in hedge funds. From November 1992
until August 1996, Mr Winegardner served as Managing Director of Alternative
Investments for The Winegardner Companies, a private family office. Mr.
Winegardner began his career working for Bearbull SA Geneva, Switzerland. He is
a graduate of Cornell University.

     CHRIS ALIPRANDI, Chief Financial Officer. Mr. Aliprandi has 20 years of
accounting and finance experience in the financial services and software
industries. Prior to joining PlusFunds in July 2002, Mr. Aliprandi was the Chief
Financial Officer of Kinexus Corporation from March 2000 to March 2002, a
software start-up that was sold to a public company in February of 2002. Prior
to that from January 1997 to March 2000, Mr. Aliprandi was a Partner at Cantor
Fitzgerald L.P and served as the New York Controller. He managed a staff of 46
and was responsible for management and financial reporting. He also assisted
with the development of an S-1 registration statement and negotiation of several
financing transactions. Prior to joining Cantor Fitzgerald L.P., Mr. Aliprandi
was a Vice President at Bankers Trust Co. from January 1995 to January 1997 and
also a Vice President and Morgan Stanley and Co. from July 1986 to January 1995,
serving in the Controller function. Prior to that, Mr. Aliprandi was an audit
senior at Price Waterhouse and Company from July 1983 to July 1986. Mr.
Aliprandi is a CPA and has a B.S. in Accounting from the University of Delaware.

     CHRIS ROSE, Chief Operating Officer. Mr. Rose has over 18 years experience
in the Capital Markets industry. Prior to joining PlusFunds in January 2000, Mr.
Rose was a Senior

                                       25
<Page>

Manager at Ernst & Young from May 1999 to December 1999 specializing in
electronic commerce in the Capital Markets arena. Prior to Ernst and Young, Mr.
Rose held a variety of strategic technology management positions at J.P. Morgan
from November 1990 to June 1994, Goldman Sachs from June 1994 to May 1997 and
Merrill Lynch from May 1997 to May 1999, focusing primarily on global technology
for the Institutional and High Net Worth Sales forces and their Client. Mr. Rose
is a graduate of Oxford University where he obtained a Masters degree in
Engineering.

INVESTMENT PROGRAM

     The Fund's investment objective is to seek investment returns that
substantially track the Index. Standard & Poor's has long been recognized
worldwide as a global provider of equity indices. In October 2002, Standard &
Poor's launched the Standard & Poor's Hedge Fund Index. In January 2003,
Standard & Poor's launched the Index, which is an expansion of the managed
futures subset of the Standard & Poor's Hedge Fund Index. Standard & Poor's is
responsible for calculating the Index and publishes Index values on the Standard
& Poor's website: www.standardand poors.com. The Index is rebalanced annually or
as required by Standard & Poor's. Addition or deletion of Index constituents is
at the sole discretion of Standard & Poor's Index Committee. The Index is
designed to offer an investable benchmark that is representative of the managed
futures segment of hedge fund investing. The Index focuses on the systematic,
trend-following trading methodologies that constitute the significant majority
of managed futures investment strategies. Constituents of the Index are
portfolio managers using managed futures strategies.

     The general partner will pursue the Fund's investment objective by
allocating the Fund's assets to the Index SPC. The Index SPC, which is managed
by PlusFunds, allocates its assets to portfolio managers that generally employ a
broad range of systematic trading strategies in the futures markets. Other
markets, such as the interbank foreign exchange market, may be used as well. The
Index SPC is designed to track the Index, and thus to provide investors with
exposure to a broad cross section of systematic managed futures strategies
through a single investment. Investors will have access to a variety of managed
futures strategies without being subject to high minimum requirements that might
otherwise be imposed. The Fund provides investors with access to professionally
selected managers who are considered by Standard & Poor's to be representative
of managed futures trading strategies. These managers may not be otherwise
available to investors. The Fund will not invest in the Index, nor will the
return of the Fund exactly track the performance of the Index. As constituent
allocations change from time to time in the Index as a result of Standard &
Poor's changes in Index composition, the Index SPC likewise intends to adjust
its allocations to reflect the Index composition.

     The Index is designed as a benchmark of the performance of various managed
futures trading strategies. Managed futures trading advisors trade in financial
and commodity markets around the world. Typical investment and trading
instruments used by trading advisors include futures contracts, forward
contracts, options on futures contracts, swaps and other derivative products,
and physical commodities. Trading advisors that follow a systematic approach
tend to take positions based on computer-generated models to identify trades,
determine size of positions and precisely time trades. The trading advisors
represented in the Index follow systematic trading approaches, employing mainly
technical trend-following and pattern recognition trading

                                       26
<Page>

methods. There are no limits on the amount of leverage a trading advisor may use
in connection with its trading strategies.

     The portfolio managers, which will be initially equally weighted within the
Index, are included in the Index are selected based on, among other things,
Standard & Poor's analysis of:

     - the portfolio manager's trading strategy;

     - risk/return characteristics;

     - volatility levels;

     - performance during various time periods and market cycles; and

     - the structure of the portfolio manager's portfolio and the types of
       instruments held.

     Other factors include (1) the portfolio manager's reputation, experience
and training; (2) the portfolio manager's articulation of, and adherence to, the
portfolio manager's stated investment philosophy; (3) the quality and stability
of the portfolio manager's organization, including internal and external
professional staff and (4) the presence and deemed effectiveness of the
portfolio manager's risk management discipline. Portfolio managers are generally
required to have two to three years of performance history to qualify for
inclusion in the Index, and minimum assets under management of $75 million using
the relevant trading strategy.

     The process of constructing the Index begins by identifying a set of
candidate portfolio managers for potential membership by the Standard & Poor's
Index Committee. These candidates include portfolio managers of programs that
actively report data to certain public databases, as well as other portfolio
managers who do not report to the databases but are identified through other
means. From the set of the candidate portfolio managers, those portfolio
managers whose structure, behavior and/or history is, in the opinion of the
Standard & Poor's Index Committee, inconsistent with the institutional
constraints, requirements and the guidelines discussed elsewhere are eliminated.
A portfolio manager's methodology is analyzed for its adherence to its stated
strategy and its relevance to the Index. Historical returns for these programs
are collected from the portfolio managers. The returns are subject to a number
of screens in order to identify a subset of portfolio managers that would
satisfy the selection criteria of the Standard & Poor's Index Committee. In
addition to qualitative information such as portfolio manager
self-classification and the portfolio manager's description of investment
approaches, the Standard & Poor's Index Committee employs advanced statistical
methods in an effort to identify those portfolio managers that are most
representative of managed futures strategies. Portfolio managers that do not
satisfy the minimum correlation criteria are generally not considered.
Statistical analysis techniques are used to group portfolio managers and to
check for internal consistency with the required criteria.

     The Standard & Poor's Index Committee is charged with overseeing the
methodology and operations of the Index and has primary responsibility for the
Index's strategy classifications, composition and methodology. The Standard &
Poor's Index Committee is also responsible for ensuring that the Index maintains
the standards outlined above. The Standard &

                                       27
<Page>

Poor's Index Committee is controlled by representatives, including the
Chairperson, from Standard & Poor's, but may include industry experts from
outside Standard & Poor's.

     The Index is not managed in an effort to achieve specific investment
returns or with regard to the interests of the Fund, the Index SPC or their
investors. The constituents of the Index, a more detailed description of the
Standard & Poor's Managed Futures Index structure, methodology, definitions and
practices prepared by Standard & Poor's, as well as the results for the Index,
are available on the S&P Indices area of www.standardandpoors.com. The contents
of that website are not incorporated by reference into this prospectus.

THE INDEX SPC

     The Index SPC was organized in July 2002 as a Cayman Islands exempted
segregated portfolio company and operates pursuant to Part XIV of the Companies
Law (2002 Revisions).

     Since the Index SPC is designed to achieve returns that substantially track
the Index, portfolio managers generally are selected based on such portfolio
manager's representation in the Index, and allocations among the portfolio
managers are generally made according to a weighting scheme that is designed to
replicate the weighting scheme applied by Standard & Poor's in respect to the
Index. As of the date of this prospectus, the portfolio managers (and the
trading programs they use for the Index) are:

     - Aspect Capital Limited (Aspect Diversified Program);

     - Beach Capital Management Limited (Beach Discretionary Programme);

     - Campbell & Company, Inc. (Financial, Metals & Energy Large Portfolio);

     - Chesapeake Capital Corporation (The Diversified Program);

     - Dunn Capital Management, Inc. (Dunn Combined Financial);

     - Eclipse Capital Management, Inc. (Global Monetary Program);

     - Graham Capital Management, L.P. (Global Diversified Program);

     - Hyman Beck & Company, Inc. (The Global Portfolio);

     - John W. Henry & Company, Inc. (Global Financial & Energy Portfolio);

     - Beacon Management Corporation (USA) (Meka - MV);

     - Millburn Ridgefield Corporation (Diversified Portfolio);

     - Rotella Capital Management, Inc. (The Polaris Program);

     - Willowbridge Associates Inc. (Argo Trading System); and

     - Winton Capital Management Ltd. (Diversified Program).

                                       28
<Page>

     These portfolio managers, and their strategies, are subject to change.

     The Index SPC will adhere to the following investment restrictions, some of
which have more application to securities trading rather than futures trading:

     - No more than 20% of the value of the gross assets of the assets allocated
     to a portfolio manager may be lent to or invested in the securities of any
     one issuer or may be exposed to the creditworthiness or solvency of any one
     counterparty;

     - No more than 40% of the value of the gross assets of the assets allocated
     to a portfolio manager may be invested in any other fund or may be
     allocated to any other manager to manage on a discretionary basis, provided
     that the other fund or manager operates on the principle of risk spreading

     - No more than 20% of the value of the gross assets of the Index SPC may be
     invested in other funds whose principal investment objective includes
     investing in other funds;

     - The portfolios traded by the portfolio managers on behalf of the Index
     SPC may not take legal or management control of the issuer or any of its
     underlying assets; and

     - The portfolio managers must observe the general principle of
     diversification of risk in their derivatives trading

     Except where specified to the contrary, the above restrictions apply as of
the date of the relevant transaction or commitment to invest. Changes in the
investments of the Index SPC will not have to be effected merely because any of
the limits contained in such restrictions would be breached as a result of any
appreciation or depreciation in value, or by reason of the receipt of any right,
bonus or benefit in the nature of capital or of any scheme or arrangement for
amalgamation, reconstruction or exchange or by reason of any other action
affecting every holder of the relevant investment. However, no further relevant
securities will be acquired until the limits are again complied with. In the
event that any of the investment restrictions are inadvertently breached,
PlusFunds will take reasonable steps to rectify the breach.

     The general partner does not intend to invest the Fund's assets directly
other than in the Index SPC, except that the general partner may invest funds
temporarily in U.S. government obligations, money market accounts or other
short-term interest-bearing accounts. The Fund will not borrow money for the
purposes of making investments in the Index SPC. The Fund may borrow money on a
secured or unsecured basis from banks for cash management purposes, and will pay
interest on such borrowed monies. There is no internal limit on the amount that
the Fund may borrow.

     Refco, LLC, an affiliate of the general partner and of the selling agent,
acts as futures broker for the Index SPC and in such capacity provides
execution, clearing and margin services in connection with futures and
commodities trading activities. Refco Capital Markets, also an affiliate of the
general partner and of the selling agent, acts as the dealer for the Index SPC
for currency trading.

                                       29
<Page>

     Neither the Fund nor the Index SPC are sponsored, endorsed, sold or
promoted by Standard & Poor's. Standard & Poor's makes no representation or
warranty, express or implied, to investors in the Fund regarding the
advisability of investing in managed futures generally or in the Fund
particularly or the ability of the S&P Managed Futures Index to track the market
performance of managed futures. Standard & Poor's only relationship to PlusFunds
and the Refco Group is the licensing of various trademarks and trade names of
Standard & Poor's and of the Standard & Poor's Managed Futures Index, which is
determined, composed and calculated by Standard & Poor's without regard to
PlusFunds, the Refco Group, the Fund or the Index SPC. Standard & Poor's has no
obligation to take the needs of PlusFunds, the Refco Group, or investors in the
Fund or the Index SPC into consideration in determining, composing or
calculating the Standard & Poor's Managed Futures Index. Standard & Poor's is
not responsible for, and has not participated in, the determination of the
timing of, prices at, or quantities of interests in the Fund or the Index SPC to
be issued. Standard & Poor's has no obligation or liability in connection with
the administration, marketing or trading of the Fund or the Index SPC.

     STANDARD & POOR'S DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS
OF THE INDEX OR ANY DATA INCLUDED THEREIN AND STANDARD & POOR'S SHALL HAVE NO
LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. STANDARD & POOR'S
MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED FROM THE USE
OF THE INDEX OR ANY DATA INCLUDED THEREIN. STANDARD & POOR'S MAKES NO EXPRESS OR
IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR
FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA
INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL
STANDARD & POOR'S HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR
CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE
POSSIBILITY OF SUCH DAMAGES.

     THE FUND'S INVESTMENT STRATEGIES INVOLVE SUBSTANTIAL RISK. THERE CAN BE NO
ASSURANCE THAT THE INVESTMENT OBJECTIVE OF THE FUND WILL BE ACHIEVED, OR THAT
THE FUND WILL HAVE ANY PROFITS OR WILL NOT EXPERIENCE SUBSTANTIAL LOSSES.

USE OF PROCEEDS

     The general partner expects that the proceeds from the sale of Units, net
of the Fund's organization costs, offering costs and ongoing fees and expenses,
will be invested in the Index SPC as soon as practicable after the receipt of
such proceeds by the Fund.

     The Fund will not lend any of its assets to any person or entity other than
through permitted securities investments, like repurchase agreements. The
general partner will not commingle the property of the Fund with the property of
any other person or entity in violation of law.

                                       30
<Page>

CHARGES

     The general partner believes that you should consider the charges to which
the Fund is subject when making your investment decision.

                            CHARGES PAID BY THE FUND

<Table>
<Caption>
                               NATURE OF
   RECIPIENT                    PAYMENT                        AMOUNT OF PAYMENT
-------------------      --------------------     ------------------------------------------
<S>                      <C>                      <C>
General Partner          Management Fee           The Fund will pay the general partner a
                                                  monthly management fee equal to 0.3125%
                                                  of the Fund's net assets as of the end
                                                  of each month (a 3.75% annual rate).
                                                  From this amount the General Partner
                                                  will pay the organizational and initial
                                                  offering expenses of the Fund. In
                                                  addition, beginning in the 13th month
                                                  following the purchase of any Units, the
                                                  General Partner will pay to the selling
                                                  agents of the Units a monthly trailing
                                                  commission equal to 0.1875% of the
                                                  Fund's month-end Net Assets per Unit (a
                                                  2.25% annual rate) multiplied by the
                                                  number of Units placed by the selling
                                                  agent for providing additional services
                                                  in connection with the Units.

General Partner          Administrative Fee       The Fund will pay the general partner a
                                                  monthly administrative fee equal to
                                                  0.0208% of the Fund's net assets as of
                                                  the end of each month (a 0.25% annual
                                                  rate).

General Partner          Upfront Selling          The general partner will pay the selling
                         Commission               agents an upfront selling commission
                         Reimbursement            equal to 3% of the subscription amount.
                                                  The Fund will reimburse the general
                                                  partner by paying the general partner an
                                                  amount equal to 0.0625% of the Fund's
                                                  net assets as of the end of each month
                                                  (a 0.75% annual rate), provided,
                                                  however, that the Fund will cease to
                                                  reimburse the general partner with
                                                  respect to any upfront selling
                                                  commission when the general partner has
                                                  received the amount originally paid by
                                                  the general partner, plus interest.

General Partner          Redemption Fees          A redemption fee of 3% of net asset
                                                  value per Unit applies if you redeem
                                                  Units within 12 months of their original
                                                  purchase. After the 12th month following
                                                  purchase of a Unit, no redemption fees
                                                  apply.
</Table>

                                       31
<Page>

<Table>
<S>                      <C>                      <C>
Index SPC                Pro Rata portion of      As a limited partner in the Index SPC,
                         the expenses of          the Fund will pay its pro rata share of the
                         the Index SPC            fees and expenses of the Index  SPC,
                                                  which include (1) management fees and
                                                  incentive fees, if any, paid to the
                                                  portfolio managers; (2) fees paid to the
                                                  Index SPC's administrator; (3)
                                                  brokerage commissions and other
                                                  transaction-related expenses of the
                                                  Index SPC; and (4) organizational
                                                  expenses, accounting, audit and legal
                                                  expenses, custodial fees and any
                                                  extraordinary expenses of the Index SPC.
                                                  The management fees paid to the
                                                  portfolio managers generally are
                                                  expected to range from 1% to 2.50% per
                                                  annum of the assets allocated to a
                                                  portfolio manager. Each portfolio
                                                  manager also receives an annual
                                                  incentive fee based on the net trading
                                                  gain of the assets allocated to the
                                                  portfolio manager. The incentive fees
                                                  are generally expected to range from 15%
                                                  to 25% of net trading gain.

Third Parties            Ongoing Offering         The Fund will pay its ongoing offering
                         Expenses                 expenses. These expenses are not
                                                  expected in the aggregate to exceed
                                                  0.25% per annum of the month-end net
                                                  asset value of the Fund.

Third Parties            Ordinary Expenses        Paid as incurred, these expenses include
                                                  the legal, audit and other routine
                                                  expenses of the Fund. These costs are
                                                  estimated at an annual rate of 0.15% of
                                                  the Fund's net asset value.
</Table>

MANAGEMENT FEE

     The Fund will pay the general partner a monthly management fee equal to
0.3125% of the Fund's net assets as of the end of each month (a 3.75% annual
rate). From this amount the General Partner will pay the organizational and
initial offering expenses of the Fund. In addition, beginning in the 13th month
following the purchase of any Units, the General Partner will pay to the selling
agents of the Units a monthly trailing commission equal to 0.1875% of the Fund's
month-end Net Assets (a 2.25% annual rate) per Unit multiplied by the number of
Units placed by the selling agent for providing additional services in
connection with the Units. The management fee is calculated and payable as of
the last business day of each month. The management fee is calculated without
reduction of net assets for any distributions or redemptions accrued or payable
as of the date the fees are calculated. The management fee is payable whether or
not the Fund's investment in the Index SPC is profitable.

     The general partner has entered into a sub-investment management agreement
with PlusFunds, the investment manager of the Index SPC, to obtain information
and assistance from PlusFunds to facilitate management of the Fund. The general
partner will compensate PlusFunds directly from the management fee it receives
from the Fund.

                                       32
<Page>

ADMINISTRATIVE FEE

     The Fund will pay the general partner a monthly administrative fee equal to
0.0208% of the Fund's net assets (a 0.25% annual rate). The administrative fee
is calculated and payable as of the last business day of each month. The
administrative fee is calculated without reduction of net assets for any
distributions or redemptions accrued or payable as of the date the fees are
calculated. The administrative fee is payable whether or not the Fund's
investment in the Index SPC is profitable.

     The general partner may enter into a sub-administrator agreement with a
third party, to obtain information and assistance from the sub-administrator to
facilitate administration of the Fund. The general partner will compensate the
sub-administrator directly from the administrative fee it receives from the
Fund. The sub-administrator will serve as the Fund's transfer agent.

UPFRONT SELLING COMMISSION REIMBURSEMENT

     The general partner will pay the selling agents an upfront selling
commission equal to 3% of the subscription amount. The Fund will reimburse the
general partner by paying the general partner an amount equal to 0.06205% of the
Fund's net assets as of the end of each month (a 0.75% annual rate), provided,
however, that the Fund will cease to reimburse the general partner with respect
to any upfront selling commission when the general partner has received the
amount actually paid by the general partner, plus interest.

REDEMPTION FEES

     A redemption fee of 3% of net asset value per Unit applies if you redeem
Units within 12 months of their original purchase. After the 12th month
following purchase of a Unit, no redemption fees apply. The redemption fee will
be paid to the general partner.

FUND'S PRO RATA SHARE OF THE FEES AND EXPENSES OF THE INDEX SPC

     As a limited partner in the Index SPC, the Fund will pay its pro rata share
of the fees and expenses of the Index SPC. The fees and expenses of the Index
SPC include:

     - management fees and incentive fees, if any, paid to the portfolio
       managers;

     - fees paid to the Index SPC's administrator;

     - brokerage commissions and other transaction-related expenses of the
       Index SPC;

     - accounting, audit and legal expenses;

     - organizational expenses;

     - custodial fees of the Index SPC; and

     - any extraordinary expenses of the Index SPC.

                                       33
<Page>

     The management fees paid to the portfolio managers generally are expected
to range from 1% to 2.50% per annum of the assets that they manage and are
payable monthly as of the last day of each month. Each portfolio manager may
also receive an annual incentive fee based on the net trading gain of the assets
that it manages. The incentive fees are determined as of December 31 each year
and on redemptions from the Index SPC other than as of December 31, and are
generally expected to range from 15% to 25% of net trading gain. Net trading
gain is equal to the change in unrealized profit or loss (net of all accrued
brokerage costs) during the period, plus the realized profit or loss on
positions closed during the period (net of all brokerage costs), less any
accrued interest on uninvested cash, minus expenses for the period (excluding
incentive fee, management fee and applicable administration fee), less the
period-to-period loss carryforward, if any.

ONGOING OFFERING COSTS

     The Fund will pay its ongoing offering expenses. These expenses are not
expected in the aggregate to exceed 0.25% per annum of the month-end net asset
value of the Fund.

ORDINARY EXPENSES

     The Fund will pay its own ordinary expenses as incurred. These expenses
include the legal, audit and other routine expenses of the Fund and are
estimated at an annual rate of 0.15% of the Fund's net assets.

EXTRAORDINARY EXPENSES

     The Fund is responsible for any extraordinary charges (E.G., litigation
expenses) incidental to its operation.

CAPS ON FEES

     The Fund expects to pay the fees outlined above. The limited partnership
agreement and/or guidelines of state securities regulators, however, limit the
fees that may be paid by the Fund.

     Aggregate annual fees and expenses based on the Fund's net assets may not
exceed 6% of net assets per year (1/2 of 1% per month). This cap includes
management fees, advisory fees and customary and routine administrative expenses
of the Fund as well as periodic filing and reporting fees but does not cover
incentive fees, commodity brokerage fees, legal and accounting services or
extraordinary expenses.

     Organizational and offering expenses, compensation for sales of Units and
redemption fees may not exceed 15% of aggregate subscriptions to the Fund.

     In addition, the limited partnership agreement prohibits the payment of
management fees to any person who receives brokerage commissions on transactions
for the Fund, as well as the payment by any broker of rebates or give-ups to any
advisor. This provision does not affect the payment of the fees and expenses
described above.

                                       34
<Page>

REDEMPTIONS; NET ASSET VALUE

REDEMPTION PROCEDURE

     The Fund is intended as a medium- to long-term investment, which the
general partner construes to mean at least a three to five year period. However,
you may generally redeem Units as of the last business day of any calendar
month, subject to the restrictions and qualifications set forth herein. You must
give at least 10 business days' prior written notice to the general partner of
your intent to redeem, except as provided below.

     The general partner may declare additional redemption dates upon notice to
the limited partners and may, in unusual circumstances, permit some, or all,
limited partners to redeem as of dates other than the end of the month. The
general partner shall declare a special redemption date whenever the Fund
experiences a decline in net asset value per Unit as of the closing of business
on any business day to less than 50% of the net asset value per Unit on the last
month-end valuation date.

     A redemption fee of 3% of net asset value per Unit applies if you redeem
Units within 12 months of their original purchase. For purposes of determining
the existence of an early redemption fee, redemptions will be made on a
first-in, first-out basis. After the 12th month following purchase of a Unit, no
redemption fees apply.

     You may redeem any or all of their Units, but the Fund has the right to
cause you to redeem all of your Units if the net asset value of your Units
remaining after a requested redemption is less than $1,000.

     A form of Request for Redemption is attached as an exhibit to the
prospectus.

     Subject to the qualifications described in the remainder of this paragraph,
all requests for redemption will be honored and payment will be made within 10
business days of the redemption date. The general partner will make arrangements
with selling agents who so request to pay redemptions through crediting limited
partners' customer securities accounts with the selling agents. If, in the
general partner's judgment, additional redemptions would impair the ability of
the Fund to meet its objectives or if a market disruption results in the closing
of financial markets in the United States or abroad and it is impossible or
impracticable to value the Units or liquidate Fund assets, redemptions may be
suspended or payment of redemption proceeds may be delayed. In addition, the
right of a limited partner to receive a redemption payment further depends on
the Fund's ability to obtain the necessary funds by redeeming its investment in
the Index SPC, which is subject to certain limits. Under these limits,
redemptions of interests in the Index SPC by the Fund as of any particular
redemption date cannot exceed 20% of the Fund's investment in the Index SPC as
of that date unless the Index SPC has received at least 15 business days' notice
prior to a redemption date. The general partner will notify the limited partners
in writing if redemptions are suspended.

     Units purchased by the general partner, other than Units representing its
required investment in the Fund, may be redeemed on the same terms as any other
Units.

                                       35
<Page>

     The general partner may require you to redeem all or a portion of your
Units if the general partner believes it is desirable for the protection of the
Fund.

NET ASSET VALUE

     Net assets means the total assets, less total liabilities, of the Fund
determined on the basis of generally accepted accounting principles. Net assets
shall include any unrealized profits or losses on open positions, and any fee or
expense accruing to the Fund.

CONFLICTS OF INTEREST

GENERAL

     The general partner has not established any formal procedures to resolve
the conflicts of interest described below, therefore, you will be dependent on
the good faith of, and the legal and fiduciary obligations imposed on, the
respective parties subject to the conflicts to resolve them equitably. Although
the general partner will attempt to monitor and resolve these conflicts in good
faith, they may result in losses for the Fund.

THE GENERAL PARTNER

     One of the managers of the general partner is also a manager of the selling
agent, which may be deemed a conflict of interest in that the selling agent
agreement has not been negotiated on an arm's-length basis, and the Fund is less
likely to terminate the selling agent than would otherwise be the case if the
selling agent were not an affiliate of the general partner.

     The general partner has a conflict between its role as a general partner in
limiting expenses and the benefits it will receive from the different fees and
compensation paid to it (which fees and compensation were established without
arm's-length negotiation).

   The general partner, in its sole discretion, determines whether any
distributions will be made. To the extent that profits are retained by the Fund
rather than distributed, net assets and therefore the amount of fees paid to the
general partner and the general partner's affiliate, the selling agent, will
increase.

THE SELLING AGENTS

     The selling agents receive substantial selling commissions on the sale of
Units. Consequently, the selling agents have a conflict of interest in advising
their clients whether to invest in the Units.

     The selling agents receive trailing commissions based on Units sold by them
that remain outstanding longer than 12 months. Consequently, the selling agents
have a disincentive to advise clients to redeem their Units even when doing may
be in clients' best interests.

                                       36
<Page>

OTHER BUSINESS ACTIVITIES, PROPRIETARY TRADING AND TRADING FOR OTHER ACCOUNTS

     Subject to their fiduciary obligations to the Fund, the general partner,
PlusFunds and each of their respective employees or affiliates may conduct any
other business, including any business within the investment industry. Without
limiting the generality of the foregoing, the general partner, PlusFunds and
their respective employees or affiliates may act as adviser or investment
manager for others, may manage funds or capital for others, may have, make and
maintain investments in their own names or through other entities, may serve as
a consultant, partner or stockholder of one or more investment funds,
partnerships, securities firms or advisory firms and may act as a director,
officer and/or employee of any corporation, a trustee of any trust, an executor
or administrator of any estate or an administrative official of any other
business entity.

     Moreover, the general partner and PlusFunds will not be required to give
the Fund or the Index SPC preference with respect to any investment opportunity,
refrain from any other activity or disgorge any profit from any activity or to
devote all or any specific amount of their respective time and effort to the
Fund or the Index SPC and their affairs.

     Furthermore, the general partner and PlusFunds will transact business
independently of the Fund and the Index SPC and may purchase and sell, for their
own accounts or for other accounts under their management, some of the vehicles
or instruments in which the Fund invests directly or indirectly. These
activities, and other aspects of the relationship between the general partner,
PlusFunds and their respective employees and affiliates, on the one hand, and
the Fund and the Index SPC, on the other hand, could create conflicts of
interest between any such person and the Fund or the Index SPC.

     The general partner and its employees and affiliates may establish in the
future additional investment funds with the same objective and strategy as the
Fund, in which event the general partner will allocate investments among the
Fund and additional investment funds on whatever basis it considers appropriate
or desirable.

FIDUCIARY DUTY AND REMEDIES

     In evaluating the foregoing conflicts of interest, a prospective investor
should be aware that the general partner, has a responsibility to limited
partners to exercise good faith and fairness in all dealings affecting the Fund.
If you believe that the general partner has violated its fiduciary duty to the
limited partners, you may seek legal relief individually or on behalf of the
Fund under applicable laws to recover damages from or require an accounting by
the general partner. The limited partnership agreement of the Fund is governed
by Delaware law and any breach of the general partner's fiduciary duty under the
limited partnership agreement will generally be governed by Delaware law. The
limited partnership agreement does not limit fiduciary obligations under
Delaware or common law. The general partner may, however, assert as a defense to
claims of breach of fiduciary duty that the conflicts of interest and fees
payable to the general partner have been disclosed to you in the prospectus.

                                       37
<Page>

THE FUND'S LIMITED PARTNERSHIP AGREEMENT

     The following summary briefly describes the material terms of the limited
partnership agreement. You should carefully review the limited partnership
agreement attached hereto as Exhibit A and consult with your own advisors
concerning the implications to you of investing in a Delaware limited
partnership.

PRINCIPAL OFFICE; LOCATION OF RECORDS

     The Fund is organized under the Delaware Revised Uniform Limited
Partnership Act. The Fund is administered by the general partner. The address of
both the Fund and the general partner is 550 W. Jackson, Suite 1300, Chicago,
Illinois 60604; telephone: (312) 788-2000. The records of the Fund, including a
list of the limited partners and their addresses, is located at the foregoing
address, and available for inspection and copying by limited partners as
provided in the limited partnership agreement.

MANAGEMENT OF FUND AFFAIRS; VOTING BY LIMITED PARTNERS

     You will not take any part in the management or control and will have no
voice in the operations of the Fund or its business.

     The limited partnership agreement may be amended by the general partner and
limited partners owning more than 50% of the outstanding Units agreement. The
general partner may amend the limited partnership agreement without the approval
of the limited partners in order to (1) clarify inaccuracies or ambiguities, (2)
make changes required by any federal or state agency or by law, (3) effect the
intent of the allocation provisions of the Partnership Agreement, (4) qualify or
maintain the qualification of the Fund in any state, (5) make changes to protect
the Fund's partnership status for federal income tax purposes and to prevent the
Fund from being treated as an investment company or the Fund's assets from being
considered plan asset for ERISA purposes or (6) make other changes the general
partner deems advisable so long as they are not adverse to limited partners.

     Although the Fund will not hold any regular, or annual, meetings of the
limited partners, upon receipt of a written proposal signed by the owners of at
least 10% of the outstanding Units that a meeting be called, the general partner
will call a meeting of the Fund. At the meeting, limited partners owning a
majority of the outstanding Units may vote to:

     -    amend the limited partnership agreement without the consent of the
general partner, provided, that the consent of the general partner is required
for any amendment that modifies the compensation or distributions to which the
general partner is entitled or that affects the general partner's duties;

     -    dissolve the Fund;

     -    remove and replace the general partner;

     -    admit a new general partner in the event the current general partner
withdraws; and

                                       38
<Page>

     -    terminate any contract with the general partner or its affiliates
without penalty upon 60 days' notice.

POSSIBLE REPAYMENT OF DISTRIBUTIONS RECEIVED BY LIMITED PARTNERS;
INDEMNIFICATION OF THE FUND BY LIMITED PARTNERS

     The Units are limited liability investments; you may not lose more than the
amount you invest plus any profits recognized on your investment. However, you
could be required, as a matter of bankruptcy law, to return to the Fund's estate
any distribution which you received at a time when the Fund was in fact
insolvent or in violation of the limited partnership agreement. In addition,
although the general partner is not aware of this provision ever having been
invoked in the case of any public futures fund, limited partners agree in the
limited partnership agreement that they will indemnify the Fund for any harm
suffered by it as a result of limited partners' actions, obligations or
liabilities unrelated to the business of the Fund.

INDEMNIFICATION AND STANDARD OF LIABILITY

     The general partner and some of its affiliates may not be liable to the
Fund or any limited partner for errors in judgment or other acts or omissions
not amounting to misconduct or negligence as a consequence of the
indemnification and exculpatory provisions provided in the limited partnership
agreement. As a result, you may have more limited rights of action than you
would absent those provisions.

     The general partner and its affiliates shall not have any liability to the
Fund or to any limited partner for any loss suffered by the Fund which arises
out of any action or inaction of the general partner or any affiliate if the
general partner or its affiliates, in good faith, determined that such course of
conduct was in the best interests of the Fund, the general partner or its
affiliates were performing services for the Fund and such course of conduct did
not constitute negligence or misconduct.

     The Fund has agreed to indemnify the general partner and its affiliates
against claims, losses or liabilities based on their conduct relating to the
Fund, provided that the general partner or its affiliates, in good faith,
determined the course of action was in the best interests of the Fund, the
general partner or its affiliates were performing services for the Fund and the
conduct resulting in the claims, losses or liabilities for which indemnity is
sought did not constitute negligence or misconduct.

     The limited partnership agreement provides that the general partner, its
affiliates and any person acting as a broker-dealer shall not be indemnified for
any losses, liabilities or expenses arising from or out of an alleged violation
of federal or state securities laws unless (1) there has been a successful
adjudication on the merits of each count involving alleged securities law
violations as to the particular indemnitee, (2) such claims have been dismissed
with prejudice on the merits by a court of competent jurisdiction as to the
particular indemnitee, or (3) a court of competent jurisdiction approves a
settlement of the claims against a particular indemnitee and finds that
indemnification of the settlement and related costs should be made.

                                       39
<Page>

TRANSFERS OF UNITS RESTRICTED

     Subject to compliance with applicable securities laws, you may assign your
Units upon 15 days' prior written notice to the Fund and the general partner. No
assignment will be effective in respect of the Fund or the general partner until
the first business day of the month following the month in which the notice is
received. An assignee may become a substituted limited partner only with the
consent of the general partner (which consent will be withheld only in the event
that such transfer could give rise to negative legal or tax consequences) and
upon execution and delivery of an instrument of transfer in form and substance
satisfactory to the general partner.

     There are no certificates for the Units. Transfers of Units are reflected
on the books and records of the Fund. Transferors and transferees of Units will
each receive notification from the general partner to the effect that such
transfers have been duly reflected as notified to the general partner.

REPORTS TO LIMITED PARTNERS

     The general partner will provide you with monthly and annual reports in
compliance with CFTC requirements. The general partner will also distribute the
tax information related to the Fund necessary for the preparation of your annual
federal income tax returns.

     The general partner will notify all limited partners within seven business
days of the occurrence of any of the following:

     -    any decline in the net asset value per Unit to less than 50% of such
net asset value as of the previous month-end valuation date; and

     -    any other material change affecting the compensation of any party.

     Any such notifications shall include a description of your voting and
redemption rights.

DISSOLUTION AND TERMINATION OF THE FUND

     The Fund will be terminated and dissolved upon the first to occur of:

     - limited partners owning more than 50% of the outstanding Units vote to
dissolve the Fund;

     - the general partner ceases to be general partner and no new general
partner is appointed; or

     - the continued existence of the Fund becomes unlawful.

FEDERAL INCOME TAX ASPECTS

     The following summarizes the material U.S. federal income tax consequences
to individual investors in the Fund. The Fund has obtained an opinion of Mayer,
Brown, Rowe &

                                       40
<Page>

Maw, LLP, counsel to the general partner, that the summary below, to the
extent it constitutes matters of law or legal consequences, correctly
describes the material U.S. federal income tax consequences as of the date
hereof to the Fund and to a U.S. individual who invests in the Fund. The
summary is based on current U.S. federal income tax law, which is subject to
change. Mayer, Brown, Rowe & Maw LLP's opinion is subject to certain
conditions stated therein and represents only its legal judgment and does not
bind the Internal Revenue Service or the courts. No ruling has been or will
be sought from the Internal Revenue Service as to any matters discussed
below. Certain tax consequences discussed below may vary in their application
to each limited partner depending on that limited partner's particular
circumstances, and the summary below therefore is not intended to be a
substitute for professional tax advice. You should consult with your own
professional tax advisor concerning the U.S. federal, state and local tax
consequences of investing in the Fund.

THE FUND'S PARTNERSHIP TAX STATUS

     The Fund will be treated as a partnership and, assuming that the Fund
does not elect to be taxed as a corporation and that substantially all of the
gross income of the Fund in each of its taxable years will constitute
"qualifying income" within the meaning of Section 7704(d) of the Internal
Revenue Code of 1986, as amended, referred to as the Code, it will not be
treated as a "publicly traded partnership". Accordingly, the Fund will not
pay any federal income tax.

TAXATION OF LIMITED PARTNERS ON PROFITS AND LOSSES OF THE FUND

     Each limited partner (other than foreign limited partners, discussed below
and tax-exempt investors) must pay tax on his share of the Fund's annual income
and gains, if any, even if the Fund does not make any cash distributions.

     The Fund generally allocates the Fund's gains and losses equally to each
Unit. However, a limited partner who redeems any Units will be allocated his
share of the Fund's gains and losses in order that the amount of cash a limited
partner receives for a redeemed Unit will generally equal the limited partner's
adjusted tax basis in the redeemed Unit. A limited partner's adjusted tax basis
in a redeemed Unit generally equals the amount paid for the Unit, increased by
income or gains allocated to the Unit and decreased (but not below zero) by
distributions, deductions and losses allocated to the Unit.

FUND LOSSES BY LIMITED PARTNERS

     A limited partner may deduct Fund losses only to the extent of his adjusted
tax basis in his Units. However, a limited partner subject to "at-risk"
limitations (generally, non-corporate taxpayers and closely-held corporations)
can only deduct losses to the extent the limited partner is "at-risk." The
"at-risk" amount is similar to adjusted tax basis, except that it does not
include any amount borrowed on a nonrecourse basis or from someone with an
interest in the Fund.

"PASSIVE-ACTIVITY LOSS RULES" AND ITS EFFECT ON THE TREATMENT OF INCOME AND LOSS

     The trading activities of the Fund are not a "passive activity."
Accordingly, a limited partner can deduct Fund losses from taxable income
(subject to some limitations, such as the

                                       41
<Page>

limitation on deductibility of capital losses, discussed below). However, a
limited partner cannot offset losses from "passive activities" against Fund
gains.

CASH DISTRIBUTIONS AND UNIT REDEMPTIONS

     A limited partner who receives cash from the Fund, either through a
distribution or a partial redemption, will not pay tax on that cash until his
adjusted tax basis in the Units is reduced to zero. A limited partner who
receives cash upon the complete redemption of Units will recognize gain or loss
for federal income tax purposes. The gain or loss will generally equal the
difference between the amount of cash received and the limited partner's
adjusted tax basis for his Units.

GAIN OR LOSS ON SECTION 1256 CONTRACTS AND NON-SECTION 1256 CONTRACTS

     The Code provides specific rules for "Section 1256 Contracts". Section 1256
contracts include certain futures and forward contracts as well as some stock
index option contracts traded on United States exchanges. For tax purposes,
Section 1256 contracts that remain open at year end are marked-to-market and
treated as if the position were closed at year end. The gain or loss on Section
1256 contracts is characterized as 60% long-term capital gain or loss and 40%
short-term capital gain or loss regardless of how long the position was open.

     Non-Section 1256 contracts include Code Section 988 transactions, I.E.,
transactions in which the amount paid or received is denominated by reference to
a foreign currency. In general, gain or loss on Code Section 988 transactions is
characterized as ordinary income or loss. However, the Fund plans to make an
election to treat gain or loss on Non-Section 1256 contracts, such as foreign
futures contracts, some foreign currency forward contracts and non-equity
options on foreign currencies, as capital gain or loss.

TAX ON CAPITAL GAINS AND LOSSES

     A non-corporate limited partner's long-term capital gains--net gain on
capital assets held more than one year and 60% of the gain on Section 1256
contracts--are taxed at a maximum rate of 15% for sales or exchanges occurring
after May 5, 2003 and prior to January 1, 2009 (and 20% for sales or exchanges
occurring thereafter). Short-term capital gains--net gain on capital assets held
one year or less and 40% of the gain on Section 1256 contracts--are subject to
tax at the same rates as ordinary income.

     Individual taxpayers can deduct capital losses only to the extent of their
capital gains plus $3,000. Accordingly, the Fund could suffer significant losses
and a limited partner could still be required to pay taxes on his share of the
Fund's interest income. Capital losses generally may not be carried back to
offset capital gains in prior years, but can be carried forward indefinitely.

     An individual taxpayer can carry back net capital losses on Section 1256
contracts three years to offset earlier gains on Section 1256 contracts. To the
extent the taxpayer cannot offset past Section 1256 contract gains, he can carry
forward such losses indefinitely as losses on Section 1256 contracts.

                                       42
<Page>

LIMITED DEDUCTION FOR CERTAIN EXPENSES

     Individual taxpayers are subject to material limitations on their ability
to deduct investment advisory expenses and other expenses of producing income.
The general partner intends to treat these items as ordinary business
deductions, or income allocations not subject to the material deductibility
limitations that apply to investment advisory expenses. However, the IRS could
take a different position. The IRS could contend that the ordinary expenses of
the Fund should be recharacterized as investment advisory expenses or,
alternatively, capitalized. If these items were treated as investment advisory
expenses or were capitalized, individual taxpayers would have additional tax
liability, and if recharacterized as investment advisory fees, would be subject
to limited deductibility. See also "--Syndication Expenses," below.

INTEREST INCOME

     Interest received by the Fund is taxed as ordinary income. Net capital
losses can offset ordinary income only to the extent of $3,000 per year. See
"--Tax on Capital Gains and Losses," above.

SYNDICATION EXPENSES

     Neither the Fund nor any limited partner is entitled to any deduction for
syndication expenses (I.E., expenses incurred in issuing and marketing the
Fund), nor can these expenses be amortized by the Fund or any limited partner
even though the payment of such expenses reduces net asset value.

     The general partner has paid or will pay all organization and offering
costs from its own funds and will be reimbursed by the Fund. However, the IRS
could take the position that a portion of the fees paid by the Fund to the
general partner constitutes non-deductible syndication expenses.

INVESTMENT INTEREST DEDUCTIBILITY LIMITATIONS

     Individual taxpayers can deduct "investment interest"--interest on
indebtedness allocable to property held for investment--only to the extent that
it does not exceed net investment income. Net investment income does not include
some net capital gains. A taxpayer can elect to include some net capital gain in
investment income if he forgoes the benefit of the reduced capital gains rate.

IRS AUDITS OF THE FUND AND ITS LIMITED PARTNERS

     The IRS audits Fund-related items at the Fund level rather than at the
limited partner level. The general partner acts as "tax matters partner" with
the authority to determine the Fund's responses to an audit. If an audit results
in an adjustment, all limited partners may be required to pay additional taxes,
interest, and penalties.

     The IRS recently promulgated final Treasury Regulation Section 1.6011-4
which provides that if certain "reportable transactions" occur, which include a
transaction resulting in, or that is reasonably expected to result in, a loss
(unreduced by any gains) under Code Section

                                       43
<Page>

165 of at least $2 million in any single year or $4 million in any combination
of two taxable years for a partnership such as the Fund or $50,000 in any single
year for individuals or trusts, whether the loss flows through from a
partnership, if the loss arises with respect to a Code Section 988 transaction
(as defined in Code Section 988(c)(1) relating to foreign currency
transactions), then an investor in the partnership must file an IRS Form 8886
"Reportable Transaction Disclosure Statement" and attach it to the investor's
Federal income tax return for each taxable year for which the taxpayer's Federal
income tax liability is affected by the taxpayer's participation in the
transaction. Certain other filing requirements for IRS Form 8886 may apply to
certain taxpayers. These rules apply to transactions entered into, or interests
acquired therein, on or after February 28, 2003, and at the taxpayer's election
may be relied upon for transactions entered into on or after January 1, 2003,
and before February 28, 2003 in lieu of generally more stringent rules for that
period. This IRS Form 8886 has not yet been released by the Service. Pursuant to
Revenue Procedure 2003-24, the Service generally excepts from this rule the
positions in which the Fund expects it normally will be indirectly investing in,
E.G., Section 1256 contracts and assets with a "cost" tax basis. If an election
has not been made to treat currency gains and losses as capital gains and
losses, ordinary currency losses are not excepted from the reporting rules, nor
are assets which have been part of a straddle under 1092(c), excluding a mixed
straddle under Treasury Regulation Section 1.1092(b)-4T. The Fund believes that
the limited partners should not be subject to these reporting rules, but that no
assurance can be made in this respect because the inapplicability of the rule
depends on the investments and elections made by the Index SPC and its
portfolios. Treasury Regulation Section 1.6011-4 also includes within reportable
transactions those transactions which have a significant book-tax-difference.
This reporting requirement applies to SEC registered funds, and to non-SEC
registered funds with gross United States assets of $250 million or more.
Revenue Procedure 2003-25 excepts from these rules items resulting solely from
(a) the use of a mark-to-market method of accounting for book purposes but not
tax purposes, (b) the use of a mark-to-market method of accounting for tax
purposes but not for book purposes, or (c) in the case of a taxpayer who uses
mark-to-market accounting for both book purposes and tax purposes, the use of
different methodologies for book purposes and tax purposes. It is expected that
the investments made by the Fund will satisfy this exception, but no assurance
can be given in this matter as the matters relevant for the exceptions are
determined at the Index SPC level.

     In addition, the Service recently promulgated Treasury Regulation Section
301.6112-1 which in general could require that a list be maintained by the
general partner containing the identity of each investor in the Fund and such
other information as required by regulations issued by the Treasury Department
if the Fund directly or through the Index SPC enters into a transaction which
the general partner knows or reasonably expects will be a reportable transaction
of the type described in the previous paragraph. Such list would have to be made
available to the Service upon request. The Fund does not expect to have to
maintain such a list because, as stated in the prior paragraph, it does not
expect these will be reportable transactions, but as further stated in the prior
paragraph, no assurance can be given that this will be the case.

TAXATION OF FOREIGN INVESTORS

     A limited partner who is a non-resident alien individual, foreign
corporation, foreign partnership, foreign fund or foreign estate generally is
not subject to taxation by the United States on capital gains from commodity
trading, provided that the foreign limited partner (in the

                                       44
<Page>

case of an individual) does not spend more than 182 days in the United States
during his taxable year, and provided further, that the foreign limited partner
is not engaged in a trade or business within the United States during a taxable
year to which income, gain, or loss of the Fund is treated as "effectively
connected." An investment in the Fund should not, by itself, cause a foreign
limited partner to be engaged in a trade or business within the United States
for the foregoing purposes, assuming that the trading activities of the Fund
continue to be conducted as described in this prospectus. In the event that the
Fund were found to be engaged in a United States trade or business, a foreign
limited partner would be required to file a United States federal income tax
return for such year and pay tax at full United States rates. In the case of a
foreign limited partner which is a foreign corporation, an additional 30%
"branch profits" tax might be imposed. Furthermore, in such event the Fund would
be required to withhold taxes from the income or gain allocable to such a
limited partner under Code Section 1446.

     Portfolio interest income (other than so-called "contingent interest")
allocable to a foreign limited partner is likewise not subject to United States
federal income tax withholding, provided that the foreign limited partner is not
engaged in a trade or business within the United States and provides the Fund
with an IRS Form W-8BEN or other applicable form. Similarly, a foreign limited
partner's allocable share of interest on U.S. bank deposits, certificates of
deposit and discount obligations with maturities (from original issue) of 183
days or less is not subject to United States federal income tax withholding.
Generally, other interest from United States sources (including original issue
discount) paid to the Fund and allocable to foreign limited partners will be
subject to United States federal income tax withholding at a statutory rate of
30% (subject to applicable treaty reductions).

TAX-EXEMPT U.S. LIMITED PARTNERS

     Tax-exempt U.S. limited partners will not be required to pay tax on their
share of income or gains of the Fund, so long as the limited partner does not
use borrowed funds in connection with its purchase of Units.

STATE AND OTHER TAXES

     In addition to the federal income tax consequences described above, the
Fund and the limited partners may be subject to various state and other taxes.

INVESTMENT IN INDEX SPC

     The Fund will invest in the Index SPC which will hold various positions
in securities, commodities and financial futures. The Fund has been informed
that, for U.S. federal income tax purposes, the Index SPC consists of
multiple portfolios that have elected to be treated as partnerships.
Accordingly, in this summary of certain tax consequences to limited partners,
references to the Fund generally should be read to include also references to
the Index SPC and its portfolios. In general, the Fund will be allocated its
distributive share of items of income, gain, loss, deduction and credit with
respect to such partnerships (the Index SPC portfolios) in which it invests,
and the limited partners in turn will be allocated their share of such items.
The character of such items to the limited partners generally will be the
same as if such item were realized directly by the Fund, but elections and
determinations available to the partnerships in which the Fund

                                       45
<Page>

invests may affect the timing and/or character of income realized by the Fund
and in turn realized by the limited partners. For example, if a partnership (an
Index SPC portfolio) in which the Fund invests holds foreign currency positions
subject to Code Section 988, the gain or loss on such positions will be ordinary
income or loss to the limited partners unless that partnership has made an
election under Code Section 988 to treat the gain or loss as capital gain or
loss. Also, if a partnership in which the Fund invests borrows to finance
positions (including purchasing securities on margin), this will cause part or
all of the income from such positions allocable to a limited partner which is a
tax-exempt organization to be unrelated business taxable income in the same
manner as if the Fund borrowed to finance such positions directly. In addition,
the Fund will report its expenses from an underlying partnership (an Index SPC
portfolio) as Code Section 162 or Code Section 212 deductions or otherwise
consistent with the manner in which such partnership reports such expenses. The
status of the Index SPC portfolios as partnerships for United States federal
income tax purposes depends on their satisfying certain conditions, E.G., the
conditions set forth above under "The Fund's Partnership Tax Status". The Fund
expects that the Index SPC portfolios will satisfy such conditions, but cannot
assure this.

     PROSPECTIVE INVESTORS ARE URGED TO CONSULT THEIR TAX ADVISORS BEFORE
DECIDING WHETHER TO INVEST.

PURCHASES BY EMPLOYEE BENEFIT PLANS

GENERAL

     The following section is a summary of the material consequences under the
Employee Retirement Income Security Act of 1974, as amended ("ERISA"), and the
Code, which a fiduciary of an "employee benefit plan" as defined in ERISA or of
a "plan" as defined in Section 4975 of the Code (and including for this purpose,
any entity deemed to hold plan assets) should consider before deciding to invest
any of such plan's assets in the Fund (such "employee benefit plans", "plans"
and other entities holding plan assets being referred to herein as "Plans").

     ERISA and Section 4975 of the Code together impose restrictions on plans or
accounts of various types which provide retirement benefits or welfare benefits
to an individual or to an employer's employees and their beneficiaries. These
plans and accounts include, but are not limited to, corporate pension and profit
sharing plans, "simplified employee pension plans," KEOGH plans for
self-employed individuals (including partners), individual retirement accounts
described in Section 408 of the Code and medical benefit plans as well as
entities deemed to hold the assets of these plans and accounts, but generally do
not include any plan maintained by a church or by a state or local government
(however, government plans may be subject to rules similar to ERISA and the
Code).

     In addition, ERISA requires that each plan fiduciary must give appropriate
consideration to the facts and circumstances that are relevant to an investment
in the Fund, including the role that an investment in the Fund plays in the
Plan's overall investment portfolio. Therefore, fiduciaries of ERISA plans,
before deciding to invest in the Fund, must be satisfied that investment in the
Fund is a prudent investment for the Plan, that the investments of the Plan,
including the investment in the Fund, are diversified so as to minimize the risk
of large losses and that an investment in the Fund complies with the terms of
the Plan and the related Fund.

                                       46
<Page>

"PLAN ASSETS"

     The purchase of Units by a Plan raises the issue of whether that purchase
will cause, for purposes of Title I of ERISA and subject to Section 4975 of the
Code, the underlying assets of the Fund to be considered to constitute assets of
such Plan. A regulation issued under ERISA (the "ERISA Regulation") contains
rules for determining when an investment by a Plan in an equity interest of an
entity will result in the underlying assets of such entity being considered
assets of such Plan for purposes of ERISA and Section 4975 of the Code (I.E.,
"plan assets"). Those rules provide that assets of an entity will not be
considered assets of a Plan which purchases an equity interest in the entity if
certain exceptions apply, including an exception applicable if the equity
interest purchased is a "publicly-offered security." A publicly-offered security
is a security that is:

     -    freely transferable;

     -    part of a class of securities that is owned by 100 or more investors
independent of the issuer and of one another by the conclusion of the offering;
and

     -    either is (a) part of a class of securities registered under section
12(b) or 12(g) of the Securities Exchange Act of 1934, or (b) sold to the Plan
as part of an offering of securities to the public pursuant to an effective
registration statement under the Securities Act of 1933, if the class of
securities of which the security is a part is registered under the Securities
Exchange Act of 1934 within 120 days, or such later time as may be allowed by
the Securities and Exchange Commission, after the end of the fiscal year of the
issuer during which the offering of the securities to the public occurred.

     The Units are expected to qualify as a "publicly-offered security" pursuant
to the foregoing rules.

INELIGIBLE PURCHASERS

     Units may not be purchased with the assets of a Plan if the general
partner, the Fund, any selling agent, any clearing broker, or any of their
respective affiliates or any of their respective agents or employees: (1) has
investment discretion with respect to the investment of the assets of such Plan
to be invested in the Units; (2) has authority or responsibility to give or
regularly gives investment advice with respect to such Plan assets, for a fee,
and pursuant to an agreement or understanding that the advice will serve as a
primary basis for investment decisions with respect to the Plan assets and that
the advice will be based on the particular investment needs of the Plan; or (3)
is an employer maintaining or contributing to the Plan, except as is otherwise
permissible under ERISA and Section 4975 of the Code. A party that is described
in clause (1) or (2) of the preceding sentence is a fiduciary under ERISA and
the Code with respect to the Plan, and any such purchase might result in a
"prohibited transaction" under ERISA and the Code.

     Except as otherwise set forth, the foregoing statements regarding the
consequences under ERISA and the Code of an investment in the Fund are based on
the provisions of the Code and ERISA as currently in effect, and the existing
administrative and judicial interpretations thereunder. No assurance can be
given that administrative, judicial or legislative changes will not occur that
will not make the foregoing statements incorrect or incomplete.

                                       47
<Page>

     ACCEPTANCE OF SUBSCRIPTIONS ON BEHALF OF PLANS IS IN NO RESPECT A
REPRESENTATION BY THE FUND, THE GENERAL PARTNER, ANY SELLING AGENT OR ANY OTHER
PARTY RELATED TO THE FUND THAT THIS INVESTMENT MEETS SOME OR ALL OF THE RELEVANT
LEGAL REQUIREMENTS WITH RESPECT TO INVESTMENTS BY ANY PARTICULAR PLAN OR THAT
THIS INVESTMENT IS APPROPRIATE FOR ANY PARTICULAR PLAN. THE PERSON WITH
INVESTMENT DISCRETION SHOULD CONSULT WITH HIS OR HER FINANCIAL AND LEGAL
ADVISORS AS TO THE PROPRIETY OF AN INVESTMENT IN THE FUND IN LIGHT OF THE
CIRCUMSTANCES OF THE PARTICULAR PLAN AND CURRENT TAX LAW.

PLAN OF DISTRIBUTION

SUBSCRIPTION PROCEDURE

     The Units are offered on a "best efforts" basis without any firm
underwriting commitment through selling agents including, but not limited to,
Refco Securities, LLC. During the initial offering period, you may purchase the
Fund's Units at $1,000 per Unit. After the initial offering period, you may
purchase Units at net asset value as of the first business day of each calendar
month. The general partner may from time to time cause the Fund to issue Units
at intra-month closings. The minimum initial investment is $10,000, $3,000 for
an individual retirement account. Additional subscriptions by existing limited
partners are permitted in $2,500 minimums. Units are sold in fractions
calculated up to three decimal places.

     In order to purchase Units, you must complete, sign and deliver to a
selling agent an original of the Subscription Agreement and Power of Attorney
Signature Page which accompanies this prospectus, together with a check for the
amount of your subscription. Checks should be made payable to "S&P MANAGED
FUTURES INDEX FUND, LP" Subscription proceeds will be deposited in an account in
the Fund's name at Fifth Third Bank, pending investment in the Fund. Instead of
delivering a check you may wire transfer the amount of your subscription
according to the wire transfer instructions included in the Subscription
Agreement.

     Clients of some selling agents may make subscription payments by
authorizing the selling agents to debit their customer securities account for
the amount of the subscription. When a subscriber authorizes a debit, the
subscriber will be required to have the amount of his or her subscription
payment on deposit in his or her account on a settlement date specified by the
selling agent. The selling agent will debit the account and transmit the debited
funds directly to the Fund's escrow account (during the initial offering period)
or the Fund's bank account (following the initial offering period) via check or
wire transfer made payable to "S&P MANAGED FUTURES INDEX FUND, LP" The
settlement date specified by the selling agents shall be no later than three
business days following notification by the general partner of the acceptance of
an investor's subscription and no later than the termination of the monthly
offering period.

     The general partner will make every reasonable effort to determine the
eligibility of prospective limited partners in the Fund through information
received on the Subscription Agreement. Generally, the general partner must
receive subscription documents at least five

                                       48
<Page>

business days (and cleared funds to purchase the Units at least three business
days) before the end of a month for them to be accepted as of the first day of
the immediately following month.

     The Fund will receive the interest earned on subscriptions held in its bank
account pending investment in the Fund.

     There are no fees applicable to subscriptions held pending investment in
the Fund.

     Subscriptions, if rejected, will be returned to investors, together with
any interest accrued thereon, promptly following the end of the month in which
the subscription was rejected or sooner if practicable.

     Subscriptions are final and binding on a subscriber as of the close of
business on the fifth business day following the subscriber's receipt of a final
prospectus.

ANTI-MONEY LAUNDERING DISCLOSURES

     In order to comply with laws and regulations aimed at the prevention of
money laundering and prohibiting transactions with certain countries,
organizations and individuals, the Fund may request such information as it
reasonably believes is necessary to verify the identity of an investor or a
prospective investor and to determine whether an investor is permitted to be an
investor in the Fund under these laws and regulations. In the event of delay or
failure by an investor or a prospective investor to produce any information
required by the Fund for these purposes, the Fund may require mandatory
redemption of the investor's Units, and may refuse to accept the subscription of
a prospective investor. Likewise, after reviewing the information provided, it
is possible that the Fund may determine to redeem an investor's Units or refuse
to accept a prospective investor's subscription. In certain circumstances, the
Fund may be required to provide information about investors to regulatory
authorities and to take any further action as may be required. Neither the Fund
nor the general partner will be liable for any loss or injury to an investor or
prospective investor that may occur as a result of disclosing such information
or refusing or redeeming Units.

THE SELLING AGENTS

     Refco Securities, LLC has been selected as a selling agent for the Fund.
Refco Securities, LLC and the Fund's other selling agents will receive from the
general partner an upfront selling commission equal to 3% of the purchase price
per Unit at the time that the Unit is sold, and their representatives who sell
Units shall receive a portion of the 3% commission. No selling commissions will
be paid from the proceeds of subscriptions. However, the Fund will reimburse the
general partner with respect to the upfront selling commission by paying the
general partner an amount equal to 0.0625% of the Fund's net assets as of the
end of each month (a 0.75% annual rate), provided, however, that the Fund will
cease to reimburse the general partner with respect to any upfront selling
commission when the general partner has received the amount actually paid by the
general partner, plus interest.

     Beginning with the 13th month following the closing on the purchase of a
Unit, the general partner will pay from its management fee to the selling agent
who sold the Unit ongoing "trailing commissions" at 0.1875% (a 2.25% annual
rate) of the month-end net asset value of the

                                       49
<Page>

Unit -- provided, that CFTC-qualified registered representatives of the selling
agent have satisfied applicable proficiency requirements and agree to perform
certain ongoing services with respect to the Units. The ongoing trailing
commissions, once begun, will continue for as long as the Unit remains
outstanding. Selling agents will pay a portion of these commissions to their
eligible representatives after deduction of "due diligence" and administrative
expenses incurred in connection with this offering, in accordance with such
selling agents' standard compensation arrangements. No selling agent will
receive upfront selling commissions or trailing commissions which exceed the
amounts set forth above.

     The general partner has agreed to indemnify the selling agents against
certain liabilities that the selling agents may incur in connection with the
offering and sale of the Units, including liabilities under the Securities Act
of 1933 and the Commodity Exchange Act.

     The selling agents will determine the suitability of prospective limited
partners in the Fund, pursuant to Rule 2810 of the National Association of
Securities Dealers, based upon information contained in the Subscription
Agreement and documents furnished to the selling agents by their customers in
opening accounts.

REFCOFUND HOLDINGS, LLC PRIVACY POLICY

YOUR PRIVACY IS OUR PRIORITY

     The general partner is committed to safeguarding the personal information
that you provide us. This Privacy Policy describes how we handle and protect
personal information we collect about individuals who apply for or receive our
products and services. The provisions of this notice apply to former customers
as well as our current customers.

WHY AND HOW WE COLLECT PERSONAL INFORMATION

     When you submit a subscription, we collect personal information about you
for business purposes, such as processing your requests and transactions,
informing you about products and services that may be of interest to you, and
providing customer service. The personal information we collect about you
includes:

   - information you provide to us on subscription documents, applications and
     other forms, such as your name, address, date of birth, social security
     number, occupation, assets, and income;

   - information about your transactions with us and with our affiliates;

   - information we receive from consumer reporting agencies, such as your
     credit history and creditworthiness, and other entities not affiliated with
     us; and

   - information you provide to us to verify your identity, such as a passport,
     or received from other entities not affiliated with us.

                                       50
<Page>

HOW WE PROTECT PERSONAL INFORMATION

     We limit access to your personal information to those employees who need to
know in order to conduct our business, service your account, and help you
accomplish your financial objectives, such as providing you with a broad range
of products and services. Our employees are required to maintain and protect the
confidentiality of your personal information and must follow established
procedures to do so. We maintain physical, electronic, and procedural safeguards
to protect your personal information. We do not rent or sell your name or
personal information to anyone.

SHARING INFORMATION WITH OUR AFFILIATES

     We may share personal information described above with our affiliates for
business purposes, such as servicing customer accounts and informing customers
about new products and services, and as permitted by applicable law. Our
affiliates are companies controlled or owned by us, or companies controlling or
under common control with our parent company (Refco Group Ltd., LLC) and us, and
include financial service companies, such as dealers, other brokers, futures
commission merchants, and advisers.

     The information we share with affiliates for marketing purposes may include
the information described above, such as name, address and Refco account
information, but will not include other credit information, such as credit
history appearing on a consumer credit report or net worth and income
information appearing on applications for our products and services.

DISCLOSURE TO NON-AFFILIATED THIRD PARTIES

     In order to support the financial products and services we provide to you,
we may share the personal information described above with third-party service
providers and joint marketers not affiliated with us, including:

   - financial service institutions (E.G., advisers, dealers, brokers, trust
     companies and banks) with whom we have joint marketing agreements, such as
     agreements to market financial services or products that we jointly offer,
     endorse or sponsor; and

   - companies under contract to perform services for us or on our behalf, such
     as vendors that prepare and mail statements and transaction confirmations
     or provide data processing, computer software maintenance and development,
     transaction processing and marketing services.

     These companies acting on our behalf are required to keep your personal
information confidential.

     Also, we may disclose personal information to non-affiliated companies and
regulatory authorities as permitted or required by applicable law. For example,
we may disclose personal information to cooperate with regulatory authorities
and law enforcement agencies to comply with subpoenas or other official
requests, and as necessary to protect our rights or property. Except as
described in this privacy policy, we will not use your personal information for
any

                                       51
<Page>

other purpose unless we describe how such information will be used at the time
you disclose it to us or we obtain your permission to do so.

ACCESSING AND REVISITING YOUR PERSONAL INFORMATION

     We endeavor to keep our customer files complete and accurate. We will give
you reasonable access to the information we have about you. Most of this
information is contained in account statements that you receive from us and
applications that you submit to obtain our products and services. We encourage
you to review this information and notify us if you believe any information
should be corrected or updated. If you have a question or concern about your
personal information or this privacy notice, please contact us or your selling
agent.

                              --------------------

     This policy applies to the general partner and each investment vehicle to
which the general partner or any of its affiliates serves as the general
partner, investment manager or the investment advisor.

LEGAL MATTERS

     Mayer, Brown Rowe & Maw LLP has advised the Fund and the general partner on
the offering of the Units.

EXPERTS

     The RefcoFund Holdings, LLC Statement of Financial Condition as of February
28, 2003 included in this prospectus has been included herein in reliance on the
report of Grant Thornton LLP, independent accountants, given on the authority of
that firm as experts in accounting and auditing.

     The financial statements of S&P Managed Futures Index Fund, LP as of
July 9, 2003 included in this prospectus have been so included in reliance on
the report of PricewaterhouseCoopers LLP, independent accountants, given on the
authority of that firm as experts in auditing and accounting.

REPORTS

     After the Fund commences trading, CFTC Rules require that this prospectus
be accompanied by summary financial information, which may be a recent monthly
report of the Fund, current within 60 calendar days.

     THIS PROSPECTUS IS IN TWO PARTS: A DISCLOSURE DOCUMENT AND A STATEMENT OF
ADDITIONAL INFORMATION. THESE PARTS ARE BOUND TOGETHER AND MAY NOT BE
DISTRIBUTED SEPARATELY.

                                       52
<Page>

                          INDEX TO FINANCIAL STATEMENTS

<Table>
<Caption>
                                                                      PAGE
                                                                      ----
<S>                                                                     <C>
S&P MANAGED FUTURES INDEX FUND, LP
Report of Independent Auditors                                          54
Statement of Financial Condition as of July 9, 2003                     55
Notes to Financial Statement                                            56

REFCOFUND HOLDINGS, LLC
Report of Independent Certified Public Accountants                      58
Statement of Financial Condition                                        59
Notes to Statement of Financial Condition                               60
</Table>

                                       53
<Page>

                         REPORT OF INDEPENDENT AUDITORS

To the Partners of S&P Managed Futures Index Fund, L.P.

In our opinion, the accompanying statement of financial condition presents
fairly, in all material respects, the financial position of S&P Managed Futures
Index Fund, L.P. (the "Fund") at July 9, 2003, in conformity with accounting
principles generally accepted in the United States of America. This financial
statement is the responsibility of the Fund's general partner; our
responsibility is to express an opinion on this financial statement based on our
audit. We conducted our audit of this financial statement in accordance with
auditing standards generally accepted in the United States of America, which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statement is free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statement, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.


PricewaterhouseCoopers LLP
New York, New York
July 15, 2003

                                       54
<Page>

                      S&P MANAGED FUTURES INDEX FUND, L.P.

                        STATEMENT OF FINANCIAL CONDITION
                                  JULY 9, 2003

<Table>
<S>                                                             <C>        <C>
ASSETS

     Cash                                                       $  1,001
                                                                --------

                                                                $  1,001
                                                                ========

LIABILITIES

     Liabilities                                                $      -
                                                                ========

     Net Assets                                                 $  1,001
                                                                ========

Partnership units, no par value; unlimited units
  authorized                                                                  1.001
                                                                           ========

Net Asset Value
  per unit (net assets/units outstanding)                                  $  1,000
                                                                           ========
</Table>

                 See accompanying notes to financial statement.

                                ----------------

                                       55
<Page>

                      S&P MANAGED FUTURES INDEX FUND, L.P.

                          NOTES TO FINANCIAL STATEMENT

(1) ORGANIZATION

     S&P Managed Futures Index Fund, L.P. ("Fund") was organized as a limited
partnership on May 13, 2003 under the Delaware Revised Uniform Limited
Partnership Act, as amended. In accordance with the Limited Partnership
Agreement, the Fund is organized as a single series of limited partnership
units. The General Partner will pursue the Fund's investment objective by
allocating substantially all the Fund's assets to the SPhinX Managed Futures
Fund SPC (the "SPC"). The SPC is designed to track the S&P Managed Futures Index
("Index"), and thus provide limited partners with exposure to a broad cross
section of systematic managed futures strategies through a single investment.
The Fund has had no operations other than those related to organizational
matters, including the sale of 1.000 unit to RefcoFund Holdings, LLC ("RFH",
also referred to as the "General Partner") and 0.001 unit to the initial limited
partner on July 7, 2003.

     As General Partner, RFH has the sole authority and responsibility for
managing the operations of the Fund and directing the investment of Fund assets.
RFH has retained the services of PlusFunds Group, Inc. ("PlusFunds") as
Sub-Investment Manager to oversee the day-to-day investment management functions
for the Fund.

(2) SIGNIFICANT ACCOUNTING POLICIES

     A summary of the significant accounting policies, which have been followed
in preparing the accompanying financial statement, is set forth below.

     USE OF ESTIMATES

     The accompanying financial statement has been prepared in accordance with
accounting principles generally accepted in the United States of America (GAAP).
The preparation of financial statements in conformity with GAAP requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and the disclosure of contingent assets and liabilities
as of the date of the financial statements, and the reported amounts of revenues
and expenses during the reporting period. Actual amounts could differ from such
estimates.

     INCOME TAXES

     Federal income taxes are not intended to be provided for as each partner is
individually liable for the taxes, if any, on its shares of Fund's taxable
income items including capital gains, interest, dividends, and deductions. In
accordance with the Limited Partnership Agreement, the limited partners may also
be subject to various state and other taxes.

                                       56
<Page>

(3) MANAGEMENT FEES

     RFH, as the general partner, will receive a management fee of 3.75%
annually of the net asset value of the Fund, calculated daily and paid monthly
in arrears, in exchange for providing ongoing advisory and general management
services.

     All fees paid to PlusFunds for sub-investment management services are paid
by RFH. RFH may voluntarily waive a portion of its management fee at its
discretion.

(4) EXPENSES

     In accordance with the Limited Partnership Agreement, the Fund shall be
charged for certain expenses, as described below, and such expenses will be
allocated proportionately among the partners.

     The Fund is responsible for administrative, ongoing offering expenses and
operating expenses, including but not limited to legal and accounting fees, and
any taxes or extraordinary expenses payable. A monthly administrative fee will
be charged to the Fund by RFH at an annual rate of 0.25% of the Fund's net
assets.

     RFH will pay organizational and initial offering expenses. RFH will also
pay initial commissions to selling agents, however RFH will receive from the
Fund an amount equal to 0.75% annually of the net asset value of the Fund until
such initial commissions plus interest have been reimbursed.

     As of July 9, 2003, the Fund has not incurred any operating expenses since
the sale of units to RFH occurred on the balance sheet date and the Fund has not
commenced operations.

                                       57
<Page>

               REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS

To the Member of
     REFCOFUND HOLDINGS, LLC


We have audited the accompanying statement of financial condition of RefcoFund
Holdings, LLC (the "Company") as of February 28, 2003. This financial statement
is the responsibility of the Company's management. Our responsibility is to
express an opinion on this financial statement based on our audit.

We conducted our audit in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the statement of
financial condition is free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the statement of financial condition. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall statement of financial condition presentation. We
believe that our audit provides a reasonable basis for our opinion.

In our opinion, the statement of financial condition referred to above presents
fairly, in all material respects, the financial position of RefcoFund Holdings,
LLC as of February 28, 2003 in conformity with accounting principles generally
accepted in the United States of America.


GRANT THORNTON LLP

New York, New York
May 21, 2003 (except for
     Note C, as to which the
     date is June 5, 2003)

          Purchasers of Units will acquire no interest in this company.

                                       58
<Page>

                             REFCOFUND HOLDINGS, LLC

                        STATEMENT OF FINANCIAL CONDITION

                                February 28, 2003
                                 (000's omitted)

<Table>
<S>                                                                   <C>
ASSETS
Cash                                                                  $     17
Receivables
     Loans due from affiliates                                           1,500
     Other                                                                 141
                                                                      --------

         TOTAL ASSETS                                                 $  1,658
                                                                      ========

LIABILITIES AND MEMBER'S EQUITY
Liabilities
     Accounts payable and other liabilities                           $    321
                                                                      --------

Member's equity
     Capital contributed                                                 3,685
     Receivable from affiliates                                         (2,348)
                                                                      --------

     TOTAL MEMBER'S EQUITY                                               1,337
                                                                      --------

     TOTAL LIABILITIES AND MEMBER'S EQUITY                            $  1,658
                                                                      ========
</Table>

         The accompanying notes are an integral part of this statement.

          Purchasers of Units will acquire no interest in this company.

                                       59
<Page>

                             REFCOFUND HOLDINGS, LLC

                    NOTES TO STATEMENT OF FINANCIAL CONDITION

                                FEBRUARY 28, 2003

NOTE A - ORGANIZATION

     RefcoFund Holdings, LLC (the "Company") is a limited liability company
     under the laws of the State of Delaware. The ultimate parent of the Company
     is Refco Group Ltd., LLC (the "Parent"). The Company was originally
     organized in Delaware on November 9, 1984. The Company is a member of the
     National Futures Association and is registered as a commodity pool operator
     and as a commodity trading advisor. The Company provides fund management
     and administrative services to commodity pools. It served as the General
     Partner for the following commodity pools: The Admiral Futures Fund, Ltd.,
     Clark Street Futures Fund, Dearborn Street Futures Fund and LaSalle Street
     Futures Fund.

     The Company provides trading advice by selecting and overseeing various
     trading advisors. Currently, it provides these services to the Northern
     Star Hedge Fund, Capricorn Trading Co. Limited, Selective Financial
     Portfolio Limited and Refco Global Financial Futures Trust (Thales Bermuda
     LP). As of February 28, 2003, the Company was managing approximately $48
     million in client assets. The Company earns commissions as well as
     management and incentive fees from the services that it provides.

NOTE B - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

     1.  FOREIGN CURRENCY TRANSACTIONS

         In the normal course of business, the Company engaged in transactions
         denominated in foreign currencies. Assets and liabilities in foreign
         currencies were translated at the year-end spot rate.

     2.  INCOME TAXES

         The Company has not provided for Federal, state and local taxes, as
         they are the responsibility of the Company's member.

     3.  USE OF ESTIMATES IN FINANCIAL STATEMENTS

         The preparation of financial statements in conformity with accounting
         principles generally accepted in the United States of America requires
         management to make estimates and assumptions that affect the reported
         amounts of assets and liabilities and disclosure of contingent assets
         and liabilities at the date of the financial statements. Actual results
         could differ from those estimates.

            Purchasers of Units will acquire no interest in this company.

                                       60
<Page>

                             REFCOFUND HOLDINGS, LLC

               NOTES TO STATEMENT OF FINANCIAL CONDITION (Continued)

                                FEBRUARY 28, 2003

NOTE C - RELATED PARTY TRANSACTIONS

     The Company loans funds to subsidiaries and affiliates of the Parent. Such
     amounts are presented as a debit in member's equity until repaid. On June
     5, 2003, $1,500,000 of these amounts were subsequently received and
     accordingly are presented as assets in the accompanying statement of
     financial condition.

     During the year, the Company transferred a receivable from a third party to
     an affiliate, for cash of approximately $1.2 million, representing its
     gross carrying value.

         Purchasers of Units will acquire no interest in this company.

                                       61
<Page>

                                    PART TWO
                       STATEMENT OF ADDITIONAL INFORMATION

                       S&P MANAGED FUTURES INDEX FUND, LP

                                  $100,000,000

                      UNITS OF LIMITED PARTNERSHIP INTEREST

                                   ----------


        AN INVESTMENT IN UNITS IS A SPECULATIVE AND LEVERAGED INVESTMENT
                        WHICH INVOLVES THE RISK OF LOSS.

       BEFORE YOU DECIDE TO INVEST, YOU SHOULD READ THIS ENTIRE PROSPECTUS
         CAREFULLY AND CONSIDER THE RISKS YOU FACE BEGINNING ON PAGE 7.


                                   ----------


          THIS PROSPECTUS IS IN TWO PARTS. A DISCLOSURE DOCUMENT AND A
      STATEMENT OF ADDITIONAL INFORMATION. THESE PARTS ARE BOUND TOGETHER,
         AND BOTH CONTAIN IMPORTANT INFORMATION. UNDER NO CIRCUMSTANCES
         MAY THE TWO PARTS OF THIS PROSPECTUS BE DISTRIBUTED SEPARATELY.

                                   ----------

                              REFCO SECURITIES, LLC
                                  SELLING AGENT

                             REFCOFUND HOLDINGS, LLC
                                 GENERAL PARTNER


             THIS STATEMENT OF ADDITIONAL INFORMATION AND DISCLOSURE
                      DOCUMENT ARE BOTH DATED _____, 2003.

                                       62
<Page>

PRO FORMA AGGREGATE HISTORICAL RETURNS OF INDEX

     For purposes of analysis, Standard & Poor's aggregated the historical
self-reported returns of the Index constituents for purposes of the historical
pro forma version of the Index. The S&P Managed Futures Pro Forma Index is based
on the Index constituents as of December 2002 using monthly performance data
from January 1998 through December 2002 from the constituent portfolio managers
themselves. Returns for some constituents may not extend back to January 1998.
Standard & Poor's cannot verify the validity or accuracy of this data. For
purposes of calculating pro forma returns, annually in August, the pro forma
version of the Index is rebalanced to original equal weighting of constituents.
Standard & Poor's does not guarantee the accuracy of these pro forma returns and
does not recommend any investment or other decision based on their results. Pro
forma index returns do not take into account fund distributions, up-front sales
commissions, or certain fees and commissions. If the foregoing had been factored
in, the pro forma index returns would have been lower.

Capsule D presents the results of the pro forma version of the Index.

                                    CAPSULE D
                       S&P MANAGED FUTURES PRO FORMA INDEX

<Table>
<Caption>
                                                   RATES OF RETURN
                    ---------------------------------------------------------------------------
  MONTH                2002             2001             2000             1999          1998
-----------------------------------------------------------------------------------------------
<S>                    <C>             <C>               <C>              <C>           <C>
January                -1.3%             0.5%             0.0%            -3.7%          2.2%
February               -3.8%             0.8%            -1.4%             3.7%         -0.3%
March                   0.4%             7.3%            -1.8%            -1.3%          3.0%
April                  -2.7%            -7.3%            -1.4%             5.4%         -5.5%
May                     3.1%             1.5%             0.3%            -2.6%          3.3%
June                   10.7%            -1.9%            -2.1%             4.7%         -0.9%
July                    6.7%            -1.5%            -3.4%            -1.0%         -1.0%
August                  4.0%             3.9%             5.0%             0.5%         11.7%
September               5.7%             7.1%            -4.1%             1.0%          6.2%
October                -6.6%             5.8%             2.1%            -6.8%          0.4%
November               -3.7%           -10.3%             9.6%             4.3%         -2.5%
December                7.4%             1.1%            13.5%             2.8%          4.1%
Year                   20.0%             5.7%            15.9%             6.3%         21.6%
</Table>

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH
ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT THE FUND WILL OR IS
LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE
FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE
ACTUAL RESULTS ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

                                       63
<Page>

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE
GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL
TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN
COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR
EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING
PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY
AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE
MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM
WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL
PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING
RESULTS.

THE FUTURES AND FORWARD MARKETS

FUTURES AND FORWARD CONTRACTS

     Futures contracts in the United States are generally traded on exchanges
and call for the future delivery of various commodities. These contractual
obligations may be satisfied either by taking or making physical delivery or by
making an offsetting sale or purchase of a futures contract on the same
exchange.

     Forward currency contracts are agreements to make or accept delivery of a
currency and are traded off-exchange through banks or dealers. In these
instances, the bank or dealer generally acts as principal in the transaction and
charges "bid-ask" spreads. These contractual obligations are generally satisfied
by making an offsetting agreement.

     Unlike an investment in bonds where some consistency of yield is expected
or in stocks where participation in economic growth is expected, futures and
forward trading is a "zero-sum" risk transfer economic activity. For every gain
realized by one futures and forward trader, there is an equal and offsetting
loss suffered by another.

HEDGERS AND SPECULATORS

     The two broad classifications of persons who trade futures and forward
contracts are "hedgers" and "speculators." Hedging is designed to minimize the
losses that may occur because of price changes, for example, between the time a
merchandiser contracts to sell a commodity and the time of delivery. The futures
and forward markets enable the hedger to shift the risk of price changes to the
speculator. The speculator risks capital with the hope of making profits from
such changes. Speculators, such as the Fund, rarely take delivery of the
physical commodity but rather close out their futures positions through
offsetting futures contracts.

EXCHANGES; POSITION AND DAILY LIMITS; MARGINS

     Commodity exchanges in the United States generally have an associated
clearinghouse. Once trades made between members of an exchange have been
cleared, each clearing broker

                                       64
<Page>

looks only to the clearinghouse for all payments in respect of such broker's
open positions. The clearinghouse "guarantee" of performance on open
positions does not run to customers. If a member firm goes bankrupt,
customers could lose money.

     Federal legislation adopted in December 2000 has made possible a variety of
new futures and derivative exchanges and clearing organizations that will be
subject to less CFTC oversight than are the commodities exchanges on which the
Index SPC anticipates trading in the United States. Additionally, this
legislation permits a variety of highly qualified persons to trade contracts for
future delivery on various non-agricultural commodities among themselves
off-exchange. The general partner currently expects that substantially all of
the Index SPC's futures trading in the United States will be conducted on
exchanges subject to the full oversight of the CFTC. However, it is not now
possible to determine what impact the existence of these new exchanges will have
on the Index SPC's trading activities.

     The Index SPC will trade on a number of foreign commodity exchanges.
Foreign commodity exchanges differ in certain respects from their United States
counterparts and are not regulated by any United States agency.

     The CFTC and the United States exchanges have established "speculative
position limits" on the maximum positions that the portfolio managers may hold
or control in futures contracts on some, but not all, commodities. For example,
the CFTC limits the number of contracts each portfolio manager can control in
corn to 5,500 in a single delivery month and the Chicago Mercantile Exchange
limits the number of S&P 500 Index contracts each portfolio manager can control
to 20,000; however, Treasury bonds traded on the Chicago Board of Trade are not
subject to position limits.

     United States exchanges limit the maximum price change in some, but not
all, futures contracts during any single trading day. Once the "daily limit" has
been reached, it becomes very difficult to execute trades in the same direction
the market has moved. That is, if a market is "limit up," it is difficult, or
impossible, to buy, but very easy to sell. Because these limits apply on a
day-to-day basis, they do not limit ultimate losses, but may reduce or
temporarily eliminate liquidity. For example, the Chicago Board of Trade imposes
daily limits of 20(cent) on corn futures but imposes no daily limits on Treasury
bond futures. The Chicago Mercantile Exchange coordinates trading halts in the
S&P 500 index futures with trading halts of the stocks underlying the index and
imposes trading pauses or halts at moves of 5%, 10%, 15% and 20% in the value of
that index.

     When a position is established, "initial margin" is deposited. On most
exchanges, at the close of each trading day "variation margin," representing the
unrealized gain or loss on the open positions, is either credited to or debited
from a trader's account. If "variation margin" payments cause a trader's
"initial margin" to fall below "maintenance margin" levels, a "margin call" is
made, requiring the trader to deposit additional margin or have his position
closed out.

GLOSSARY

     The following glossary may assist the prospective investor in understanding
the terms used in this prospectus.

                                       65
<Page>

AFFILIATE. An affiliate of a person means (a) any person directly or indirectly
owning, controlling or holding with power to vote 10% or more of the outstanding
voting securities of such person; (b) any person 10% or more of whose
outstanding voting securities are directly or indirectly owned, controlled or
held with power to vote, by such person; (c) any person, directly or indirectly,
controlling, controlled by or under common control of such person; (d) any
officer, director or partner of such person; or (e) if such person is an
officer, director or partner, any person for which such person acts in such
capacity.

CFTC. Commodity Futures Trading Commission.

COMMODITY. The term commodity refers to goods, wares, merchandise, produce and
in general everything that is bought and sold in commerce, including financial
instruments. Out of this large class, certain commodities have been selected as
appropriate vehicles for trading on various national and international exchanges
located in principal marketing and commercial areas. Among the commodities
currently so traded are wheat, corn, oats, hogs, sugar, cotton, lumber, copper,
silver, gold, T-Bills, stock indices and foreign currency.

COMMODITY BROKER. Any person who engages in the business of effecting
transactions in commodity contracts for the account of others or for his own
account.

COMMODITY INTEREST CONTRACT. A contract or option thereon providing for the
delivery or receipt at a future date of a specified amount and grade of a traded
commodity at a specified price and delivery point.

CONTINUOUS OFFERING. Offers and sales of Units after the initial offering
period.

DAILY PRICE FLUCTUATION LIMIT. The maximum permitted fluctuation (imposed by an
exchange and approved by the CFTC) in the price of a futures contract for a
given commodity that can occur on an exchange on a given day in relation to the
previous day's settlement price. Such maximum permitted fluctuation is subject
to change from time to time by the exchange.

DELIVERY. The process of satisfying a commodity futures contract by transferring
ownership of a specified quantity and grade of a cash commodity to the purchaser
thereof. Certain financial instrument futures contracts are not settled by
delivery of the financial instrument, but rather are settled in cash.

FORWARD CONTRACT. A contract relating to the purchase and sale of a physical
commodity for delivery at a future date. It is distinguished from a futures
contract in that it is not traded on an exchange and it contains terms and
conditions specifically negotiated by the parties.

MARGIN. Good faith deposits with a commodity broker to assure fulfillment of a
purchase or sale of a commodity futures contract. Commodity margins do not
involve the payment of interest.

NFA. National Futures Association.

                                       66
<Page>

NET ASSETS. The total assets, less total liabilities, of the Fund determined on
the basis of generally accepted accounting principles. Net assets shall include
any unrealized profits or losses on open positions, and any fee or expense
accruing to the Fund.

NET ASSET VALUE OF A UNIT. Net assets divided by the aggregate number of Units
of limited and general partnership interest outstanding.

NET WORTH. The excess of total assets over total liabilities as determined by
generally accepted accounting principles. Net worth shall be determined
exclusive of home, home furnishings and automobiles.

OPTION. A contract giving the purchaser the right, as opposed to the obligation,
to acquire or to dispose of the commodity or commodity futures contract
underlying the option.

ORGANIZATIONAL AND OFFERING EXPENSES. All expenses incurred in connection with
and in preparing the Fund for registration and subsequently offering and
distributing it to the public, including, but not limited to, total underwriting
and brokerage discounts and commissions (including fees of the underwriter's
attorneys), expenses for printing, engraving, mailing, salaries of employees
while engaged in sales activity, charges of transfer agents, registrars,
trustees, escrow holders, depositories, experts, expenses of qualification of
the sale of its units under federal and state law, including taxes and fees,
accountants' and attorneys' fees.

POSITION LIMIT. The maximum number of futures contracts for a given commodity
that can be held or controlled at one time by one person or a group of persons
acting together. Such limitation is imposed by the CFTC or an exchange.

SETTLEMENT PRICE. The closing price for futures contracts in a particular
commodity established by the clearinghouse or exchange after the close of each
day's trading.

SPONSOR. Any person directly or indirectly instrumental in organizing the Fund
or any person who will manage or participate in the management of the Fund,
including a commodity broker who pays any portion of the organizational expenses
of the Fund, the general partner and any other person who regularly performs or
selects the persons who perform services for the Fund. Sponsor does not include
wholly independent third parties such as attorneys, accountants and underwriters
whose only compensation is for professional services rendered in connection with
the offering of the Units. The term "Sponsor" shall be deemed to include its
Affiliates.

SPOT CONTRACT. A cash market transaction in which the buyer and seller agree to
the immediate purchase and sale of a specific commodity lot, usually with a
two-day settlement.

SPREAD OR STRADDLE. A commodity trading strategy involving the simultaneous
buying and selling of contracts on the same commodity but involving different
delivery dates or markets and in which the trader expects to earn a profit from
a widening or narrowing of the difference between the prices of the two
contracts.


                                       67
<Page>

SWAPS. Swap transactions generally involve contracts with a counterparty to
exchange a stream of payments computed by reference to a notional amount and the
price of the asset that is the subject of the swap. Swap contracts are not
guaranteed by an exchange or clearinghouse.

UNREALIZED PROFIT OR LOSS. The profit or loss that would be realized on an open
position if it were closed out at the current settlement price.

VALUATION DATE. The date as of which the net assets of the Fund are determined.

                                       68
<Page>

                                                                       EXHIBIT A

                       S&P MANAGED FUTURES INDEX FUND, LP


                          LIMITED PARTNERSHIP AGREEMENT


                                  MAY 13, 2003

                                       A-i
<Page>

                                TABLE OF CONTENTS

<Table>
<Caption>
                                                                              PAGE
                                                                              ----
<S>  <C>                                                                       <C>
1.   FORMATION AND NAME                                                        A-1

2.   PRINCIPAL OFFICE; REGISTERED OFFICE AND AGENT                             A-1

     (a)  Principal Office                                                     A-1

     (b)  Registered Office and Agent                                          A-1

3.   BUSINESS                                                                  A-1

4.   TERM; DISSOLUTION; AND FISCAL YEAR                                        A-2

     (a)  Term                                                                 A-2

     (b)  Dissolution                                                          A-2

     (c)  Fiscal Year                                                          A-2

5.   NET WORTH OF GENERAL PARTNER                                              A-2

     (a)  Minimum Net Worth                                                    A-2

     (b)  Modifications                                                        A-2

6.   CAPITAL CONTRIBUTIONS; UNITS; AND DISTRIBUTIONS                           A-3

     (a)  General Partner Interest                                             A-3

     (b)  Initial Limited Partner                                              A-3

     (c)  Limited Partner Interests                                            A-3

     (d)  Distributions                                                        A-4

     (e)  No Certificates                                                      A-4

     (f)  Return of Capital Contributions                                      A-4

7.   ALLOCATION OF PROFITS AND LOSSES                                          A-4

     (a)  Capital Accounts                                                     A-4

     (b)  Allocations                                                          A-4

     (c)  Allocation of Profit and Loss for Federal Income Tax Purposes        A-5

8.   FEES AND EXPENSES                                                         A-6

     (a)  Management Fees                                                      A-6

     (b)  Administrative Expenses                                              A-7

     (c)  Upfront Selling Commission                                           A-7

     (d)  Organizational Expenses                                              A-8

     (e)  Reserves                                                             A-8

9.   MANAGEMENT OF THE PARTNERSHIP                                             A-8
</Table>

                                      A-ii
<Page>

<Table>
<Caption>
                                                                              PAGE
                                                                              ----
<S>  <C>                                                                      <C>
     (a)  Authority of the General Partner                                     A-8

     (b)  Agreements and Arrangements                                          A-8

     (c)  Prohibited Activities                                                A-8

     (d)  Freedom of Action                                                    A-9

     (e)  Tax Matters Partner                                                  A-9

10.  AUDITS AND REPORTS TO LIMITED PARTNERS                                   A-10

     (a)  Financial and Tax Information                                       A-10

     (b)  Inspection of Books and Records                                     A-10

     (c)  Calculation of Net Asset Value                                      A-10

     (d)  Notification                                                        A-10

     (e)  Taxes                                                               A-10

     (f)  Maintenance of Records                                              A-10

11.  ASSIGNABILITY OF UNITS                                                   A-11

     (a)  Notice of Transfer                                                  A-11

     (b)  Substitute Limited Partners                                         A-11

     (c)  Restrictions on Transfer                                            A-11

     (d)  Modification of Restrictions                                        A-12

     (e)  Costs of Transfer                                                   A-12

12.  REDEMPTIONS                                                              A-12

     (a)  Notice of Redemption; Redemption Price                              A-12

     (b)  Redemption Charges                                                  A-12

     (c)  Special Redemption Dates                                            A-12

     (d)  Payment                                                             A-13

     (e)  Required Redemption                                                 A-13

13.  OFFERING OF UNITS                                                        A-13

     (a)  Registration of Units                                               A-13

     (b)  ERISA Restrictions                                                  A-13

     (c)  Cancellation of Units                                               A-13

14.  SPECIAL POWER OF ATTORNEY                                                A-14

15.  WITHDRAWAL OF A PARTNER                                                  A-14
</Table>

                                      A-iii
<Page>

<Table>
<Caption>
                                                                              PAGE
                                                                              ----
<S>  <C>                                                                      <C>
     (a)  Withdrawal of General Partner                                       A-14

     (b)  Withdrawal of Limited Partners                                      A-15

16.  STANDARD OF LIABILITY; INDEMNIFICATION                                   A-15

     (a)  Liability of the General Partner                                    A-15

     (b)  Standard of Liability of the General Partner                        A-15

     (c)  Indemnification of the General Partner by the Partnership           A-15

     (d)  Securities Laws Violations                                          A-15

     (e)  Insurance                                                           A-16

     (f)  Advances                                                            A-16

     (g)  Indemnification of the Partnership by the Limited Partners          A-16

     (h)  Limited Liability of Limited Partners                               A-16

17.  AMENDMENTS; MEETINGS                                                     A-16

     (a)  Amendments with Consent of the General Partner                      A-16

     (b)  Amendments and Actions without the Consent of the General Partner   A-17

     (c)  Methods of Limited Partner Consent                                  A-17

     (d)  Names and Addresses of Limited Partners                             A-17

     (e)  Meetings                                                            A-18

18.  BENEFIT PLAN INVESTORS                                                   A-18

19.  NOT A PUBLICLY TRADED PARTNERSHIP                                        A-19

20.  GOVERNING LAW                                                            A-19

21.  MISCELLANEOUS                                                            A-19

     (a)  Notices                                                             A-19

     (b)  Binding Effect                                                      A-19

     (c)  Captions                                                            A-19

     (d)  Severability                                                        A-19

     (e)  Entire Agreement                                                    A-19

     (f)  No Waivers                                                          A-20

     (g)  Priority Among Limited Partners                                     A-20

22.  DEFINITIONS                                                              A-20
</Table>

                                      A-iv
<Page>

                       S&P MANAGED FUTURES INDEX FUND, LP

                          LIMITED PARTNERSHIP AGREEMENT

                This LIMITED PARTNERSHIP AGREEMENT (this "Agreement") of S&P
MANAGED FUTURES INDEX FUND, LP (the "Partnership") is made and entered into as
of this 13th day of May, 2003 by and among REFCOFUND HOLDINGS, LLC, a Delaware
limited liability company, as the general partner (the "General Partner"),
Philip Silverman, the initial limited partner (the "Initial Limited Partner"),
and each other party who shall execute this Agreement, by counterpart or by
attorney-in-fact (individually, a "Limited Partner" and, collectively, the
"Limited Partners" and, together with the General Partner, the "Partners").

                              W I T N E S S E T H:

                WHEREAS, the parties hereto desire to form the Partnership for
purpose of seeking investment returns that substantially track the performance
of the Standard &Poor's(R) Managed Futures Index.

                NOW THEREFORE, the parties hereto agree as follows:

                1.      FORMATION AND NAME.

                The parties hereto hereby form a limited partnership under the
Delaware Revised Uniform Limited Partnership Act, as amended from time to time
(the "Act"). The name of the limited partnership is S&P Managed Futures Index
Fund, LP. The General Partner shall execute and file a Certificate of Limited
Partnership in accordance with the Act and shall execute, file, record and
publish, as appropriate, such amendments, restatements and other documents as
are or become necessary or advisable as determined by the General Partner in its
sole discretion.

                2.      PRINCIPAL OFFICE; REGISTERED OFFICE AND AGENT.

                (a)     PRINCIPAL OFFICE. The address of the principal office of
the Partnership is c/o RefcoFund Holdings, LLC, 550 West Jackson, Suite 1300,
Chicago, Illinois 60661, telephone: (312) 788-2000, or such other place as the
General Partner may from time to time designate by notice to the Limited
Partners. The Partnership may maintain offices at such other place or places
within or outside the State of Delaware as the General Partner deems advisable.

                (b)     REGISTERED OFFICE AND AGENT. The address of the
registered office of the Partnership in the State of Delaware is located at 1209
Orange Street, Wilmington, Delaware 19801, and the registered agent for service
of process on the Partnership in the State of Delaware at such registered office
is The Corporation Trust Company.

                3.      BUSINESS.

                The Partnership's business and purpose is to seek investment
returns that substantially track the performance of the Standard &Poor's(R)
Managed Futures Index. The Partnership shall have the power to engage in all
activities which are necessary, suitable, desirable, convenient or incidental to
the accomplishment to the foregoing business and purpose.

                                       A-1
<Page>

                4.      TERM; DISSOLUTION; AND FISCAL YEAR.

                (a)     TERM. The term of the Partnership shall commence on the
day on which the Certificate of Limited Partnership was filed with the Secretary
of State of the State of Delaware pursuant to the provisions of the Act and
shall end upon the first to occur of the following: (i) receipt by the General
Partner of an election to dissolve the Partnership at a specified time by the
Limited Partners owning Units representing more than fifty percent (50%) of the
total number of outstanding Units then owned by Limited Partners, notice of
which is sent by registered mail to the General Partner not less than 90 days
prior to the effective date of such dissolution; (ii) the withdrawal,
resignation, removal, bankruptcy, insolvency or dissolution of the General
Partner or any other event that causes the General Partner to cease to be a
general partner unless (A) at the time of such event there is at least one
remaining general partner of the Partnership who carries on the business of the
Partnership or (B) within 120 days after such event Limited Partners owning at
least fifty percent (50%) of the total number of outstanding Units then owned by
Limited Partners agree to continue the business of the Partnership and to the
appointment, effective as of the date of such event, of one or more general
partners of the Partnership pursuant to the terms of SECTION 17; and (iii) any
other event which shall make it unlawful for the existence of the Partnership to
be continued or shall require termination of the Partnership.

                (b)     DISSOLUTION. Upon the dissolution of the Partnership,
the assets of the Partnership shall be distributed: (i) first, to creditors,
including any Partners who may be creditors, to the extent otherwise permitted
by law, in satisfaction of liabilities of the Partnership (whether by payment or
the making of reasonable provision for payment thereof) other than liabilities
for which reasonable provision for payment has been made and liabilities for
distributions to Partners; (ii) second, to Partners and former Partners in
satisfaction of liabilities for distributions; and (iii) third, to Partners
first for the return of their contributions and second respecting their
partnership interests, in the proportions in which the Partners share in
distributions. Following distribution of the assets of the Partnership, a
Certificate of Cancellation for the Partnership shall be filed as required by
the Act.

                (c)     FISCAL YEAR. The fiscal year of the Partnership shall
begin on January 1 of each year and end on the following December 31.

                5.      NET WORTH OF GENERAL PARTNER.

                (a)     MINIMUM NET WORTH. At all times after termination of the
Initial Offering Period, so long as it remains general partner of the
Partnership, the General Partner will maintain a Net Worth of not less than the
greater of (a) $50,000 or (b) the sum of five percent (5%) of the total capital
contributions to the Partnership (including capital contributions by the General
Partner) and to all other entities of which it is general partner and five
percent (5%) of the Units being offered. In no event shall the General Partner
be required to maintain a Net Worth in excess of $1,000,000.

                (b)     MODIFICATIONS. The requirements of SECTION 5(a) may be
modified by the General Partner if the General Partner obtains an opinion of
counsel for the Partnership that a proposed modification will not adversely
affect the classification of the Partnership as a

                                       A-2
<Page>

partnership for federal income tax purposes and will not violate any state
securities or blue sky laws to which the Partnership may be subject from time to
time.

                6.      CAPITAL CONTRIBUTIONS; UNITS; AND DISTRIBUTIONS.

                (a)     GENERAL PARTNER INTEREST. The General Partner will be
required to make and maintain a cash investment in the Partnership equal to the
greater of (i) one percent (1%) of the total capital contributions to the
Partnership or (ii) $25,000. The General Partner may withdraw any interest it
may have as a general partner in excess of such amount. Any interest in the
Partnership acquired by the General Partner or any of its principals or their
respective Affiliates will be non-voting, and will not be considered outstanding
for purposes of determining whether the majority approval of the outstanding
Units has been obtained.

                (b)     INITIAL LIMITED PARTNER. The capital contribution of the
initial Limited Partner shall be $1, payable on formation of the Partnership.
The interest of the Initial Limited Partner shall terminate on admission of any
other person as a Limited Partner and his capital contribution shall be
returned.

                (c)     LIMITED PARTNER INTERESTS. Interests in the Partnership,
other than those of the General Partner, shall be evidenced by units of limited
partnership interest ("Units"). In accordance with the Prospectus, the General
Partner, on behalf of the Partnership, shall sell, or cause to be sold, Units to
Persons desiring to become Limited Partners.

                (i)     During the Initial Offering Period, a subscriber must
        contribute $1,000 per Unit and purchase at least ten Units, making its
        initial investment to the capital of the Partnership at least $10,000;
        provided, that a subscriber that is an individual retirement account
        must purchase at least three Units, making its initial investment to the
        capital of the Partnership at least $3,000. During the Initial Offering
        Period, a subscriber who has previously submitted a Subscription
        Agreement to purchase Units may make additional investments of at least
        $2,500 to purchase Units at $1,000 per Unit. The Limited Partners'
        respective capital contributions to the Partnership shall be as shown on
        the books and records of the Partnership. Units will be sold in
        fractions calculated to three decimal places.

                (ii)    During the Initial Offering Period, all subscriptions
        received will be held in an interest bearing escrow account with an
        escrow agent selected by the General Partner. The General Partner must
        receive and accept subscriptions for at least 30,000 Units prior to the
        termination of the Initial Offering Period to break escrow and commence
        trading. If subscriptions for at least 30,000 Units have not been
        received and accepted by the General Partner prior to the termination of
        the Initial Offering Period, this Agreement shall terminate, the full
        amount of all subscriptions held in escrow, plus interest, will be
        returned to the subscribers within five Business Days after the end of
        the Initial Offering Period and the Certificate of Limited Partnership
        shall be cancelled. If subscriptions for at least 30,000 Units have been
        received and accepted by the General Partner prior to the termination of
        the Initial Offering Period, the full amount of all subscriptions held
        in escrow will be contributed to the Partnership, the interest earned on

                                       A-3
<Page>

        such subscriptions shall be treated as interest earned by the
        Partnership and the Partnership shall commence trading operations.

                (iii)   After the termination of the Initial Offering Period,
        Units will be continuously offered for sale as of the first Business Day
        of each month at their Net Asset Value. A subscriber must make an
        initial investment to the capital of the Partnership of at least
        $10,000; provided, that a subscriber that is an individual retirement
        account must make its initial investment to the capital of the
        Partnership of at least $3,000. An existing Limited Partner may make
        additional investments of at least $2,500. Subscription Agreements must
        be received at least five Business Days prior to the first Business Day
        of each month in order to be accepted and the related cleared funds must
        be received at least three Business Days prior to the first Business Day
        of each month in order for subscriptions to be accepted. Funds will be
        held in the Partnership's escrow or bank account until the first
        Business Day of the month beginning at least five Business Days after
        receipt of the related Subscription Agreement. Interest earned on funds
        submitted prior to the first Business Day of the month will be interest
        earned by the Partnership. If a subscription is rejected, the related
        funds held in the Partnership's escrow or bank account, plus interest,
        will be returned to the subscriber promptly following the end of the
        month in which the subscription was rejected.

                (d)     DISTRIBUTIONS. The General Partner shall have sole
discretion in determining what distributions (other than on redemption of
Units), if any, the Partnership will make to the Partners. Distributions shall
be PRO RATA in accordance with the respective capital accounts of the Partners.

                (e)     NO CERTIFICATES. No certificates or other evidences of
Unit ownership will be issued. All subscribers who have been accepted by the
General Partner shall be deemed admitted as Limited Partners at the time they
are reflected as such on the books and records of the Partnership.

                (f)     RETURN OF CAPITAL CONTRIBUTIONS. No Limited Partner or
assignee shall have any right to demand the return of his or her capital
contribution or any profits added thereto, except through redeeming Units or
upon dissolution of the Partnership, in each case as provided herein. In no
event shall a Limited Partner or assignee be entitled to demand or receive
property other than cash.

                7.      ALLOCATION OF PROFITS AND LOSSES.

                (a)     CAPITAL ACCOUNTS. A capital account shall be established
for each Partner. The initial balance of each Partner's capital account shall be
the amount of the initial capital contribution to the Partnership made by such
Partner.

                (b)     ALLOCATIONS. As of the close of business on the last day
of each month, the following determinations and allocations shall be made:

                (i)     The Net Assets of the Partnership will be determined
        without regard to Management Fees or Administration Fees.

                                       A-4
<Page>

                (ii)    Management Fees, if any, shall then be charged against
        Net Assets.

                (iii)   Administration Fees, if any, shall then be charged
        against Net Assets.

                (iv)    Any increase or decrease in the Partnership's Net Assets
        (after the adjustments determined pursuant to Paragraphs (i) through
        (iii) above), as compared to the last such determination of Net Assets,
        shall then be credited or charged to the capital accounts of each
        Partner in the ratio that the balance of each capital account bears to
        the balance of all capital accounts.

                (v)     The amount of any distributions to a Partner and any
        amount paid to a Partner on redemption of Units shall be charged to the
        appropriate capital account. The General Partner does not intend to make
        any distributions.

                (c)     ALLOCATION OF PROFIT AND LOSS FOR FEDERAL INCOME TAX
PURPOSES. As of the end of each fiscal year, income and expense and capital gain
or capital loss of the Partnership shall be allocated among the Partners
pursuant to the following provisions for federal income tax purposes:

                (i)     For federal income tax purposes, items of ordinary or
        capital income, gain, loss, deduction or credit for each fiscal year
        shall be allocated among the Partners in such manner as to reflect as
        nearly as possible the amounts credited or charged to each Partner's
        capital account.

                (ii)    Unrealized ordinary or capital gains or losses from
        prior periods that have been credited or charged to a Partner's capital
        account shall, when realized, be allocated as nearly as possible for
        federal income tax purposes to reflect such prior allocation to a
        Partner's capital account.

                (iii)   Allocations hereunder shall be made in accordance with
        the regulations promulgated by the Department of the Treasury under
        Section 704(b) and Section 704(c) of the Internal Revenue Code of 1986,
        as amended (the "Code"), and, in the case of allocations made in
        accordance with SECTION 7(d)(ii), may be made in accordance with the
        provisions in Temporary Treasury Regulation 1.704-3(e)(3) (or successor
        regulations) for "securities partnerships" to the extent the Partnership
        constitutes a "securities partnership" within the meaning of such
        provisions.

                (iv)    Notwithstanding SECTION 7(c)(ii), to the extent
        permitted by the regulations (or successor regulations) referred to in
        SECTION 7(c)(iii), allocations of gains that have been realized up to
        the time a Partner has redeemed all or any portion of his limited or
        general partnership interest may be allocated first to each Partner who
        has redeemed any such interest during the year to the extent that the
        amount the Partner received on redemption exceeds the amount of the
        Partner's tax basis attributable to the interest redeemed, and
        allocations of losses that have been realized up to the time a Partner
        has redeemed all or any portion of his limited or general partnership
        interest may be allocated first to each Partner who has redeemed any
        such interest during the year to the extent that the amount of the
        Partner's tax basis attributable to the interest redeemed exceeds the
        amount the Partner received on redemption. If more than one Partner
        receives a special

                                       A-5
<Page>

        allocation described above, the allocation to each Partner may be made
        in proportion to the ratio that such Partner's tax basis bears to the
        total tax basis for all interests redeemed at that time.

                (v)     Any Partner who transfers or assigns Units during any
        fiscal year shall be allocated such Partner's proportionate share of the
        capital gain or capital loss and ordinary income or loss realized by the
        Partnership through the end of the month in which notice of such
        transfer or assignment is given to the General Partner in accordance
        with SECTION 11, and the transferee or assignee of such Units shall be
        allocated its proportionate share of the capital gain or capital loss
        and ordinary income or loss realized by the Partnership commencing with
        the month next succeeding the month in which notice of the transfer or
        assignment is given.

                (vi)    For purposes of this SECTION 7(c), "capital gain" or
        "capital loss" shall mean gain or loss characterized as gain or loss
        from the sale or exchange of a capital asset by the Code, including gain
        or loss required to be taken into account pursuant to Section 1256
        thereof.

                (vii)   Capital gain and capital loss shall be allocated
        separately and not netted.

                (viii)  The allocation of profit and loss for federal income tax
        purposes set forth herein allocates taxable profit and loss among the
        Partners in the ratio and to the extent that financial profit and loss
        are allocated to such Partners and so as to eliminate, to the maximum
        practicable extent, any disparity between a Partner's capital account
        and its tax account, consistent with principles set forth in Section 704
        of the Code, including a "Qualified Income Offset."

                (ix)    The allocations of profit and loss to the Partners in
        respect of their Units shall not exceed the allocations permitted under
        Subchapter K of the Code, as determined by the General Partner, whose
        determination shall be binding.

                (x)     The method for allocating gains and loses for federal
        tax purposes may be changed by the General Partner upon receipt of
        advice from counsel to the Partnership that such change is required by
        applicable law or regulations.

                8.      FEES AND EXPENSES.

                (a)     MANAGEMENT FEES. The Partnership shall pay to the
General Partner a monthly management fee (the "Management Fee") equal to 0.3125%
of the Partnership's month-end Net Assets (3.75% per annum). Management Fees,
accrued as well as paid, shall reduce Net Asset Value. The Management Fees,
Administrative Fees and customary and routine administrative expenses of the
Partnership, other than the actual cost of legal and audit services and
extraordinary expenses ("Customary Administrative Expenses"), may not exceed
0.5% of the Partnership's month-end Net Assets (6% per annum). If necessary, the
General Partner shall reimburse the Partnership, no less frequently than
quarterly, for the amount by which the Management Fees, Administrative Fees and
Customary Administrative Expenses exceed such limitation.

                                       A-6
<Page>

                (i)     The General Partner shall pay all expenses incurred in
        connection with the organization of the Partnership and the initial
        offering of Units. The organization and initial offering expenses shall
        be paid by the General Partner out of the Management Fee. The
        organizational and offering expenses, plus the Upfront Selling
        Commissions and other commissions and compensation for sales of Units,
        may not exceed 15% of the total capital contributions of the Partners.

                (ii)    Beginning in the 13th month following the purchase of
        any Units, the General Partner shall pay to the selling agent of such
        Units a monthly trailing commission equal to 0.1875% (2.25% per annum)
        of the Partnership's month-end Net Assets per Unit multiplied by the
        number of Units placed by such selling agent. The monthly trailing
        commissions shall be paid by the General Partner from the Management
        Fee.

                (b)     ADMINISTRATIVE EXPENSES.

                (i)     The Partnership shall pay to the General Partner a
        monthly administrative fee (the "Administrative Fees") equal to 0.0208%
        of the Partnership's month-end Net Assets (0.25% per annum).
        Administrative Fees, accrued as well as paid, shall reduce Net Asset
        Value. The Administrative Fees, Management Fees and Customary
        Administrative Fees may not exceed 0.5% of the Partnership's month-end
        Net Assets (6% per annum). If necessary, the General Partner shall
        reimburse the Partnership, no less frequently than quarterly, for the
        amount by which the Administrative Fees, Management Fees and Customary
        Administrative Expenses exceed such limitation.

                (ii)    The Partnership shall be billed for and shall pay all of
        its administrative expenses, including all Customary Administrative
        Expenses, legal and audit services expenses and extraordinary expenses.
        The General Partner shall pay and shall not allocate to the Partnership
        any of its indirect expenses incurred in connection with the
        administration of the Partnership, including salaries, rent, travel
        expenses and such other items generally falling under the category of
        overhead expenses, except for organizational and offering expenses.

                (iii)   The Partnership shall pay its pro rata share of the fees
        and expenses of the Index SPC. The fees and expenses of the Index SPC
        include (A) management fees and incentive fees paid to the managers of
        the Index SPC; (B) fees paid to the Index SPC's administrator to
        administer the Index SPC; (C) brokerage commissions and other
        transaction-related expenses of the Index SPC; (D) accounting, audit and
        legal expenses and custodial fees of the Index SPC; and (E) any
        extraordinary expenses of the Index SPC.

                (c)     UPFRONT SELLING COMMISSION. The General Partner shall
pay to each selling agent of any Units an upfront selling commission equal to
3.00% of the subscription amount for such Units (the "Upfront Selling
Commissions"). The Partnership shall reimburse the General Partner for all
Upfront Selling Commissions monthly at a rate of 0.0625% of the Partnership's
month-end Net Assets (0.75% per annum) plus interest on such amount; provided,
that the Partnership shall have no obligation to reimburse the General Partner
for any amount in

                                       A-7
<Page>

excess of the aggregate amount of Upfront Selling Commissions paid by the
General Partner to the selling agents plus interest on such amount. Upfront
Selling Commissions, plus the organizational and offering expenses and other
commissions and compensation for sales of Units, may not exceed 15% of the total
capital contributions of the Partners.

                (d)     ORGANIZATIONAL EXPENSES. The Partnership shall pay all
expenses incurred in connection with the ongoing offering of Units. The
organizational and offering expenses, plus the Upfront Selling Commissions and
other commissions and compensation for sales of Units, may not exceed 15% of the
total capital contributions of the Partners.

                (e)     RESERVES. The General Partner may create, in its sole
and absolute discretion, appropriate reserves, which shall be accrued and
charged against the Net Assets for contingent liabilities, if any, as of the
date any such contingent liability becomes known to the General Partner. Such
reserves shall reduce Net Asset Value for all purposes.

                9.      MANAGEMENT OF THE PARTNERSHIP.

                (a)     AUTHORITY OF THE GENERAL PARTNER. The General Partner
shall control, conduct and manage the business of the Partnership, including the
investment of the funds of the Partnership. The General Partner may take such
actions on behalf of the Partnership as the General Partner deems, in its sole
discretion, necessary or desirable to manage the business of the Partnership.
The General Partner shall have sole discretion in determining what distributions
of profits and income, if any, shall be made to the Partners (subject to the
allocation provisions hereof), shall execute various documents on behalf of the
Partnership and the Limited Partners and shall supervise the liquidation of the
Partnership if an event causing dissolution of the Partnership occurs.

                (b)     AGREEMENTS AND ARRANGEMENTS. The Partnership and the
General Partner on behalf of the Partnership may enter into any agreements or
arrangements specifically described in or contemplated by the Prospectus or
otherwise as the General Partner deems, in its sole discretion, necessary or
desirable to manage the business of the Partnership without any further act,
approval or vote of any Limited Partner other than the General Partner.

                (c)     PROHIBITED ACTIVITIES.

                (i)     The funds of the Partnership will not be commingled with
        the funds of any other Person (deposit of funds with a commodity broker,
        clearinghouse or forward dealer, entering into joint ventures or
        partnerships, or investing assets in the Index SPC or any other
        collective investment vehicle shall not be deemed to constitute
        "commingling" for these purposes).

                (ii)    The Partnership shall make no loans to any Person. The
        General Partner shall make no loans to the Partnership.

                (iii)   The Partnership shall not employ the trading technique
        commonly known as "pyramiding," which means using unrealized profit on
        existing positions as margin for the purchase or sale of additional
        positions in the same or related commodities. The General Partner taking
        into account the Partnership's open trade equity on existing

                                       A-8
<Page>

        positions in determining generally whether to acquire additional
        commodity positions on behalf of the Partnership will not be considered
        to be engaging in "pyramiding."

                (iv)    No Person may receive, directly or indirectly, any
        advisory, management or incentive fees, or any profit-sharing allocation
        from joint ventures, partnerships or similar arrangements in which the
        Partnership participates, for investment advice or management who shares
        or participates in any commodity brokerage commissions paid by the
        Partnership; no broker may pay, directly or indirectly, rebates or
        give-ups to any trading advisor or manager or to the General Partner or
        any of their respective Affiliates; and such prohibitions may not be
        circumvented by any reciprocal business arrangements.

                (v)     Neither the General Partner nor any Affiliate of the
        General Partner shall directly or indirectly pay or award any
        commissions or other compensation to any Person engaged to sell Units or
        to give investment advice to a potential Limited Partner; provided, that
        neither the General Partner nor any Affiliate of the General Partner is
        prohibited from paying to a registered broker-dealer or other properly
        licensed Person normal sales commissions for selling Units.

                (vi)    The maximum period covered by any contract entered into
        by the Partnership shall not exceed one year (although such contracts
        may be automatically renewable for successive one year periods until
        terminated). Any agreements between the Partnership and the General
        Partner or any of its Affiliates shall be terminable by the Partnership
        upon no more than 60 days' written notice.

                (vii)   No material change in the basic investment policies or
        structure of the Partnership shall be made without the approval of
        Limited Partners owning Units representing more than fifty percent (50%)
        of the total outstanding Units owned by Limited Partners as of a record
        date established for a vote thereon.

                (viii)  The General Partner may not assign its general liability
        interest or its obligation to direct the trading of the Partnership
        without the consent of each Limited Partner.

                (d)     FREEDOM OF ACTION. The General Partner is engaged in,
and may in the future engage in, other business activities and shall not be
required to refrain from any other activity nor forego any profits from any such
activity, whether or not in competition with the Partnership. Neither the
Partnership nor any other Partner shall have any right by virtue of this
Agreement in or to The General Partner shall devote to the Partnership such time
as the General Partner may deem advisable to the conduct of the Partnership's
business and affairs.

                (e)     TAX MATTERS PARTNER. The General Partner is hereby
authorized to perform all duties imposed by Sections 6221 through 6232 of the
Code on the General Partner as the "tax matters partner" of the Partnership. The
General Partner may, in its sole discretion, make a mixed straddle account
election on behalf of the Partnership and elections under Sections 988, 1092 and
1256 of the Code on behalf of the Partnership.

                                       A-9
<Page>

                10.     AUDITS AND REPORTS TO LIMITED PARTNERS.

                (a)     FINANCIAL AND TAX INFORMATION. The Partnership's books
shall be audited annually by an independent certified public accountant selected
by the General Partner. The Partnership will use its best efforts to cause each
Limited Partner to receive (i) within 90 days after the end of each fiscal year,
an "Annual Report" as required by CFTC Regulation 4.22(c) and such tax
information as is necessary for a Limited Partner to complete his or her federal
income tax return and (ii) ) within 30 days of the end of each month, a "Monthly
Account Statement" as required by CFTC Regulation 4.22(a). The General Partner
will comply with the reporting requirements of CFTC Regulation 4.22 with respect
to the Partnership.

                (b)     INSPECTION OF BOOKS AND RECORDS. Limited Partners or
their duly authorized representatives may inspect the books and records of the
Partnership during normal business hours upon reasonable written notice to the
General Partner and may obtain copies of such records upon payment of reasonable
reproduction costs; provided, that upon request by the General Partner, the
requesting Limited Partner shall represent that the inspection and/or copies of
such records will not be used for commercial purposes unrelated to such Limited
Partner's interest as an investor in the Partnership.

                (c)     CALCULATION OF NET ASSET VALUE. The General Partner
shall calculate the Net Assets of the Partnership daily and shall make the
approximate Net Asset Value available upon the request of a Limited Partner for
a purpose reasonably related to such Limited Partner's interest as a limited
partner in the Partnership.

                (d)     NOTIFICATION. The General Partner will send written
notice to each Limited Partner within seven Business Days of the occurrence of:

                (i)     any decline in the Net Asset Value per Unit to less than
        fifty percent (50%) of such Net Asset Value as of the previous month-end
        valuation date; and

                (ii)    any other material change affecting the compensation of
        any party.

Each such notification shall set forth the Limited Partners' voting and
redemption rights and a description of any material effect such change may have
on the Units.

                (e)     TAXES. The General Partner shall prepare or cause to be
prepared and shall file on or before the due date (or any extension thereof) any
federal, state or local tax returns required to be filed by the Partnership. The
General Partner shall cause the Partnership to pay any taxes payable by the
Partnership; provided, that such taxes need not be paid if the General Partner
or the Partnership are in good faith and by appropriate legal proceedings
contesting the validity, applicability or amount thereof, and such contest does
not materially endanger any right or interest of the Partnership.

                (f)     MAINTENANCE OF RECORDS. The General Partner shall
maintain and preserve all required records relating to the Partnership for a
period of not less than six years from the receipt of such records.

                                      A-10
<Page>

                11.     ASSIGNABILITY OF UNITS.

                (a)     NOTICE OF TRANSFER. Each Limited Partner expressly
agrees that he or she will not assign, transfer or dispose of, by gift or
otherwise, any of his or her Units or any part or all of his or her right, title
and interest in the capital or profits of the Partnership without giving fifteen
days' prior written notice to the Partnership and the General Partner. Such
written notice shall specify the name and residence address of the assignee, the
date of assignment, shall include a statement by the assignee that he or she
agrees to give the above-described written notice to the General Partner upon
any subsequent assignment and shall be signed by the assignor and assignee. If
an assignment, transfer or disposition occurs by reason of the death of a
Limited Partner, such written notice may be given by the duly authorized
representative of the estate of the Limited Partner and shall be supported by
such proof of legal authority and valid assignment as may be reasonably
requested by the General Partner. No assignment, transfer or disposition by a
Limited Partner of Units or of any part of his or her right, title and interest
in the capital or profits of the Partnership shall be effective against the
Partnership or the General Partner until the first day of the month following
the month in which the Partnership and the General Partner receive such written
notice of the assignment, and the General Partner shall not be required to give
any assignee any rights hereunder prior to such time. The General Partner may,
in its sole discretion, waive any such notice or any defect therein. The General
Partner will send written confirmation to both the transferor and transferee of
Units that the transfer in question has been duly recorded on the Partnership's
books and records.

                (b)     SUBSTITUTE LIMITED PARTNERS. No assignee may become a
substituted Limited Partner, except with the consent of the General Partner and
upon execution and delivery of an instrument of transfer in form and substance
satisfactory to the General Partner; provided, that the General Partner may
withhold such consent only if it is necessary (i) to prevent the Partnership
from being treated as a publicly traded partnership or (ii) to preserve the tax
status of the Partnership or the characterization or treatment of income or loss
and such restriction is supported by an opinion of counsel. If the General
Partner withholds consent, an assignee shall not become a substituted Limited
Partner, and shall not have any of the rights of a Limited Partner, except that
the assignee shall be entitled to receive that share of capital and profits and
shall have that right of redemption to which his or her assignor would otherwise
have been entitled. A substituted Limited Partner shall have all of the rights
and powers and shall be subject to all of the restrictions and liabilities of
Limited Partner of the Partnership. A substituted Limited Partner shall be
liable for the obligations of his or her assignor to make contributions to the
Partnership, but shall not be liable for the obligations of his assignor under
the Act to return distributions received by the assignor; provided, that a
substituted Limited Partner shall not be obligated for liabilities unknown to
him or her at the time he or she became a substituted Limited Partner and which
could not be ascertained from this Agreement. An assigning Limited Partner shall
remain liable to the Partnership as provided in the Act, regardless of whether
his or her assignee becomes a substituted Limited Partner. Each Limited Partner
agrees that any assignee may become a substituted Limited Partner without need
of the further act or approval of any Limited Partner.

                (c)     RESTRICTIONS ON TRANSFER. No assignment, transfer or
disposition of any Units shall be made in violation of any applicable federal or
state securities laws. The General Partner will not permit the assignment,
transfer or disposition of Units where, after the

                                      A-11
<Page>

assignment, transfer or disposition, either the Limited Partner or the assignee
would hold less than the minimum number of Units equivalent to an initial
minimum purchase (as stated in the then-current Prospectus), except for
assignments, transfers or dispositions by gift, inheritance, intrafamily
transfers, family dissolutions or transfers to Affiliates of the Limited
Partner. The General Partner will not permit the assignment, transfer or
disposition of Units where the General Partner has received an opinion of
counsel that such assignment, transfer or disposition would cause the
Partnership to be treated as a publicly traded partnership.

                (d)     MODIFICATION OF RESTRICTIONS. The General Partner shall
eliminate or modify any restriction on assignment or substitution at such time
as the General Partner receives an opinion of counsel that such restriction is
no longer necessary.

                (e)     COSTS OF TRANSFER. The assignor of a Unit shall bear the
costs related to such assignment or transfer. Certificates representing Units
may bear appropriate legends to such effect.

                12.     REDEMPTIONS.

                (a)     NOTICE OF REDEMPTION; REDEMPTION PRICE. Each Limited
Partner and each assignee of Units of whom the General Partner has received
written notice pursuant to SECTION 11 may redeem all or any of his or her Units
effective as of the close of business on the last Business Day of any calendar
month by delivering to the General Partner a written request for redemption in a
form specified by the General Partner at least 10 Business Days prior to the
date of redemption; provided, that all liabilities, contingent or otherwise, of
the Partnership (including the Partnership's allocable share of the liabilities,
contingent or otherwise, of any entities in which the Partnership invests),
except any liability to Limited Partners on account of their capital
contributions, have been paid or there remains property of the Partnership
sufficient to pay them. All redemptions will be made at the Net Asset Value of
the redeemed Units as of the effective date of the redemption.

                (b)     REDEMPTION CHARGES. Limited Partners who redeem Units on
or prior to the end of the first year after such Units are sold will be assessed
a redemption charge (the "Redemption Charge") equal to 3% of the Net Asset Value
of the Units redeemed as of the date of redemption. Units purchased by the same
Limited Partner on different closing dates will be treated on a "first-in,
first-out" basis for purposes of calculating whether they have been held for a
year. All Redemption Charges will be paid to the General Partner.

                (c)     SPECIAL REDEMPTION DATES. The General Partner may permit
some or all Limited Partners to redeem Units as of dates other the last Business
Day of any calendar month upon written notice to the Limited Partners and
assignees of whom the General Partner has received written notice pursuant to
SECTION 11. The General Partner shall declare such a special redemption date
whenever the Partnership experiences a decline in Net Asset Value per Unit as of
the close of business on any Business Day to less than 50% of the Net Asset
Value per Unit on the last valuation date. The Partnership shall suspend trading
during such special redemption period.

                                      A-12
<Page>

                (d)     PAYMENT. Redemption payments will be made (by mailing a
check or crediting a customer securities account) within 10 Business Days after
the redemption date. The General Partner will make arrangements with selling
agents who so request to pay redemptions through crediting Limited Partners'
customer securities accounts with such selling agents. Redemptions may be
temporarily suspended if, in the General Partner's judgment, additional
redemptions would impair the ability of the Partnership to meet its objectives
or if a market disruption results in the closing of financial markets in the
United States or abroad and it is impossible or impracticable to value the Units
or liquidate Partnership assets. In addition, the right of a Partner to receive
a redemption payment further depends on the Partnership's ability to obtain the
necessary funds by redeeming its investment in the Index SPC, which is subject
to certain limits. Under these limits, redemptions of interests in the Index SPC
by the Partnership as of any particular redemption date cannot exceed 20% of the
Partnership's investment in the Index SPC as of that date unless the Index SPC
has received at least 15 business days' notice prior to a redemption date. The
General Partner will notify the Limited Partners in writing if redemptions are
suspended.

                (e)     REQUIRED REDEMPTION. The General Partner may require a
Limited Partner to redeem all or a portion of such Limited Partner's Units if
the General Partner considers doing so to be desirable for the protection of the
Partnership, and will use its best efforts to do so to the extent necessary to
prevent the Partnership from being deemed to hold "plan assets" under the
provisions of the Employee Retirement Income Security Act of 1974, as amended
("ERISA"), or Section 4975 of the Code with respect to any "employee benefit
plan" as defined in and subject to ERISA or with respect to any "plan" as
defined in Section 4975 of the Code.

                13.     OFFERING OF UNITS.

                (a)     REGISTRATION OF UNITS. The General Partner on behalf of
the Partnership shall (i) cause to be filed from time to time a Registration
Statement, and such amendments thereto as the General Partner may deem
advisable, with the Securities and Exchange Commission for the registration and
ongoing public offering of Units, (ii) use its best efforts to qualify Units for
sale from time to time under the securities laws of such states of the United
States or other jurisdictions as the General Partner shall deem necessary or
advisable and (iii) take such action with respect to the matters described in
(i) and (ii) as the General Partner shall deem necessary or advisable.

                (b)     ERISA RESTRICTIONS. The General Partner shall not accept
any subscriptions for Units if doing so would cause the Partnership to be
considered to hold "plan assets" for any purpose of ERISA or Section 4975 of the
Code with respect to any "employee benefit plan" as defined in and subject to
ERISA or with respect to any "plan" as defined in Section 4975 of the Code.

                (c)     CANCELLATION OF UNITS. All Units subscribed for upon
transfer of funds from a subscriber's account (or receipt of a check in the
subscription amount) are issued subject to the collection of the funds
represented by such transfer (or check). In the event that a transfer (or check)
of a subscriber is not honored, the Partnership shall cancel the Units issued to
such subscriber in consideration of such dishonored transfer (or check);
provided, that the General Partner may waive such cancellation upon receipt of
what it believes to be reasonable assurances

                                      A-13
<Page>

that such transfer (or check) will be honored or replaced by another transfer
(or check) which will be honored within 10 Business Days of original dishonor.
Any losses or profits sustained by the Partnership in connection with its
trading allocable to cancelled Units shall not be a liability of the General
Partner but shall be deemed an increase or decrease in the Net Assets of the
Partnership and allocated as described in SECTION 7. Each subscriber agrees to
reimburse the Partnership for any expense or losses incurred in connection with
any such cancellation of Units issued to such subscriber.

                14.     SPECIAL POWER OF ATTORNEY.

                Each Limited Partner by virtue of having purchased or otherwise
acquired Units does hereby irrevocably constitute and appoint the General
Partner and each officer of the General Partner, with full power of
substitution, as his or her true and lawful attorney-in-fact, in his or her
name, place and stead, to (a) execute, acknowledge, swear to, deliver, record
and file: (i) this Agreement, including any amendments and/or restatements
hereto duly adopted as provided herein; (ii) all other agreements described
herein or in the Prospectus, including any amendments hereto and thereto, and
(iii) all certificates, documents and other instruments that the General Partner
deems appropriate to qualify or continue the Partnership in the State of
Delaware and the jurisdictions in which the Partnership may conduct business, or
which may be required to be filed by the Partnership or the Limited Partners
under the laws of any jurisdiction to reflect the dissolution or termination of
the Partnership; and (b) to file, prosecute, defend, settle or compromise
litigation, claims or arbitrations on behalf of the Partnership. The Power of
Attorney granted herein shall be irrevocable and deemed to be a power coupled
with an interest (including the interest of the other Limited Partners in the
General Partner being able to rely on the General Partner's authority to act as
contemplated by this SECTION 14), and shall survive and shall not be affected by
the subsequent death, incapacity, disability, insolvency or dissolution of a
Limited Partner or any delivery by any Limited Partner of an assignment of the
whole or any portion of his or her Units.

                15.     WITHDRAWAL OF A PARTNER.

                (a)     WITHDRAWAL OF GENERAL PARTNER. The Partnership shall be
dissolved upon the withdrawal, resignation, removal, bankruptcy, insolvency or
dissolution of the General Partner, or any other event that causes the General
Partner to cease to be the General Partner of the Partnership, unless the
Partnership is continued pursuant to the terms of SECTION 4(a)(iii). If at the
time of any withdrawal, resignation, removal, bankruptcy, insolvency or
dissolution of the General Partner, or any other event that causes the General
Partner to cease to be the General Partner of the Partnership, there is at least
one remaining general partner of the Partnership, such general partner agrees to
carry on the business of the Partnership. In addition, the General Partner may
withdraw from the Partnership, without any breach of this Agreement, at any time
upon 120 days' written notice to each Limited Partner and each assignee of whom
the General Partner has notice pursuant to SECTION 11. In the event of the
General Partner's withdrawal, resignation or removal from the Partnership, the
General Partner shall be entitled to a redemption of its general liability
interest in the Partnership at its Net Asset Value as of the close of business
on the last Business Day of the month following the date of withdrawal,
resignation or removal. If the General Partner withdraws from the Partnership
and the Partnership's business is

                                      A-14
<Page>

continued, the withdrawing General Partner shall pay all expenses incurred as a
result of its withdrawal.

                (b)     WITHDRAWAL OF LIMITED PARTNERS. The death, incompetency,
withdrawal, bankruptcy, insolvency or dissolution of a Limited Partner or any
other event that causes a Limited Partner to cease to be a limited partner in
the Partnership shall not terminate or dissolve the Partnership, and a Limited
Partner, his or her estate, custodian or personal representative shall have no
right to redeem or value such Limited Partner's interest except as provided in
SECTION 12. Each Limited Partner expressly agrees that in the event of his or
her death, he or she waives on behalf of himself or herself and his or her
estate, and directs the legal representatives of his or her estate and any
person interested therein to waive, the furnishing of any inventory, accounting
or appraisal of the assets of the Partnership and any right to an audit or
examination of the books of the Partnership. Nothing in this SECTION 15 shall,
however, waive any right given elsewhere in this Agreement for a Limited Partner
to be informed of the Net Asset Value of his or her Units, to receive audited
financial statements and other information from the General Partner or the
Partnership or to redeem or transfer Units.

                16.     STANDARD OF LIABILITY; INDEMNIFICATION.

                (a)     LIABILITY OF THE GENERAL PARTNER. The General Partner
shall have unlimited liability for the repayment, satisfaction and discharge of
all debts, liabilities and obligations of the Partnership to the full extent,
and only to the extent, as required by the terms of this Agreement and the Act.

                (b)     STANDARD OF LIABILITY OF THE GENERAL PARTNER. The
General Partner and its Affiliates shall have no liability to the Partnership or
to any Limited Partner for any loss suffered by the Partnership that arises out
of any action or inaction of the General Partner or its Affiliates if the
General Partner, in good faith, determined that such course of conduct was in
the best interests of the Partnership, the General Partner or its Affiliates
were acting on behalf of or performing services for the Partnership and such
course of conduct did not constitute negligence or misconduct of the General
Partner or its Affiliates.

                (c)     INDEMNIFICATION OF THE GENERAL PARTNER BY THE
PARTNERSHIP. To the fullest extent permitted by law, the General Partner and its
Affiliates shall be indemnified by the Partnership against any losses,
judgments, liabilities, expenses and amounts paid in settlement of any claims
sustained by them in connection with the Partnership; provided, that the General
Partner, in good faith, determined that such conduct was in the best interests
of the Partnership, the General Partner or its Affiliates were acting on behalf
of or performing services for the Partnership and such claims were not the
result of negligence or misconduct on the part of the General Partner or its
Affiliates. The indemnification provided by the Partnership to the General
Partner and its Affiliates hereunder is recoverable only from the assets of the
Partnership and not from the Limited Partners.

                (d)     SECURITIES LAWS VIOLATIONS. Notwithstanding anything to
the contrary contained in SECTION 16(c), the General Partner and its Affiliates
and any Person acting as a broker-dealer shall not be indemnified for any
losses, liabilities or expenses arising from or out of an alleged violation of
federal or state securities laws unless (i) there has been a successful

                                      A-15
<Page>

adjudication on the merits of each count involving alleged securities law
violations as to the particular indemnitee, (ii) such claims have been dismissed
with prejudice on the merits by a court of competent jurisdiction as to the
particular indemnitee or (iii) a court of competent jurisdiction approves a
settlement of the claims against a particular indemnitee and finds that
indemnification of the settlement and related costs should be made. In any claim
for indemnification pursuant to SECTION 16(d)(iii), the party seeking
indemnification shall place before the court the position of the Securities and
Exchange Commission and any other state or applicable regulatory authority with
respect to the issue of indemnification for securities law violations.

                (e)     INSURANCE. The Partnership may not incur the cost of any
insurance that covers the General Partner and that contains coverage for
liabilities as to which the General Partner is prohibited from being indemnified
pursuant to this SECTION 16.

                (f)     ADVANCES. Advances from the funds of the Partnership to
the General Partner or its Affiliates for legal expenses and other costs
incurred as a result of a legal action will be made only if the following
conditions are satisfied: (i) the legal action relates to the performance of
duties or services by the General Partner or its Affiliates on behalf of the
Partnership; (ii) the legal action is initiated by a third party who is not a
Limited Partner or the legal action is initiated by a Limited Partner and a
court of competent jurisdiction approves such advancement; and (iii) the General
Partner or its Affiliates undertake to repay the advanced funds, with interest
from the initial date of such advance, to the Partnership in cases in which they
would not be entitled to indemnification under the standard of liability set
forth in SECTION 16(b).

                (g)     INDEMNIFICATION OF THE PARTNERSHIP BY THE LIMITED
PARTNERS. In the event that the Partnership is made a party to any claim,
dispute or litigation or otherwise incurs any loss or expense as a result of or
in connection with any activities, obligations or liabilities of a Limited
Partner unrelated to the business of the Partnership, such Limited Partner shall
indemnify and reimburse the Partnership for all loss and expense incurred,
including reasonable attorneys' fees in connection therewith.

                (h)     LIMITED LIABILITY OF LIMITED PARTNERS. Each Unit shall
be fully-paid and non-assessable. Except as otherwise provided by law, a Limited
Partner will have no liability in excess of his or her obligation to make
contributions to the capital of the Partnership and the amount of his or her
capital account and accumulated profits.

                17.     AMENDMENTS; MEETINGS.

                (a)     AMENDMENTS WITH CONSENT OF THE GENERAL PARTNER.

                (i)     If at any time during the term of the Partnership the
        General Partner shall deem it necessary or desirable to amend this
        Agreement, such amendment shall be effective only if approved by the
        General Partner and by the Limited Partners owning Units representing
        more than 50% of the outstanding Units then owned by Limited Partners;
        provided, that the approval of each affected Limited Partner and
        assignee of whom the General Partner has notice pursuant to SECTION 11
        shall be required to reduce

                                      A-16
<Page>

        the capital account of such Limited Partner or assignee otherwise than
        in accordance with the terms of this Agreement or modify the percentage
        of profits, losses or distributions to which such Limited Partner or
        assignee is entitled hereunder; and provided, further, that the approval
        of all Limited Partners shall be required to modify the provisions of
        this SECTION 17.

                (ii)    Notwithstanding the foregoing, the General Partner may
        amend this Agreement without the consent of the Limited Partners in
        order (i) to clarify any clerical inaccuracy or ambiguity or reconcile
        any inconsistency (including any inconsistency between this Agreement
        and the Prospectus), (ii) to effect the intent of the allocations
        proposed herein to the maximum extent possible in the event of a change
        in the Code or the interpretations thereof affecting such allocations,
        (iii) to qualify or maintain the qualification of the Partnership as a
        partnership in any jurisdiction, (iv) to delete or add any provision of
        or to this Agreement required to be deleted or added by the Securities
        and Exchange Commission or any other federal agency or any state "Blue
        Sky" or similar official or otherwise required by law, (v) to delete or
        add any provisions of or to this Agreement that the General Partner
        deems advisable, provided that such amendment is for the benefit of and
        not adverse to the Limited Partners, (vi) to attempt to ensure that the
        Partnership is not treated as an association taxable as a corporation
        for federal income tax purposes, (vii) to attempt to prevent the
        Partnership or the General Partner or its directors, officers or
        controlling persons from, in any manner, being subject to the provisions
        of the Investment Company Act of 1940, as amended, and (viii) to attempt
        to avoid causing the assets of the Partnership from being considered for
        any purpose of ERISA or Section 4975 of the Code to constitute assets of
        any Plan.

                (b)     AMENDMENTS AND ACTIONS WITHOUT THE CONSENT OF THE
GENERAL PARTNER. The following actions may be taken with respect to the
Partnership without the consent of the General Partner if such actions are
approved by the Limited Partners owning Units representing more than 50% of the
outstanding Units then owned by Limited Partners: (i) this Agreement may be
amended, provided, that the consent of the General Partner shall be required for
any amendment that modifies the compensation or distributions to which the
General Partner is entitled or that affects the duties of the General Partner;
(ii) the General Partner may be removed and replaced; (iii) a new General
Partner or General Partners may be elected if the General Partner withdraws from
the Partnership; (iv) any contract with the General Partner or any of its
Affiliates may be canceled without penalty upon 60 days' notice; and (v) the
Partnership may be dissolved.

                (c)     METHODS OF LIMITED PARTNER CONSENT. In any matter
regarding any Partnership action in which consent of a Limited Partner is
required, such consent shall be deemed to have been give if either: (i) such
Limited Partner affirmatively grants such consent in writing; or (ii) such
Limited Partner has been furnished with a written notice of the matter(s) for
which consent is requested and the Limited Partner shall have failed to respond
to such notice within the time period designated in the notice.

                (d)     NAMES AND ADDRESSES OF LIMITED PARTNERS. Any Limited
Partner upon request given to the General Partner shall be entitled to obtain
from the General Partner, upon payment in advance of reasonable reproduction and
mailing costs, a list of the names and

                                      A-17
<Page>

addresses of record of all Limited Partners and the number of Units held by each
(which shall be mailed by the General Partner to the Limited Partner within 10
Business Days of the receipt of the request); provided, that the General Partner
may require any Limited Partner requesting such information to submit written
confirmation that such information will not be used for commercial purposes.

                (e)     MEETINGS.

                (i)     The General Partner may by written notice to each
        Limited Partner of record call a meeting of the Limited Partners for any
        matter upon which the Limited Partners may vote pursuant to this
        Agreement or under the Act. Such meeting shall be held at least 30 but
        not more than 60 days after giving such notice, and such notice shall
        specify the date of, a reasonable place and time for, and the purpose of
        such meeting. Such notice shall establish a record date for Units
        entitled to vote at the meeting, which shall be not more than 15 days
        prior to the date established for such meeting.

                (ii)    If Limited Partners owning Units representing at least
        10% of all Units then owned by Limited Partners shall, by written notice
        given in person or by certified mail to the General Partner, request
        that a meeting of the Partnership be called to vote upon any matter upon
        which the Limited Partners may vote pursuant to this Agreement or under
        the Act, the General Partner shall, by written notice given in person or
        by certified mail to each Limited Partner of record given within 15 days
        after such receipt, call a meeting of the Partnership for such purpose.
        Such meeting shall be held at least 30 but not more than 60 days after
        giving such notice, and such notice shall specify the date of, a
        reasonable place and time for, and the purpose of such meeting. Such
        notice shall establish a record date for Units entitled to vote at the
        meeting, which shall be not more than 15 days prior to the date
        established for such meeting.

                18.     BENEFIT PLAN INVESTORS.

                Each Limited Partner that is an "employee benefit plan" as
defined in and subject to ERISA or a "plan" as defined in Section 4975 of the
Code (each such employee benefit plan and plan, a "Plan"), and each fiduciary
thereof who has caused the Plan to become a Limited Partner (a "Plan
Fiduciary"), represents and warrants that: (a) the Plan Fiduciary has considered
an investment in the Partnership for such Plan in light of the risks relating
thereto; (b) the Plan Fiduciary has determined that, in view of such
considerations, the investment in the Partnership by such Plan is consistent
with such Plan Fiduciary's responsibilities under ERISA; (c) the investment in
the Partnership by the Plan does not violate and is not otherwise inconsistent
with the terms of any legal document constituting the Plan or any partnership
agreement entered into thereunder; (d) the Plan's investment in the Partnership
has been duly authorized and approved by all necessary parties; (e) none of the
General Partner, the selling agents, any of their respective Affiliates or any
of their respective agents or employees: (i) has investment discretion with
respect to the investment of the assets of the Plan used to purchase Units; (ii)
has authority or responsibility to or regularly gives investment advice with
respect to the assets of the Plan used to purchase Units for a fee and pursuant
to an agreement or understanding that such advice will serve as a primary basis
for investment decisions with respect to the Plan and that such advice will be
based on the particular investment needs of the Plan; or (iii) is an employer

                                      A-18
<Page>

maintaining or contributing to the Plan; and (f) the Plan Fiduciary: (i) is
authorized to make, and is responsible for, the decision for the Plan to invest
in the Partnership, including the determination that such investment is
consistent with the requirement imposed by Section 404 of ERISA that Plan
investments be diversified so as to minimize the risks of large losses; (ii) is
independent of the General Partner, the selling agents, and any of their
respective Affiliates; and (iii) is qualified to make such investment decision.

                19.     NOT A PUBLICLY TRADED PARTNERSHIP

                Notwithstanding anything to the contrary in this Agreement, for
each taxable year of the Partnership, pursuant to Sections 7704(c) and 7704(d)
of the Code, the principal activity of the Partnership has consisted and will
consist of investing its assets in the Index SPC and at least 90% of the
Partnership's gross income for each taxable year of the Partnership has
constituted and will constitute "qualifying income" under such provisions in the
form of gains from such trading and other qualifying income, including interest
income.

                20.     GOVERNING LAW.

                The validity and construction of this Agreement shall be
determined and governed by the laws of the State of Delaware without regard to
principles of conflicts of law; provided, that the foregoing choice of law shall
not restrict the application of any state's securities laws to the sale of Units
to its residents or within such state.

                21.     MISCELLANEOUS.

                (a)     NOTICES. All notices under this Agreement shall be in
writing and shall be effective upon personal delivery or, if sent by registered,
certified or first class mail, postage prepaid, addressed to the last known
address of the party to whom such notice is to be given, upon the deposit of
such notice in the United States mails.

                (b)     BINDING EFFECT. This Agreement shall inure to and be
binding upon all of the parties, their successors and assigns, custodians,
estates, heirs and personal representatives. For purposes of determining the
rights of any Limited Partner or assignee hereunder, the Partnership and the
General Partner may rely upon the Partnership records as to who are Limited
Partners and assignees, and all Limited Partners and assignees agree that their
rights shall be determined and they shall be bound thereby.

                (c)     CAPTIONS. Captions in no way define, limit, extend or
describe the scope of this Agreement nor the effect of any of its provisions.

                (d)     SEVERABILITY. If any one or more of the agreements,
provisions or terms of this Agreement shall be held invalid for any reason
whatsoever, then such agreements, provisions or terms shall be deemed severable
from the remaining agreements, provisions and terms of this Agreement and shall
in no way affect the validity or enforceability of the other agreements,
provisions and terms of this Agreement.

                (e)     ENTIRE AGREEMENT. This Agreement supersedes all prior
understandings and agreements, whether written or oral, among the parties hereto
relating to the transactions

                                      A-19
<Page>

provided for herein and this Agreement and the Subscription Agreements
constitute the entire agreement between the parties hereto with respect to the
subject matter hereof.

                (f)     NO WAIVERS. The waiver by any party hereto of the breach
of any term, covenant, agreement or condition herein contained shall not be
deemed a waiver of any subsequent breach of the same or any other term,
covenant, agreement or condition herein, nor shall any custom, practice or
course of dealing arising among the parties hereto in the administration hereof
be construed as a waiver or diminution of the right of any party hereto to
insist upon the strict performance by any other party hereto of the terms,
covenants, agreements and conditions herein contained.

                (g)     PRIORITY AMONG LIMITED PARTNERS. No Limited Partner
shall be entitled to any priority or preference over any other Limited Partner
with regard to the return of contributions of capital or to the distribution of
any profits or otherwise in the affairs of the Partnership.

                22.     DEFINITIONS.

        "Act" has the meaning set forth in SECTION 1.

        "Administrative Fees" has the meaning set forth in SECTION 8(b).

        "Affiliate" means, with respect to any Person: (a) any Person directly
        or indirectly owning, controlling or holding with power to vote 10% or
        more of the outstanding voting securities of such Person; (b) any Person
        10% or more of whose outstanding voting securities are directly or
        indirectly owned, controlled or held with power to vote, by such Person;
        (c) any Person, directly or indirectly, controlling, controlled by, or
        under common control of such Person; (d) any officer, director or
        partner of such Person; or (e) if such Person is an officer, director or
        partner, any Person for which such Person acts in any such capacity.

        "Agreement" has the meaning set forth in the preamble of this Agreement.

        "Business Day" means any day other than a Saturday, Sunday or a day on
        which commercial banks in New York are required or authorized by law or
        executive order to close.

        "CFTC" means Commodity Futures Trading Commission.

        "Code" has the meaning set forth in SECTION 7(c).

        "Customary Administrative Expenses" has the meaning set forth in SECTION
        8(a).

        "ERISA" has the meaning set forth in SECTION 12(e).

        "General Partner" has the meaning set forth in the preamble of this
        Agreement.

                                      A-20
<Page>

        "Index SPC" means SPhinX Managed Futures Fund SPC, a segregated
        portfolio company organized under the laws of the Cayman Islands.

        "Initial Offering Period" means that period of time commencing on the
        date of the Prospectus and ending on 60 calendar days later, subject to
        the General Partner's decision (such decision being in the General
        Partner's sole discretion) to terminate such period earlier or to extend
        such period for an additional 60 days.

        "Limited Partner" has the meaning set forth in the preamble of this
        Agreement.

        "Management Fees" has the meaning set forth in SECTION 8(a).

        "Net Assets" means the total assets, less total liabilities, of the
        Partnership determined on the basis of generally accepted accounting
        principles. Net Assets shall include any unrealized profits or losses on
        open positions, and any fee or expense accruing to the Partnership.

        "Net Asset Value per Unit" means Net Assets divided by the number of
        Units outstanding.

        "Net Worth" means the excess of total assets over total liabilities as
        determined by generally accepted accounting principles.

        "Partners" means, collectively, the General Partner and the Limited
        Partners.

        "Partnership" has the meaning set forth in the preamble of this
        Agreement.

        "Person" means any natural person, partnership, corporation, association
        or other legal entity.

        "Plan" has the meaning set forth in SECTION 18.

        "Plan Fiduciary" has the meaning set forth in SECTION 18.

        "Prospectus" means the latest prospectus filed pursuant to Section
        424(b) of the Securities Act of 1933 or contained in the Registration
        Statement.

        "Redemption Charges" has the meaning set forth in SECTION 12(b).

        "Registration Statement" means the registration statement filed with the
        Securities and Exchange Commission by the Partnership pursuant to the
        Securities Act of 1933 pursuant to which the Units are registered, and
        any pre-effective or post-effective amendments thereto.

        "Subscription Agreement" means the subscription agreement, the form of
        which is attached to the Registration Statement, executed by each of the
        Limited Partners.

        "Unit" has the meaning set forth in SECTION 6(b).

                                      A-21
<Page>

        "Upfront Selling Commissions" has the meaning set forth in SECTION 8(c).

                                * * * * * * * * *

                                      A-22
<Page>

                IN WITNESS WHEREOF, the undersigned have duly executed this
Limited Partnership Agreement as of the day and year first above written.

                              REFCOFUND HOLDINGS, LLC
                              as General Partner

                              By: /s/ Phillip R. Bennett
                                  ----------------------
                              Name: Phillip R. Bennett
                              Title: Manager

                              INITIAL LIMITED PARTNER:

                              /s/ Philip Silverman
                              --------------------
                              Philip Silverman


                              All Limited Partners now and hereafter admitted as
                              Limited Partners of the Partnership, pursuant to
                              powers of attorney now and hereafter executed in
                              favor of, and granted and delivered to, the
                              General Partner.

                              By: REFCOFUND HOLDINGS, LLC
                                  as Attorney-in-Fact

                              By: /s/ Phillip R. Bennett
                                  ----------------------
                              Name: Phillip R. Bennett
                              Title: Manager

                                      A-23
<Page>

                                                                       EXHIBIT B

                       S&P MANAGED FUTURES INDEX FUND, LP

                            SUBSCRIPTION REQUIREMENTS

NOTICE: AN INVESTMENT IN THE FUND IS SPECULATIVE AND INVOLVES A HIGH DEGREE OF
RISK. PLEASE REFER TO THE SECTION OF THE PROSPECTUS ENTITLED "THE RISKS YOU
FACE" FOR A COMPLETE DESCRIPTION OF THE MATERIAL RISKS OF AN INVESTMENT IN THE
FUND.

GENERAL

     To subscribe for units in the Fund, you must:

          -     execute and deliver (to the selling agent who solicited your
                subscription) the subscription agreement and power of attorney
                signature page, and any other required documents (E.G.,
                corporate authorizations); and

          -     deliver to your selling agent a check in the full amount of your
                subscription payable to "S&P Managed Futures Index Fund, LP," or
                authorize a wire transfer in the full amount of your
                subscription in accordance with the instructions set forth in
                the subscription agreement and power of attorney signature page
                (unless you intend to make payment by debiting your brokerage
                account with your selling agent).

     The minimum initial subscription is $10,000, except that with respect to
individual retirement plans the minimum initial subscription is $3,000. Existing
limited partners may make additional investments in the Fund in $2,500 minimums.

     By executing and delivering the subscription agreement and power of
attorney, you irrevocably subscribe for units at $1,000 per unit during the
initial offering period and thereafter at net asset value per unit as of the
first business day of the calendar month in which your subscription is to be
effective (provided the subscription agreement and power of attorney signature
page are received at least five business days (and cleared funds to purchase the
units at least three business days) before the first business day of the
calendar month in which the subscription is to be effective). The general
partner may accept or reject your subscription, in whole or in part, in its sole
discretion. If your subscription is accepted, you agree to contribute your
subscription to the Fund and to be bound by the terms of the limited partnership
agreement. By executing and delivering the subscription agreement and power of
attorney, you will be deemed to have executed the limited partnership agreement.
You will be required to reimburse the Fund and the general partner for any
expense or loss incurred by either the Fund or the general partner as a result
of the cancellation of your units due to your failure to deliver immediately
available funds in the amount of the subscription price.

PURCHASER REPRESENTATIONS AND WARRANTIES

     By executing and delivering your subscription agreement and power of
attorney, you represent and warrant to the Fund, the general partner, the
selling agent who solicited your subscription, and their respective affiliates
as follows:

                                       B-1
<Page>

     (a)  You are of legal age and are legally competent to execute the
subscription agreement and power of attorney. You acknowledge that you have
received the current Prospectus, including the limited partnership contained
therein (as supplemented by sticker supplements, if any).

     (b)  All information that you have furnished to the general partner or that
is set forth in the subscription agreement and power of attorney submitted by
you is correct and complete as of the date of such subscription agreement and
power of attorney. You will immediately furnish revised or corrected information
to the general partner, should there be any material change in such information.

     (c)  Unless paragraph (d) or (e) is applicable, your subscription is made
with your funds for your own account and not as trustee, custodian or nominee
for another.

     (d)  Your subscription, if made as custodian for a minor, is a gift that
you have made to such minor and is not made with such minor's funds, or if not a
gift, such minor satisfies the requirements relating to net worth and annual
income set forth herein.

     (e)  If you are signing in a representative capacity, you have full power
and authority to purchase the units on behalf of the entity for which you are
acting, and such entity has full power and authority to purchase such units.

     (f)  You either are, or are not required to be, registered with the
Commodity Futures Trading Commission or a member of the National Futures
Association.

     (g)  If you are acting on behalf of an "employee benefit plan," as defined
in and subject to the Employee Retirement Income Security Act of 1974, as
amended ("ERISA"), or any "plan," as defined in Section 4975 of the Internal
Revenue Code of 1986, as amended (the "Code") (each such employee benefit plan
and plan, a "Plan"), the individual signing this subscription agreement and
power of attorney on your behalf hereby represents and warrants as, or on behalf
of, the fiduciary of the Plan responsible for purchasing a unit (the "Plan
Fiduciary") that:

          (i)   the Plan Fiduciary has considered an investment in the Fund for
such Plan in light of the risks relating thereto;

          (ii)  the Plan Fiduciary has determined that, in view of such
considerations, the investment in the Fund for such Plan is consistent with the
Plan Fiduciary's responsibilities under ERISA;

          (iii) the Plan's investment in the Fund does not violate and is not
otherwise inconsistent with the terms of any legal document constituting the
Plan or any agreement thereunder;

          (iv)  the Plan's investment in the Fund has been duly authorized and
approved by all necessary parties;

          (v)   none of the general partner, any of the Fund's selling agents,
any of their respective affiliates, agents or employees (A) has investment
discretion with respect to the investment of assets of the Plan used to purchase
units; (B) has authority or responsibility to or regularly gives investment
advice with respect to the assets of the Plan used to purchase units for a fee
and pursuant to an agreement or understanding that such advice will serve as a
primary basis for investment decisions with respect to the Plan and that such
advice will be based on the particular investment needs of the Plan; or (C) is
an employer maintaining or contributing to the Plan; and

                                       B-2
<Page>

          (vi)  the Plan Fiduciary (A) is authorized to make, and is responsible
for, the decision to invest in the Fund, including the determination that such
investment is consistent with the requirement imposed by Section 404 of ERISA
that Plan investments be diversified so as to minimize the risk of large losses,
(B) is independent of the general partner, the Fund's selling agents and any of
their respective affiliates, and (C) is qualified to make such investment
decision.

     You will, at the request of the general partner, furnish the general
partner with such information as the general partner may reasonably require to
establish that the purchase of units by the Plan does not violate any provision
of ERISA or the Code, including, without limitation, those provisions relating
to "prohibited transactions" by "parties in interest" or "disqualified persons"
as defined therein.

     (h)  You have (1) a net worth of at least $150,000 (exclusive of home,
furnishings and automobiles) or (2) an annual gross income of at least $45,000
and a net worth (similarly calculated) of at least $45,000. If you are a
resident of any of the following states, you must also meet the requirements set
forth below for that state (net worth, is in all cases, to be calculated
exclusive of home, furnishings and automobiles). Furthermore, in no event may
you invest more than 10% of your net worth (exclusive of home, furnishings and
automobiles) in the Fund.

          (i)   Alaska, Iowa, Massachusetts, Minnesota, North Carolina or Texas
- Net worth of at least $225,000 or a net worth of at least $60,000 and
anticipated annual taxable income of at least $60,000.

          (ii)  California - Net worth of at least $200,000 or a net worth of at
least $50,000 and past and anticipated annual income of at least $100,000.

          (iii) Maine - Net worth of at least $200,000 or a net worth of at
least $50,000 and an annual gross income of $50,000.

          (iv)  New Hampshire - Net worth of at least $250,000 or a net worth of
at least $125,000 and annual taxable income of at least $50,000.

          (v)   Pennsylvania - Net worth of at least $175,000 or a net worth of
at least $100,000 and an annual taxable income of at least $50,000.

          (vi)  South Carolina - Net worth of at least $150,000 or a net worth
of at least $65,000 and past and anticipated annual income of at least $65,000.

     THE FOREGOING SUITABILITY STANDARDS ARE REGULATORY MINIMUMS ONLY. MERELY
BECAUSE YOU MEET SUCH REQUIREMENTS DOES NOT NECESSARILY MEAN THAT A HIGH RISK,
SPECULATIVE AND ILLIQUID INVESTMENT SUCH AS THE UNITS IS, IN FACT, SUITABLE FOR
YOU.

     (i)  You understand that the units are not liquid except for the limited
redemption provisions set forth in the Prospectus and the Limited Partnership
Agreement of the Fund, as amended from time to time.

                                       B-3
<Page>

     (j)  You should review the websites of the Office of Foreign Assets Control
("OFAC")(1) and the U.S. Department of the Treasury, and conduct such other
investigations as you deem necessary or prudent, prior to making these
representations and warranties.(2)

          (i)   You are not aware of any facts or circumstances that would
reasonably be expected to lead you to believe that any of your subscription
funds are directly or indirectly derived from activities that may contravene
U.S. federal, state or non-U.S. laws and regulations, including anti-money
laundering laws.

          (ii)  You understand and agree that the investment of funds is
prohibited by or restricted with respect to any persons or entities that: (A)
are acting, directly or indirectly, on behalf of terrorists or terrorist
organizations, including those persons or entities that are included on any of
the OFAC lists; (B) reside or have a place of business in a country or territory
named on any of such lists or which is designated as a Non-Cooperative
Jurisdiction by the Financial Action Task Force on Money Laundering ("FATF")(3),
or whose subscription funds are transferred from or through such a jurisdiction;
(C) are "Foreign Shell Banks" within the meaning of the USA Patriot Act; or (D)
reside in or are organized under the laws of a jurisdiction designated by the
U.S. Secretary of the Treasury under Sections 311 or 312 of the USA Patriot Act
as warranting special measures due to money laundering concerns.(4) Such persons
or entities in (A) through (D) are collectively referred to as "Restricted
Persons". You are not and you are not aware of any facts or circumstances that
would reasonably be expected to lead you to believe that any or your investors
or any person controlling, controlled by, or under common control(5) with you,
or for whom you are acting as agent or nominee in connection with the
subscription for units, is a Restricted Person.

          (iii) You acknowledge and understand that the general partner, in its
discretion, may decline to accept any subscription for units by a person who is
a "Covered Person" within the meaning of the Guidance on Enhanced Scrutiny for
Transactions that May Involve the Proceeds of Foreign Official Corruption,
issued by the Department of the Treasury, et al., January, 2001, E.G., a senior
foreign political

----------
(1)  The lists of OFAC prohibited countries, territories, persons and entities
may be found on the OFAC website at < www.ustreas.gov/offices/eotffc/ofac/ >.

(2)  U.S. federal regulations and executive orders administered by OFAC
prohibit, among other things, engaging in transactions with, and the provision
of services to, certain foreign countries, territories, entities and
individuals. These individuals include specially designated nationals, specially
designated narcotics traffickers and other parties subject to OFAC sanctions and
embargo programs.

(3)  The list of Non-Cooperative Jurisdictions may be found at
< www1.oecd.org/fatf/ncct_en.htm >.

(4)  The list of these jurisdictions may be found at < www.fincen.gov >.

(5)  For these purposes, "control" means the power, directly or indirectly, to
direct the management or policies of a person, whether through ownership of
securities, by contract, or otherwise.

     -    Each of Subscriber's officers, partners, or directors exercising
          executive responsibility (or persons having similar status or
          functions) is presumed to control Subscriber.

     -    A person is presumed to control a corporation if the person: (i)
          directly or indirectly has the right to vote 25 percent or more of a
          class of the corporation's voting securities; or (ii) has the power to
          sell or direct the sale of 25 percent or more of a class of the
          corporation's voting securities.

     -    A person is presumed to control a partnership if the person has the
          right to receive upon dissolution, or has contributed, 25 percent or
          more of the capital of the partnership.

     -    A person is presumed to control a limited liability company ("LLC") if
          the person: (i) directly or indirectly has the right to vote 25
          percent or more of a class of the interests of the LLC; (ii) has the
          right to receive upon dissolution, or has contributed, 25 percent or
          more of the capital of the LLC; or (iii) is an elected manager of the
          LLC.

     -    A person is presumed to control a trust if the person is a trustee or
          managing agent of the trust.

                                       B-4
<Page>

figure(6), or an immediate family member(7) or close associate(8) of a senior
foreign political figure. Accordingly, you agree to inform the Fund, prior to
the acquisition of any units, if you are aware of any facts or circumstances
that would reasonably be expected to lead you to believe that any of your
investors or any person controlling, controlled by, or under common control with
you, or for whom you are acting as agent or nominee in connection with the
acquisition of the beneficial interests, is a Covered Person.

          (iv)  You agree to provide any information deemed necessary by the
Fund or the general partner, each acting in its sole discretion, to comply with
its anti-money laundering responsibilities and policies to the extent required
by law and subject to appropriate confidentiality agreements.

          (v)   You authorize and permit the Fund and the general partner, each
using its own reasonable business judgment, to report information about you to
appropriate authorities, and you agree not to hold them liable for any loss or
injury that may occur as the result of providing such information. In addition,
if you are a pooled investment vehicle, you authorize and permit the Fund and
the general partner, and each of them, each using its own reasonable business
judgment, to report to appropriate authorities information about your investors,
or about any persons controlling, controlled by, or under common control with,
you, or for whom you are acting as agent or nominee in connection with the
purchase of units, and the you agree not to hold the Fund and/or the general
partner liable for any loss or injury that may occur as the result of providing
such information.

          (vi)  You agree that, notwithstanding any other statement to the
contrary in any agreement into which you have entered which relates to the Fund
or in the Fund's prospectus, if the Fund or the general partner determines that
you have appeared on a list of known or suspected terrorists or terrorist
organizations compiled by any U.S. or foreign governmental agency, or that any
information provided by you in the subscription agreement and power of attorney
was not, at the time it was given, or is no longer materially true or accurate,
the Fund and the general partner, and each of them, without limiting any other
rights available to any of them under the subscription agreement and power of
attorney, shall be authorized to take any action as shall be necessary or
appropriate to comply with applicable law, including but not limited to,
removing you from the Fund and/or notifying the federal authorities.

          (vii) You acknowledge that due to anti-money laundering
requirements operating in the United States, as well as the Fund's own
internal anti-money laundering policies, the Fund, the general partner and/or
your selling agent may require further identification of you and the source
of your subscription funds before your subscription agreement and power of
attorney can be processed, subscription monies accepted, or request for
redemption processed. The Fund, the general partner, your selling agent and
each of their respective principals, members, shareholders, directors,
officers, and employees shall be held harmless and indemnified against any
losses, expenses or liabilities arising as a result of a failure to process
your subscription agreement and power of attorney or any request for
redemption if you have not satisfactorily provided any information that has
been required by an indemnified party.

----------
(6)  A "senior foreign political figure" is defined as a senior official in the
executive, legislative, administrative, military or judicial branches of a
foreign government (whether elected or not), a senior official of a major
foreign political party, or a senior executive of a foreign government-owned
corporation. In addition, a "senior foreign political figure" includes any
corporation, business or other entity that has been formed by, or for the
benefit of, a senior foreign political figure.

(7)  "Immediate family" of a senior foreign political figure typically includes
the figure's parents, siblings, spouse, children and in-laws.

(8)  A "close associate" of a senior foreign political figure is a person who is
widely and publicly known to maintain an unusually close relationship with the
senior foreign political figure, and includes a person who is in a position to
conduct substantial domestic and international financial transactions on behalf
of the senior foreign political figure.


                                       B-5
<Page>

                                                                       EXHIBIT C

                       S&P MANAGED FUTURES INDEX FUND, LP
                            SUBSCRIPTION INSTRUCTIONS

   Any person considering subscribing for the units should carefully read and
    review a current prospectus. The prospectus should be accompanied by the
                     most recent monthly report of the Fund.

     THE DATE PRINTED ON THE FRONT OF THE PROSPECTUS SHOULD BE NO LATER THAN
9 MONTHS OLD. IF THE DATE IS MORE THAN 9 MONTHS OLD, NEW MATERIALS ARE AVAILABLE
                              AND MUST BE UTILIZED.

1.   Enter the total dollar amount to be invested in ITEM 1.

2.   Enter the investor's brokerage account number in ITEM 2, and check the box
     if the account if to be debited for investment.

3.   Enter the Social Security Number OR Taxpayer ID Number, as applicable, in
     ITEM 3 and check the appropriate box to indicate ownership type. For IRA
     accounts, the Taxpayer ID Number of the Custodian should be entered as well
     as the Social Security Number of the investor.

4.   Check the box in ITEM 4 if this is an addition to an existing account and
     list Partner #.

5.   Enter the name of the investor in ITEM 5. For UGMA/UTMA (MINOR), enter the
     Minor name on ITEM 5, followed by "Minor", and enter the custodian name in
     ITEM 6. For CORPORATIONS, PARTNERSHIPS, AND ESTATES, enter the entity name
     in ITEM 5 and the Trustee(s) name(s) in ITEM 6. Investors who are not
     individuals must furnish a copy of organizing or other documents evidencing
     the authority of such entity to invest in the Fund. FOR EXAMPLE, TRUSTS
     MUST FURNISH COPIES OF THE TRUST AGREEMENT, CORPORATIONS MUST FURNISH A
     CORPORATE RESOLUTION OR BYLAWS.

6.   Enter the legal address (which is the residence or domicile address used
     for tax purposes) of the investor in ITEM 7 (no post office boxes). Item 7
     must be completed.

7.   If the legal address is different from the mailing address, enter in
     ITEM 8.

8.   If an IRA account, enter Custodian's name and address in ITEM 9.

9.   Enter email address of investor in ITEM 10.

10.  Investor must sign and date ITEM 11. If it is a joint account, both
     investors must sign. In the case of IRA's, the Custodian's signature, as
     well as the investor's signature, is required.

11.  The Selling Agent Representative must sign and date in ITEM 12. Some
     broker/dealers may also require the signature of an office manager.

12.  The name of the Selling Agent, Selling Agent Representative name, number,
     and address and phone number must be entered in ITEM 13.

     THE CLIENT SHOULD RETURN THIS SUBSCRIPTION AGREEMENT AND PAYMENT TO HIS OR
HER SELLING AGENT'S OFFICE ADDRESS.

                                       C-1
<Page>

     Subscription agreements, payment, and any other required documents should
be sent by the Selling Agent to either:

     1)   the fund administration department of the selling firm, if firm
          procedures require, or

     2)   to the custodial firm if one is required (sending document early in
          the month is best if it is to reach the Fund before month end), or

     3)   to ________________, the Fund's sub-administrator.

     If payment is being made by wire transfer, the Selling Agent Representative
should contact either his or her firm's Fund Administration Department or
RefcoFund Holdings LLC's Fund Administration Department for instructions.
SUBSCRIPTION DOCUMENTS MUST BE RECEIVED BY THE GENERAL PARTNER AT LEAST FIVE
BUSINESS DAYS PRIOR TO THE END OF THE MONTH AND CLEARED SUBSCRIPTION FUNDS MUST
BE RECEIVED AT LEAST THREE BUSINESS DAYS PRIOR TO THE END OF THE MONTH. However,
the selling firm's fund administration department may have an earlier cut-off
for subscriptions.

     If Selling Agent Representatives have specific questions about the
subscription process, please call the general partner's Back Office at (212)
693-7047, or your Fund Administration Department.

                                       C-2
<Page>

                       S&P MANAGED FUTURES INDEX FUND, LP
                          UNITS OF BENEFICIAL INTEREST

                                   ----------

                           SUBSCRIPTION AGREEMENT AND
                                POWER OF ATTORNEY

S&P Managed Futures Index Fund, LP
c/o RefcoFund Holdings, LLC
550 West Jackson, Suite 1300
Chicago, Illinois 60661

Dear Sir or Madam:

     1.   SUBSCRIPTION FOR UNITS. I hereby subscribe for the dollar amount of
units of limited partnership interest ("Units") in S&P Managed Futures Index
Fund, LP (the "Fund") set forth in the Subscription Agreement and Power of
Attorney Signature Page attached hereto. The purchase price per Unit is $1,000
during the initial offering period and thereafter net asset value per unit as of
the first business day of the calendar month in which my subscription is to be
effective.

     I have either (i) delivered a check to my selling agent made payable to
"S&P Managed Futures Index Fund, LP" in the full amount of my subscription, (ii)
authorized a wire transfer in the full amount of my subscription to the Fund's
escrow account or bank account (per the instructions set forth in this
subscription agreement and power of attorney) or (iii) authorized my selling
agent to debit my customer securities account in the full amount of my
subscription.

     The purchase date for my units is the first business day of the calendar
month immediately following this subscription being accepted. If I have chosen
to subscribe by account debit, I acknowledge that my selling agent shall inform
me of such settlement date and that I must have my subscription payment cleared
in such account on the settlement date for my purchase of Units, which will
occur no later than three (3) business days after the acceptance of my
subscription.

     RefcoFund Holdings, LLC (the "General Partner") may, in its sole and
absolute discretion, accept or reject this subscription in whole or in part.

     2.   REPRESENTATIONS AND WARRANTIES OF SUBSCRIBER. I have received both
parts of the prospectus (as supplemented by sticker supplements, if any) and the
limited partnership agreement and the Fund's most recent monthly report (if the
Fund has commenced trading). I ACKNOWLEDGE THAT BY SUBMITTING THIS SUBSCRIPTION
AGREEMENT, I AM MAKING THE REPRESENTATIONS AND WARRANTIES SET FORTH IN EXHIBIT B
TO THE PROSPECTUS, INCLUDING THE APPLICABLE REQUIREMENTS RELATING TO NET WORTH
AND ANNUAL INCOME. If the subscriber is not an individual, the person signing
this subscription agreement and power of attorney on behalf of the subscriber is
duly authorized to execute this subscription agreement and power of attorney. By
signing this subscription agreement and power of attorney, I am not waiving any
rights under federal or state securities laws.

     3.   POWER OF ATTORNEY. I irrevocably constitute and appoint the General
Partner and each officer thereof as my true and lawful Attorney-in-Fact, with
full power of substitution, in my name, place and stead, to (i) execute,
acknowledge, swear to, deliver, record and file (a) the Limited Partnership
Agreement of the Fund, including any amendments and/or restatements thereto duly
adopted as provided

                                       C-3
<Page>

therein, and (b) any agreements, certificates, documents or instruments that may
be considered necessary or desirable by the General Partner to carry out fully
the provisions of the Limited Partnership Agreement of the Fund and (ii) to
file, prosecute, defend, settle or compromise litigation, claims or arbitrations
on behalf of the Fund. The Power of Attorney granted hereby shall be irrevocable
and deemed to be coupled with an interest, and shall survive and shall not be
affected by my subsequent death, incapacity, disability, insolvency or
dissolution or any delivery by me of an assignment of the whole or any portion
of my units.

     4.   GOVERNING LAW. I hereby acknowledge and agree that this Subscription
Agreement and Power of Attorney shall be governed by and be interpreted in
accordance with the laws of the State of Delaware, without regard to principles
of conflicts of laws.

                              --------------------

     PLEASE CAREFULLY COMPLETE THE SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY
SIGNATURE PAGE WHICH IS ATTACHED TO THIS SUBSCRIPTION AGREEMENT, AND ENSURE THAT
YOUR SELLING AGENT KNOWS WHETHER YOU ARE SUBSCRIBING BY CHECK, WIRE TRANSFER OR
ACCOUNT DEBIT.

     YOU MAY ELECT TO RECEIVE YOUR COMMUNICATIONS FROM THE FUND ELECTRONICALLY.
IF YOU WISH TO CHOOSE THIS OPTION, PLEASE COMPLETE THE CONSENT TO ELECTRONIC
DELIVERY WHICH ACCOMPANIES THIS SUBSCRIPTION AGREEMENT.

                                       C-4
<Page>

                                                                  SIGNATURE PAGE

                       S&P MANAGED FUTURES INDEX FUND, LP

                  SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY

                                 SIGNATURE PAGE


          IMPORTANT: READ INSTRUCTIONS AND REVERSE SIDE BEFORE SIGNING

The investor named below, by execution and delivery of this Subscription
Agreement and Power of Attorney and by either (a) enclosing a check payable to
"S&P MANAGED FUTURES INDEX FUND, LP," (b) authorizing a wire transfer in the
investor's name to the Fund's subscription account at Fifth Third Bank, Account
No. __________, ABA #_____________ [or following the Initial Closing, the Fund's
bank account]or (c) authorizing the Selling Agent to debit investor's customer
securities account in the amount set forth below, hereby subscribes for the
purchase of units at the net asset value per unit.

       The named investor further acknowledges receipt of the prospectus of the
Fund dated ____________, 2003, including the Fund's Limited Partnership
Agreement, the Subscription Agreement and Power of Attorney (supplemented by
sticker supplements, if any), the terms of which govern the investment in the
units being subscribed for hereby.

1)   (b) Total $ Amount _____________________________
     (minimum: $10,000 ($3,000 for employee
     benefit plans and IRAs). Subsequent investments must
     be at least $2,500.)

2)   Account #_________________ (must be completed)
     / / if payment is made by debit to investor's
     securities account, check box

3)   Social Security # ____________-_______-_________
     Taxable Investors (check one):
/ / Individual Ownership   / / Tenants in Common
/ / Partnership*           / / Joint Tenants with Right of
                               Survivorship
/ / Corporation*           / / Tenants in Entirety
Non-Taxable Investors (check one):
/ / IRA                    / / Profit Sharing*
/ / IRA Rollover           / / Defined Benefit*

     Taxpayer ID #_____________-________-____________
/ / Estate*               / / UGMA/UTM
                          (Minor)
/ / Grantor or Other
    Revocable Trust*
/ / Trust other than a    / / Community Property
    Grantor or Revocable
     Trust*
/ / Pension*              / / Other (specify)
/ / SEP

       (*APPROPRIATE AUTHORIZATION DOCUMENTS MUST ACCOMPANY SUBSCRIPTION,
              I.E., TRUST, PENSION, ESTATE, OR CORPORATE DOCUMENTS)

4)     / / Check here if this is an addition to an existing account.
       Partner #:___________________________________

5)     Name_____________________________________________________________________

6)     _________________________________________________________________________
       Additional Information (For Estates, Partnerships, Trusts and
       Corporations)

7)     Resident Address ________________________________________________________
                        Street (P.O. Box not acceptable)  City   State  Zip Code

8)     Mailing Address
       (if different)   ________________________________________________________
                        Street                            City   State  Zip Code

                                       C-5
<Page>

9)     Custodian Name
       and Mailing Address______________________________________________________
                            Name         Street           City   State  Zip Code

10)    E-Mail Address___________________________________________________________

________________________________________________________________________________

11)                             INVESTOR(S) MUST SIGN

   X _______________________________   X _______________________________________
     Signature of Investor               Signature of Joint Investor (if any) or
                                                         Custodian

     -------------------------------         -------------------------------
     Date                                             Telephone Number


                          UNITED STATES INVESTORS ONLY

I have checked the following box if I am subject to backup withholding under the
provisions of Section 3406(a)(1)(C) of the Internal Revenue Code: / /
Under penalties of perjury, by signature above, I hereby certify that the Social
Security Number or Taxpayer ID Number next to my name is my true, correct and
complete Social Security Number or Taxpayer ID Number and that the information
given in the immediately preceding sentence is true, correct and complete.

                        NON-UNITED STATES INVESTORS ONLY

Under penalties of perjury, by signature above I hereby certify that (a) I am
not a citizen or resident of the United States or (b) (in the case of an
investor which is not an individual) the investor is not a United States
corporation, partnership, estate or trust.


                             SELLING AGENT MUST SIGN

The undersigned Selling Agent ("Agent") hereby certifies that: (1) the Agent has
informed the person(s) named above of all pertinent facts relating to the
liquidity and marketability of the units as set forth in the Prospectus; (2) the
Agent has delivered to the person(s) named above a copy of the prospectus on the
date of this certification; and (3) the Agent has reasonable grounds to believe
(on the basis of information obtained from the person(s) named above concerning
such person(s') age, investment objectives, investment experience, income, net
worth, financial situation and needs, other investments and any other
information known by the Agent) that; (a) the purchase of units is a suitable
and appropriate investment for such person(s); (b) such person(s) meet(s) the
applicable minimum income and net worth standard; (c) such person(s) can
reasonably benefit from the investment based on such person's(s') overall
investment objectives and portfolio structure; (d) such person(s) can bear the
economic risks of the investment; and (e) such person(s) appear(s) to have an
understanding of the fundamental risks of the investment (including than an
investor may lose its entire investment), the restrictions on the liquidity and
transferability of the units, and the general background and qualifications of
the general partner and the trading advisors.

The Selling Agent MUST sign below in order to substantiate compliance with NASD
Rule 2810.

12) X  _____________________________       X ___________________________________
Selling Agent Signature     Date             Office Manager Signature   Date
                                               (if required by Selling Firm
                                                        procedures)

13) Selling Firm_______________ Agent Name ____________ Agent Number____________

Agent Phone______________ Agent Fax _____________ Agent Email Address___________

Agent Address      _____________________________________________________________
(for confirmation) Street (P.O. Box not acceptable)  City    State    Zip Code

                                       C-6
<Page>

                                                                       EXHIBIT D

                       S&P MANAGED FUTURES INDEX FUND, LP

                         CONSENT TO ELECTRONIC DELIVERY

     You may elect to receive your communications from S&P Managed Futures Index
Fund, LP (the "Fund") electronically. This will include all of the reports and
notices described in Section 10 of the Limited Partnership Agreement of the Fund
(the "Limited Partnership Agreement") and any other communications to be
delivered to you by the Fund or RefcoFund Holdings, LLC, the general partner of
the Fund.

     By providing the requested information and signing below, you agree to
accept delivery of all communications from the Fund at the e-mail address
indicated below. You further agree to inform the Fund in the event that your
e-mail address changes.

     You may revoke this election at any time by written notice (including
notice by e-mail) to the Fund. After such revocation, all communications will be
delivered to you at your address on the records of the Fund.

Name:
      --------------------------

E-Mail Address:
                -----------------------

Signature:
           --------------------------

Account Number:
                ------------------

                                       D-1
<Page>

                                                                       EXHIBIT E

                       S&P MANAGED FUTURES INDEX FUND, LP
                             REQUEST FOR REDEMPTION

                                                      --------------------------
                                                                 Date

S&P Managed Futures Index Fund, LP
c/o RefcoFund Holdings, LLC
550 West Jackson, Suite 1300
Chicago, Illinois 60661


Dear Sirs:

     I hereby requests redemption subject to all the terms and conditions of the
Limited Partnership Agreement (the "Limited Partnership Agreement") of S&P
Managed Futures Index Fund, LP (the "Fund") of ________ units of limited
partnership interest ("Units") in the Fund. (INSERT NUMBER OF WHOLE UNITS TO BE
REDEEMED; SUBSCRIBERS MAY REDEEM ANY NUMBER OF WHOLE UNITS, THEY NEED NOT REDEEM
ALL OR ANY MINIMUM NUMBER OF THEIR UNITS IN ORDER TO REDEEM CERTAIN OF THEIR
UNITS; HOWEVER, IF NO NUMBER IS INDICATED, ALL UNITS HELD OF RECORD BY THE
UNDERSIGNED WILL BE REDEEMED; FRACTIONAL UNITS MAY ONLY BE REDEEMED UPON
COMPLETE REDEMPTION OF THE UNDERSIGNED'S INTEREST IN THE FUND.) My partner
number is __________________.

     I understand that Units are redeemed at the Net Asset Value per Unit,
pursuant to the terms and conditions set forth in the Limited Partnership
Agreement. This redemption shall be effective as of the end of the current
calendar month; provided, that this Request for Redemption is received at least
ten (10) business days prior to the end of such month. Payment of the redemption
price of Units will be made within ten (10) business days of the month-end
redemption date, unless redemptions are suspended in accordance with the Limited
Partnership Agreement.

     I represent and warrant that I am the true, lawful owner of the Units to
which this Request for Redemption relates, with full power and authority to
request redemption of the Units. The Units are not subject to any pledge or
otherwise encumbered in any fashion.

UNITED STATES UNITHOLDERS ONLY:

     Under the penalties of perjury, I hereby certify that the Social Security
Number or Taxpayer ID Number indicated on this Request for Redemption is my
true, correct and complete Social Security Number or Taxpayer ID Number and that
I am not subject to backup withholding under the provisions of Section
3406(a)(1)(C) of the Internal Revenue Code of 1986, as amended.

NON-UNITED STATES UNITHOLDERS ONLY:

     Under the penalties of perjury, I hereby certify that (a) I am not a
citizen or resident of the United States or (b) (in the case of an investor
which is not an individual) I am not a United States corporation, partnership,
estate, trust or limited liability company.

                                       E-1
<Page>

      SIGNATURES MUST BE IDENTICAL TO NAME(S) IN WHICH UNITS ARE REGISTERED

/ / Credit my customer securities account at ___________________ [insert name of
    broker]; or

/ / Send to the address below

 Name                           Street               City, State and Zip Code



 -------------------------------------------------------------------------------
  Signatures Required:

  Entity Unitholder                           Individual Unitholder(s)
  (or assignee)                               (or assignee(s))


 -----------------------------------          ----------------------------------
  (Name of Entity)

                                              ----------------------------------


                                              ----------------------------------
                                              (Signature(s) of all Unitholder(s)
                                              or assignee(s))
   By:
       -------------------------------
        (Authorized corporate officer,
        partner, manager, member or
        trustee)
                                              Social Security Number(s):
   Taxpayer ID Number

                                              ---------------------------------
   ----------------------------
                                              ---------------------------------

                                              ---------------------------------

                                       E-2
<Page>

                                    PART TWO
                     INFORMATION NOT REQUIRED IN PROSPECTUS

INFORMATION NOT REQUIRED IN PROSPECTUS

                                      II-1
<Page>

ITEM 13.  OTHER EXPENSES OF ISSUANCE AND DISTRIBUTION

     The following is an estimate of the costs incurred in connection with
preparing and filing this Registration Statement. The General Partner will pay
all such costs.

<Table>
<S>                                                                 <C>
Securities and Exchange Commission Registration Fee                 $     8,090

National Association of Securities Dealers, Inc. Filing Fee         $    10,500

Printing Expenses                                                   $   100,000

Fees of Certified Public Accountants                                $    30,000

Blue Sky Expenses (Excluding Legal Fees)                            $    80,000

Fees of Counsel                                                     $   350,000

Miscellaneous Expenses                                              $    60,000
                                                                    -----------

TOTAL                                                               $   638,590
</Table>

ITEM 14.  INDEMNIFICATION OF DIRECTORS AND OFFICERS

     Section 16 of the Limited Partnership Agreement (attached as Exhibit A to
the prospectus which forms a part of this Registration Statement) provides for
the indemnification of the General Partner, certain of its affiliates and
certain of its directors, officers and controlling persons by the Fund in
certain circumstances. The General Partner and its affiliates shall be
indemnified by the Fund against any losses, judgments, liabilities, expenses and
amounts paid in settlement of any claims sustained by them in connection with
the Fund; provided, that the General Partner, in good faith, determined that
such conduct was in the best interests of the Fund, the General Partner or its
affiliates were acting on behalf of or performing services for the Fund and such
claims were not the result of negligence or misconduct on the part of the
General Partner or its Affiliates. The Fund is prohibited from incurring the
cost of any insurance covering any broader indemnification than that provided
above. The Fund will not advance any sums to cover legal expenses or other costs
incurred as a result of any legal action initiated against the General Partner
by a limited partner unless a court of competent jurisdiction approves such
advance.

ITEM 15.  RECENT SALES OF UNREGISTERED SECURITIES

     On July 9, 2003, the Fund sold 0.001 Unit to the initial limited partner to
permit the formation of the Fund in preparation for the filing of this
Registration Statement. The sale of this Unit was exempt from registration under
the Securities Act of 1933 pursuant to Section 4(2) thereof. No discounts or
commissions were paid in connection with the sale, and no other offeree or
purchaser was solicited. There have been no other sales of unregistered
securities of the Fund.

ITEM 16.  EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

     The following documents (unless indicated) are filed herewith and made a
part of this Registration Statement.

                                      II-2
<Page>

(a)       EXHIBITS.

Exhibit   Description of Document

1.1       Form of Selling Agreement among the Fund, the General Partner and the
          Selling Agent (including form of Additional Selling Agent Agreement)

3.1       Certificate of Limited Partnership of Registrant

3.2       Form of Limited Partnership Agreement (included as Exhibit A to the
          Prospectus)

5.1       Opinion of Mayer, Brown, Rowe & Maw LLP relating to the legality of
          the Units

8.1       Opinion of Mayer, Brown, Rowe & Maw LLP relating to Federal Income Tax
          Aspects

10.1      Form of Subscription Agreement (included as Exhibit C to the
          Prospectus)

10.2      Form of Escrow Agreement

23.1      Consent of Independent Accountants from PricewaterhouseCoopers LLP

23.2      Consent of Independent Accountants from Grant Thornton LLP

23.3      Consent of Counsel from Mayer, Brown, Rowe & Maw LLP (contained in
          Exhibits 5.1 and 8.1)

(b)       FINANCIAL STATEMENT SCHEDULES.

          No Financial Schedules are required to be filed herewith.

ITEM 17.  UNDERTAKINGS
(a)(1) The undersigned Registrant hereby undertakes to file, during any period
in which offers or sales are being made, a post-effective amendment to this
registration statement:

          (i)   to include any prospectus required by Section 10(a)(3) of the
          Securities Act of 1933;

          (ii)  to reflect in the prospectus any facts or events arising after
          the effective date of the registration statement (or the most recent
          post-effective amendment thereof) which, individually or in the
          aggregate, represent a fundamental change in the information set forth
          in the registration statement. Notwithstanding the foregoing, any
          increase or decrease in volume of securities offered (if the total
          dollar value of securities offered would not exceed that which was
          registered) and any deviation from the low or high end of the
          estimated maximum offering range may be reflected in the form of
          prospectus filed with the Commission pursuant to Rule 424(b) if, in
          the aggregate, the changes in volume and price represent no more than
          a 20 percent change in the maximum aggregate offering price set forth
          in the "Calculation of Registration Fee" table in the effective
          registration statement;

          (iii) To include any material information with respect to the plan of
          distribution not previously disclosed in the registration statement or
          any material change to such information in the registration statement.

                                      II-3
<Page>

(2) That, for the purpose of determining any liability under the Securities Act
of 1933, each such post-effective amendment shall be deemed to be a new
registration statement relating to the securities offered therein, and the
offering of such securities at that time shall be deemed to be the initial bona
fide offering thereof.

(3) To remove from registration by means of a post-effective amendment any of
the securities being registered which remain unsold at the termination of the
offering.

(b) Insofar as indemnification from liabilities under the Securities Act of 1933
may be permitted to the directors, officers and controlling persons of the
Registrant pursuant to the provisions described in Item 14 above, or otherwise,
the Registrant had been advised that in the Securities and Exchange Commission
such indemnification is against public policy as expressed in the Securities Act
of 1933 and is, therefore, unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by the
Registrant of expenses incurred or paid by a director, officer or controlling
person in connection with the securities being registered, the Registrant will,
unless in the opinion of its counsel the matter has been settled by controlling
precedent, submit to the court of appropriate jurisdiction the question whether
such indemnification by it is against public policy as expressed in the Act and
will be governed by the final adjudication of such issue.

                                      II-4
<Page>

SIGNATURES

     Pursuant to the requirements of the Securities Act of 1933, the General
Partner of the Registrant had duly caused this Registration Statement to be
signed on its behalf by the undersigned, thereunto duly authorized, in the City
and State of New York on the 24th day of July, 2003.

S&P MANAGED FUTURES INDEX FUND, LP

By:  RefcoFund Holdings, LLC
General Partner

By: /s/ David A. Kugler
   --------------------
Name: David A. Kugler
Title: President

      Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed below by the following persons in the
capacities and on the date indicated.

<Table>
<Caption>
                  SIGNATURE                               TITLE                              DATE
<S>                                         <C>                                          <C>
REFCOFUND HOLDINGS, LLC                     General Partner                              July 24, 2003


       /s/David A. Kugler                   President (Principal Financial Officer)      July 24, 2003
------------------------------------
         David A. Kugler


      /s/Phillip R. Bennett                 Manager                                      July 24, 2003
------------------------------------
       Phillip R. Bennett


         /s/Thomas Hackl                    Manager                                      July 24, 2003
------------------------------------
          Thomas Hackl


        /s/Joseph Murphy                    Manager                                      July 24, 2003
------------------------------------
          Joseph Murphy
</Table>

                                      II-5
<Page>

     As filed with the Securities Exhange Commission on July 25, 2003

                                                  Registration No.   -

-------------------------------------------------------------------------------

                       SECURITIES AND EXCHANGE COMMISSION

                            WASHINGTON, D.C. 20549

                             --------------------

                            EXHIBITS TO FORM S-1

                           REGISTRATION STATEMENT

                                   UNDER

                          THE SECURITIES ACT OF 1933

                             --------------------

                       S&P MANAGED FUTURES INDEX FUND, LP

-------------------------------------------------------------------------------
<Page>

                                TABLE OF CONTENTS

<Table>
<Caption>
EXHIBIT   DESCRIPTION OF DOCUMENT
<S>       <C>
1.1       Form of Selling Agreement among the Fund, the General Partner and the
          Selling Agent (including Form of Additional Selling Agent Agreement)

3.1       Certificate of Limited Partnership of Registrant

3.2       Form of Limited Partnership Agreement (included as Exhibit A to the Prospectus)

5.1       Opinion of Mayer, Brown, Rowe & Maw LLP relating to the legality of the Units

8.1       Opinion of Mayer, Brown, Rowe & Maw LLP relating to Federal Income Tax Aspects

10.1      Form of Subscription Agreement (included as Exhibit B to the Prospectus)

10.2      Form of Escrow Agreement

23.1      Consent of Independent Accountants from PricewaterhouseCoopers LLP

23.2      Consent of Independent Accountants from Grant Thornton LLP

23.3      Consent of Counsel from Mayer, Brown, Rowe & Maw LLP (included in
          Exhibits 5.1 and 8.1)
</Table>
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{"company-data": {"conformed-name": "S&P MANAGED FUTURES INDEX FUND LP", "cik": "0001255107", "irs-number": "900080558", "state-of-incorporation": "DE", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "S-1", "act": "33", "file-number": "333-107357", "film-number": "03803925"}, "business-address": {"street1": "C/O REFCOFUND HOLDINGS LLC", "street2": "550 W JACKSON STE 1300", "city": "CHICAGO", "state": "IL", "zip": "60661", "phone": "3127882000"}}
As filed with the Securities Exchange Commission on July 25, 2003
                                               REGISTRATION NO. ____ - _________
================================================================================

                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                                   ----------
                                    FORM S-1
                             REGISTRATION STATEMENT
                                      UNDER
                           THE SECURITIES ACT OF 1933
                                   ----------
                       S&P MANAGED FUTURES INDEX FUND, LP
             (Exact name of registrant as specified in its charter)

       DELAWARE                        6799                    90-0080448
(State of Organization)   (Primary Standard Industrial      (I.R.S. Employer
                              Classification Number)      Identification Number)

                                  DENNIS KLEJNA
                           C/O REFCOFUND HOLDINGS, LLC
                           550 W. JACKSON, SUITE 1300
                             CHICAGO, ILLINOIS 60661
                                 (312) 788-2000
          (Address, including zip code, and telephone number, including
             area code, of registrant's principal executive offices)

                                  DENNIS KLEJNA
                       S&P MANAGED FUTURES INDEX FUND, LP
                             REFCOFUND HOLDINGS, LLC
                           550 W. JACKSON, SUITE 1300
                             CHICAGO, ILLINOIS 60661
                                 (312) 788-2000
            (Name, address, including zip code, and telephone number,
                   including area code, of agent for service)

                                   ----------

                                   COPIES TO:
                                Joseph P. Collins
                                  Peter Schultz
                          Mayer, Brown, Rowe & Maw LLP
                            190 South LaSalle Street
                             Chicago, Illinois 60603

                                   ----------

        APPROXIMATE DATE OF COMMENCEMENT OF PROPOSED SALE TO THE PUBLIC:
AS SOON AS PRACTICABLE AFTER THE EFFECTIVE DATE OF THIS REGISTRATION STATEMENT.

If any of the securities being registered on this Form are to be offered on a
delayed or continuous basis pursuant to Rule 415 under the Securities Act of
1933, check the following box. /X/

If this Form is filed to register additional securities for an offering pursuant
to Rule 462(b) under the Securities Act, check the following box and list the
Securities Act registration number of the earlier effective registration
statement for the same offering. / /

If this form is a post-effective amendment filed pursuant to Rule 462(c) under
the Securities Act, check the following box and list the Securities Act
registration number of the earlier effective registration statement for the same
offering. / /

If this Form is a post-effective amendment filed pursuant to Rule 462(d) under
the Securities Act, check the following box and list the Securities Act
registration statement number of the earlier effective registration statement
for the same offering. / /

If delivery of the prospectus is expected to be made pursuant to Rule 434,
please check the following box. / /

                         CALCULATION OF REGISTRATION FEE
TITLE OF EACH CLASS OF                            PROPOSED                                             AMOUNT OF
   SECURITIES BEING        AMOUNT BEING       MAXIMUM OFFERING       PROPOSED MAXIMUM AGGREGATE      REGISTRATION
      REGISTERED            REGISTERED         PRICE PER UNIT            OFFERING PRICE(1)               FEE
--------------------------------------------------------------------------------------------------------------------
Units of limited
 partnership interest      100,000 units      $ 1,000 per unit            $  100,000,000             $ 8,090.00
(1) Calculated pursuant to Rule 457(o)

THE REGISTRANT HEREBY AMENDS THIS REGISTRATION STATEMENT ON SUCH DATE OR DATES
AS MAY BE NECESSARY TO DELAY ITS EFFECTIVE DATE UNTIL THE REGISTRANT SHALL FILE
A FURTHER AMENDMENT THAT SPECIFICALLY STATES THAT THIS REGISTRATION STATEMENT
SHALL THEREAFTER BECOME EFFECTIVE IN ACCORDANCE WITH SECTION 8(a) OF THE
SECURITIES ACT OF 1933 OR UNTIL THIS REGISTRATION STATEMENT SHALL BECOME
EFFECTIVE ON SUCH DATE AS THE COMMISSION, ACTING PURSUANT TO SAID SECTION 8(a),
MAY DETERMINE.

================================================================================
THE INFORMATION IN THIS PROSPECTUS AND DISCLOSURE DOCUMENT IS NOT COMPLETE AND
MAY BE CHANGED. WE MAY NOT SELL THESE SECURITIES UNTIL THE REGISTRATION
STATEMENT FILED WITH THE SECURITIES AND EXCHANGE COMMISSION IS EFFECTIVE. THE
PROSPECTUS AND DISCLOSURE STATEMENT IS NOT AN OFFER TO SELL THESE SECURITIES AND
IT IS NOT SOLICITING AN OFFER TO BUY THESE SECURITIES IN ANY STATE WHERE THE
OFFER OR SALE IS NOT PERMITTED.

                    SUBJECT TO COMPLETION DATED JULY 25, 2003
                         PART ONE -- DISCLOSURE DOCUMENT
                       S&P MANAGED FUTURES INDEX FUND, LP
                                  $100,000,000
                      UNITS OF LIMITED PARTNERSHIP INTEREST
THE FUND                           THE GENERAL PARTNER                          THE OFFERING

S&P Managed Futures Index          RefcoFund Holdings, LLC, a registered        Refco Securities, LLC and
Fund, LP is a Delaware limited     commodity pool operator and commodity        additional selling agents are
partnership designed to seek       trading advisor, is the general partner      offering the Fund's Units at
investment returns that            of the Fund.                                 $1,000 per Unit for an initial
substantially track the                                                         offering period ending 60
Standard & Poor's Managed          THE INDEX                                    calendar days after the date
Futures Index, before expenses                                                  of this prospectus (subject to
of the Fund.                       The Index is designed to offer an            earlier termination or an
                                   investable benchmark that is                 extension for an additional 60
An investment in the Fund may      representative of the managed futures        calendar days). After the
provide valuable                   segment of hedge fund investing. The         initial offering period, Units
diversification to a               Index focuses on systematic,                 will be continuously offered
traditional portfolio of           trend-following trading methodologies        for sale as of the first
stocks and bonds.                  that constitute the significant majority     business day of each month at
                                   of managed futures investment                their net asset value.
                                   strategies.
                                                                                There is no scheduled
                                                                                termination date for the
                                                                                offering of Units.

                                                                                The minimum initial investment
                                                                                is $10,000; $3,000 for an
                                                                                individual retirement account;
                                                                                and $2,500 for existing
                                                                                limited partners.
THE RISKS

These are speculative securities. Read this entire prospectus before you decide
to invest. See "The Risks You Face" beginning on page 7.
The Fund is speculative. You       The Fund is subject to substantial           Although the Fund seeks to
may lose all or substantially      charges. You will sustain losses if the      track the performance of the
all of your investment in the      Fund is unable to generate sufficient        Index, various factors,
Fund.                              trading profits to offset its fees and       including expenses, will cause
                                   expenses.                                    a deviation between the Fund's
                                                                                performance and the
                                                                                Index's performance.
The Fund is newly formed and       The Units are not a liquid investment.       The Fund is subject to various
has no performance history.        No secondary market exists for the           conflicts of interests as
The Index has a very limited       Units. You may only redeem Units at the      further described herein,
actual performance history.        end of each month. A redemption fee          including those related to the
The past performance of the        applies if you redeem Units within 12        following: (1) the general
Index is not necessarily           months of their original purchase. There     partner, the selling agent and
indicative of future results.      are substantial restrictions on the          the clearing broker for the
                                   ability of the Fund to make withdrawals      Index are affiliated; and (2)
                                   from the Index SPC that further reduces      your selling agent will receive
                                   the liquidity of the Fund.                   upfront and ongoing compensation
                                                                                in connection with your investment
                                                                                in the Fund.

You will be taxed on your          The market prices of commodity interest
share of the Fund's income,        contracts fluctuate rapidly. In
even though the Fund does not      addition, commodity interest contracts
intend to make any                 are typically traded on margin. This
distributions.                     means that a small amount of capital can
                                   be used to invest in contracts of much
                                   greater total value. The resulting
                                   leverage magnifies the impact of both
                                   profit and loss.
---------

     TO PURCHASE UNITS, YOU WILL BE REQUIRED TO REPRESENT AND WARRANT, AMONG
OTHER THINGS, THAT YOU HAVE RECEIVED A COPY OF THIS PROSPECTUS AND THAT YOU
SATISFY THE MINIMUM NET WORTH AND INCOME STANDARDS FOR A RESIDENT OF YOUR STATE
TO INVEST IN THE FUND.

                                    ---------

     THIS PROSPECTUS IS IN TWO PARTS: A DISCLOSURE DOCUMENT AND A STATEMENT OF
ADDITIONAL INFORMATION. THESE PARTS ARE BOUND TOGETHER AND BOTH CONTAIN
IMPORTANT INFORMATION.

                                    ---------

     YOUR ARE ENCOURAGED TO DISCUSS YOUR INVESTMENT DECISION WITH YOUR
FINANCIAL, TAX AND LEGAL ADVISORS.

                                    ---------

     NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED OF THESE SECURITIES OR PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A
CRIMINAL OFFENSE.
THE FUND IS NOT A MUTUAL FUND REGISTERED UNDER THE INVESTMENT COMPANY ACT
OF 1940, AS AMENDED.

                                    ---------

     THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF
PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED UPON THE ADEQUACY OR
ACCURACY OF THIS DISCLOSURE DOCUMENT.

                                    ---------

        REFCO SECURITIES, LLC                     REFCOFUND HOLDINGS, LLC
            SELLING AGENT                             GENERAL PARTNER

                  The date of this prospectus is ______, 2003.
COMMODITY FUTURES TRADING
                                   COMMISSION
                            RISK DISCLOSURE STATEMENT

     YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU
TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT
FUTURES AND OPTIONS TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS.
SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND
CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS
ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE
POOL.

     FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR
MANAGEMENT, AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS
THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID
DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A
COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGES 31 TO 34
AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO
RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 5.

     THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS
NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE,
BEFORE YOU DECIDE TO PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY
STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK
FACTORS OF THIS INVESTMENT, AT PAGES 7 TO 14.

     YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES
OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES,
INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO
REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS
PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO
COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN
NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.

                                    ---------
                PLEASE SEE THE IMPORTANT PRIVACY POLICY STATEMENT
                              BEGINNING ON PAGE 50.

                                    ---------
     THIS PROSPECTUS DOES NOT INCLUDE ALL OF THE INFORMATION OR EXHIBITS IN THE
FUND'S REGISTRATION STATEMENT. YOU CAN READ AND

                                       i
COPY THE ENTIRE REGISTRATION STATEMENT AT THE PUBLIC REFERENCE FACILITIES
MAINTAINED BY THE SEC IN WASHINGTON, D.C.

     THE FUND WILL FILE QUARTERLY AND ANNUAL REPORTS WITH THE SEC. YOU CAN READ
AND COPY THESE REPORTS AT THE SEC PUBLIC REFERENCE FACILITIES IN WASHINGTON,
D.C. AT 450 FIFTH STREET, N.W., ROOM 1024, WASHINGTON, D.C. 20549. PLEASE CALL
THE SEC AT 1-202-942-8090 FOR FURTHER INFORMATION.

     THE FUND'S FILINGS WILL BE POSTED ON THE SEC WEBSITE AT http://www.sec.gov.

     UNTIL ___________ 2003, ALL DEALERS THAT EFFECT TRANSACTIONS IN THE UNITS,
WHETHER OR NOT PARTICIPATING IN THIS OFFERING, MAY BE REQUIRED TO DELIVER A
PROSPECTUS. THIS IS IN ADDITION TO THE DEALERS' OBLIGATIONS TO DELIVER A
PROSPECTUS WHEN ACTING AS UNDERWRITERS AND WITH RESPECT TO THEIR UNSOLD
ALLOTMENTS OR SUBSCRIPTIONS.

                                       ii
S&P MANAGED FUTURES INDEX FUND, LP
                              ORGANIZATIONAL CHART

[CHART]

     Some of the entities indicated in this organizational chart are related.
See "Conflicts of Interest" beginning on page 36. No loans have been, are or
will be made between the general partner and the Fund. Descriptions of the
dealings between the general partner and the Fund are set forth under "Charges"
beginning on page 31.

                                      iii
TABLE OF CONTENTS
PAGE
PART ONE -- DISCLOSURE DOCUMENT

Summary                                                                                  1
     The Fund and the General Partner                                                    1
     The Index                                                                           1
     Use of Proceeds                                                                     2
     The Offering                                                                        2
     Is the Fund a Suitable Investment for You?                                          3
     Major Risks of the Fund                                                             3
     Redemptions                                                                         4
     Breakeven Table                                                                     4
     Federal Income Tax Aspects                                                          6
     The Futures and Forward Markets; Spot and Swap Contracts                            6
The Risks You Face                                                                       7
     You Could Lose Your Entire Investment in the Fund                                   7
     The Fund Has No Operating History; Past Performance Is Not Indicative of
          Future Performance                                                             7
     The Fund is Subject to Substantial Fees and Expenses                                7
     An Investment in the Fund Is Not Liquid                                             8
     The Fund Will Not Precisely Track the Index                                         8
     Risks Related to Managed Futures Trading                                            8
          The Index SPC will be Subject to Market Fluctuations                           8
          As a Result of Leverage, Small Changes in the  Price of the Portfolio
               Managers' Positions May Result in Substantial Losses                      8
          The Portfolio Managers' Trading Will Be Subject to Execution Risks             8
          The Index SPC will be Subject to Counterparty Risks                            9
          The Index SPC's Positions Will Be Subject to Speculative Limits                9
          Trading On Foreign Exchanges Presents Greater Risk Than Trading On
               U.S. Exchanges                                                            9
          The Portfolio Managers May Trade Forward Contracts                             9
          The Portfolio Managers May Enter into Swap and Similar Transactions            9
iv
PAGE
The Portfolio Managers May Engage in Exchanges of Futures for
               Physicals                                                                10
          The Index SPC May Trade Security Futures Products                             10
          Systematic Strategies Do Not Consider Fundamental Types of Data               10
          Increased Competition Among Trend-Following Traders Could Reduce
               the Index SPC's Profitability                                            11
     The Fund is Dependent Upon Third Parties                                           11
     The Fund Will Have Limited Access to Information Regarding the Index SPC and
          the Portfolio Managers                                                        11
     The Fund Must Rely on the Index SPC When Calculating Net Asset Value               11
     The Fund May Lose the Standard & Poor's License                                    12
     Incentive-Based Compensation May Affect Portfolio Managers' Trading                12
     The Fund Does Not Anticipate Making Distributions                                  12
     Possible Effect of Redemptions on the Value of the Units                           12
     The General Partner Has the Ability to Suspend Redemption Rights                   12
     The Fund's Status As a Partnership                                                 13
     You Will Be Taxed Each Year On Your Share of Fund Profits                          13
     You Will Be Taxed On the Fund's Interest Income Even If The Fund Suffers
          Trading Losses                                                                13
     Limitations On the Deductibility of Investment Advisory Fees                       13
     The IRS Could Audit Both the Fund and Individual Limited Partners                  14
     The Fund Does Not Have Some Statutory Registrations                                14
Investment Factors                                                                      14
     The General Partner                                                                14
     The Index                                                                          14
     Investment Diversification                                                         15
     Market Diversification                                                             15
     Opportunity to Profit in Rising as well as in Declining Markets                    15
     Small Minimum Investment; Smaller Minimum Additional Investment                    16
     Limited Liability                                                                  16
     Administrative Convenience                                                         16
v
PAGE
Management's Discussion and Analysis of Financial Condition and Results of Operations   16
     Critical Accounting Policies - Valuation of the Index SPC's positions              17
Performance Information                                                                 17
     The Fund                                                                           17
     The General Partner                                                                17
     The Sub-Investment Manager                                                         20
          The Index SPC - Actual Extracted Performance                                  20
          The Index SPC - Pro Forma Performance (Reflecting the Fund's
            Additional Fees and Expenses)                                               21
The General Partner                                                                     22
     Background and Management                                                          23
The Sub-Investment Manager                                                              24
     Background and Management                                                          24
Investment Program                                                                      26
     The Index SPC                                                                      28
Use of Proceeds                                                                         30
Charges                                                                                 31
     Management Fee                                                                     32
     Administrative Fee                                                                 33
     Upfront Selling Commission Reimbursement                                           33
     Redemption Fees                                                                    33
     Fund's Pro Rata Share of the Fees and Expenses of the Index SPC                    33
     Ongoing Offering Costs                                                             34
     Ordinary Expenses                                                                  34
     Extraordinary Expenses                                                             34
     Caps on Fees                                                                       34
Redemptions; Net Asset Value                                                            35
     Redemption Procedure                                                               35
     Net Asset Value                                                                    36
Conflicts of Interest                                                                   36
vi
PAGE
General                                                                            36
     The General Partner                                                                36
     The Selling Agents                                                                 36
     Other Business Activities, Proprietary Trading and Trading for Other Accounts      37
     Fiduciary Duty and Remedies                                                        37
The Fund's Limited Partnership Agreement                                                38
     Principal Office; Location of Records                                              38
     Management of Fund Affairs; Voting by Limited Partners                             38
     Possible Repayment of Distributions Received by Limited Partners;
          Indemnification of the Fund by Limited Partners                               39
     Indemnification and Standard of Liability                                          39
     Transfers of Units Restricted                                                      40
     Reports to Limited Partners                                                        40
     Dissolution and Termination of the Fund                                            40
Federal Income Tax Aspects                                                              40
     The Fund's Partnership Tax Status                                                  41
     Taxation of Limited Partners on Profits and Losses of the Fund                     41
     Fund Losses by Limited Partners                                                    41
     Passive-Activity Loss Rules" and its Effect on the Treatment of Income and Loss    41
     Cash Distributions and Unit Redemptions                                            42
     Gain or Loss on Section 1256 Contracts and Non-Section 1256 Contracts              42
     Tax on Capital Gains and Losses                                                    42
     Limited Deduction for Certain Expenses                                             43
     Interest Income                                                                    43
     Syndication Expenses                                                               43
     Investment Interest Deductibility Limitations                                      43
     IRS Audits of the Fund and its Limited Partners                                    43
     Taxation of Foreign Investors                                                      44
     Tax-Exempt U.S. Limited Partners                                                   45
     State and Other Taxes                                                              45
vii
PAGE
Investment in Index SPC                                                            45
Purchases by Employee Benefit Plans                                                     46
     General                                                                            46
     Plan Assets"                                                                       47
     Ineligible Purchasers                                                              47
Plan of Distribution                                                                    48
     Subscription Procedure                                                             48
Anti-Money Laundering Disclosures                                                       49
     The Selling Agents                                                                 49
RefcoFund Holdings, LLC Privacy Policy                                                  50
     Your Privacy Is Our Priority                                                       50
     Why and How We Collect Personal Information                                        50
     How We Protect Personal Information                                                51
     Sharing Information With Our Affiliates                                            51
     Disclosure to Non-Affiliated Third Parties                                         51
     Accessing and Revisiting Your Personal Information                                 52
Legal Matters                                                                           52
Experts                                                                                 52
Reports                                                                                 52
Index to Financial Statements                                                           53
PART TWO -- STATEMENT OF ADDITIONAL INFORMATION                                         62
Pro Forma Aggregate Historical Returns of Index                                         63
The Futures and Forward Markets                                                         64
     Futures and Forward Contracts                                                      64
     Hedgers and Speculators                                                            64
     Exchanges; Position and Daily Limits; Margins                                      65
Glossary                                                                                66
Limited Partnership Agreement - Exhibit A                                              A-i
Subscription Requirements - Exhibit B                                                  B-1
Suitability Instructions - Exhibit C                                                   C-1
viii
PAGE
Consent to Electronic Delivery - Exhibit D                                             D-1
Request for Redemption - Exhibit E                                                     E-1
ix
S&P MANAGED FUTURES INDEX FUND, LP

SUMMARY

THE FUND AND THE GENERAL PARTNER

     S&P Managed Futures Index Fund, LP is a futures investment fund designed to
seek returns that substantially track the Standard & Poor's Managed Futures
Index(TM), referred to as the Index, before expenses of the Fund.

     RefcoFund Holdings, LLC serves as the Fund's general partner. The Fund is a
Delaware limited partnership formed on May 13, 2003. The Fund's main office is
located at the office of the general partner - 550 W. Jackson, Suite 1300,
Chicago, Illinois 60661 (telephone: (312) 788-2000).

     The general partner has been registered with the Commodity Futures Trading
Commission as a commodity pool operator since October 14, 1981 and as a
commodity trading advisor since September 21, 1993 and is a member of the NFA.
As of May 31, 2003, the general partner was managing approximately $63 million
in client assets.

     If the Fund is successful, it can provide valuable diversification to
traditional portfolios of stocks and bonds, as the Fund's performance should be
generally unrelated to the general stock and bond markets.

THE INDEX

     Standard & Poor's has long been recognized worldwide as a global provider
of equity indices. In October 2002, Standard & Poor's launched the Standard &
Poor's(R) Hedge Fund Index. In January 2003, Standard & Poor's launched the
Index, which is an expansion of the managed futures subset of the Standard &
Poor's Hedge Fund Index. The Index is designed to offer an investable benchmark
that is representative of the managed futures segment of hedge fund investing.
The Index focuses on the systematic, trend-following trading methodologies that
constitute the significant majority of managed futures investment strategies.
Constituents of the Index are programs that use managed futures strategies.

     The general partner will pursue the Fund's investment objective by
allocating substantially all of the Fund's assets to SPhinX(TM) Managed Futures
Fund SPC, referred to as the Index SPC, a Cayman Islands special purpose
company. The Index SPC allocates its assets to portfolio managers that generally
employ a broad range of systematic trading strategies in the futures markets.
Other markets, such as the interbank foreign exchange market, may be used as
well.

     The Index SPC is designed to track the Index, and thus provide its
investors with exposure to a broad cross section of systematic managed futures
strategies through a single investment. As a limited partner you will have
access to a variety of managed futures strategies that ordinarily would not be
available without high minimum investment requirements. The Fund

                                        1
provides you with access to professionally selected managers who are considered
to be representative of systematic managed futures strategies.

     The portfolio managers that are included in the Index are selected by
Standard & Poor's Index Committee based on, among other things, an analysis of:

     -    the portfolio manager's trading strategy;

     -    risk/return characteristics;

     -    volatility levels;

     -    performance during various time periods and market cycles; and

     -    the structure of the portfolio manager's portfolio and the types of
instruments held.

     Standard & Poor's is responsible for calculating the Index and publishes
Index values on the Standard & Poor's website: www.standardandpoors.com. The
Index is rebalanced annually or as otherwise required by Standard & Poor's.
Addition or deletion of Index constituents is at the sole discretion of Standard
& Poor's Index Committee.

USE OF PROCEEDS

     The Fund expects that the proceeds from the sale of Units, net of the
Fund's initial and ongoing organizational and offering costs as well as amounts
the Fund retains to cover ongoing operating expenses, will be invested in the
Index SPC as soon as practicable after the receipt of such proceeds by the Fund.

THE OFFERING

     Units in the Fund are being offered for an initial offering period
beginning on the date of this prospectus and ending 60 calendar days later. The
general partner may end the initial offering period earlier or extend it for an
additional 60 days. During the initial offering period, you may buy Units for
$1,000 each. All subscriptions received during the initial offering period will
be held in an interest bearing escrow account with Fifth Third Bank. If the Fund
begins trading at the end of the initial offering period, interest earned on
subscriptions will be treated as interest earned by the Fund. If 30,000 Units
are not sold during the initial offering period, or, if for any other reason the
Fund does not begin trading at the end of the initial offering period, the
offering of Units will terminate and your subscription will be returned to you
with interest within 5 business days.

     Once the Fund has begun trading, you may buy Units at the net asset value
per Unit as of the first business day of each calendar month in which they are
offered. Interest earned on subscriptions submitted prior to the first business
day of the calendar month will be treated as interest earned by the Fund. The
net asset value per Unit is determined by dividing the Fund's net assets (its
assets minus its liabilities) by the number of Units outstanding on the date the
calculation is being performed.

                                        2
The minimum investment is $10,000, although the minimum initial investment
for an individual retirement account is $3,000. Existing investors subscribing
for additional Units may do so in $2,500 minimums. Units will be sold in
fractions calculated to three decimal places.

     To subscribe, you must complete and sign the Subscription Agreement and
Power of Attorney Signature Page that accompanies this prospectus and deliver it
to your selling agent. You must submit these documents at least five business
days (and cleared funds to purchase the Units at least three business days)
before the first business day of the calendar month in which the subscription is
to be effective.

IS THE FUND A SUITABLE INVESTMENT FOR YOU?

     You should consider investing in the Fund if you are interested in its
potential to produce returns that are generally unrelated to those of stocks and
bonds and you are prepared to risk the loss of all or a significant portion of
your investment.

     The Fund is a diversification opportunity for an investment portfolio, not
a complete investment program.

     You should consider an investment in the Fund to be a three to five year
commitment.

     To invest, you must, at a minimum, have either (1) a net worth of at least
$150,000, exclusive of home, furnishings and automobiles, or (2) a net worth,
similarly calculated, of at least $45,000 and an annual gross income of at least
$45,000. A number of states in which the Units are offered impose higher
suitability standards. These standards are regulatory minimums only, and just
because you meet the standard does not necessarily mean the Units are a suitable
investment for you.

     You should not invest more than 10% of your net worth (exclusive of home,
furnishings and automobiles) in the Fund.

     You should read this prospectus carefully and discuss with your selling
agent any questions you have about the Fund before making an investment.

MAJOR RISKS OF THE FUND

-    The Fund is speculative. You may lose all or substantially all of your
investment in the Fund.

-    The Fund is newly formed and has no performance history. The Index SPC has
a very limited actual performance history. The past performance of the Index SPC
is not necessarily indicative of future results.

-    The Fund is subject to substantial charges. You will sustain losses if the
Fund is unable to generate sufficient trading profits to offset its fees and
expenses.

-    The Units are not a liquid investment. No secondary market exists for the
Units. You may redeem the Units only as of the last business day of each month.
A redemption fee applies

                                        3
if you redeem Units within 12 months of their original purchase. There are
substantial restrictions on the ability of the Fund to make withdrawals from the
Index SPC that further reduces the liquidity of the Fund.

-    Although the Fund seeks to track the performance of the Index, certain
factors, including expenses, will cause a deviation between Fund's performance
and the Index's performance.

-    The Fund is subject to various conflicts of interests as further described
herein, including those related to the following: (1) the general partner, the
selling agent and the clearing broker for the Index SPC are affiliated; and (2)
your selling agent will receive upfront and ongoing compensation in connection
with your investment in the Fund.

-    The market prices of commodity interest contracts fluctuate rapidly. In
addition, commodity interest contracts are typically traded on margin. This
means that a small amount of capital can be used to invest in contracts of much
greater total value. The resulting leverage magnifies the impact of both profit
and loss.

     See pages 7 through 14 for a complete description of the risks of an
investment in the Fund.

REDEMPTIONS

     You may redeem your Units as of the last business day of any calendar
month. You must submit your written redemption request at least 10 business
days' prior to the redemption date. A redemption fee of 3% of net asset value
per Unit applies if you redeem Units within 12 months of their original
purchase. After the 12th month following purchase of a Unit, no redemption fees
apply. There are substantial restrictions on the ability of the Fund to make
withdrawals from the Index SPC that further reduces the liquidity of the Fund.

BREAKEVEN TABLE

     The "Breakeven Table" below indicates the approximate percentage and dollar
returns required for the redemption value of an initial $10,000 investment in
the Units to equal the amount originally invested 12 months after issuance. The
"Breakeven Table," as presented, is an approximation only.

                     [REMAINDER OF PAGE INTENTIONALLY BLANK]

                                        4
BREAKEVEN TABLE
DOLLAR RETURN
                                                                        REQUIRED ($10,000 INITIAL
                                                  PERCENTAGE RETURN         INVESTMENT) FIRST
 EXPENSES (1) WHICH MUST BE                     REQUIRED FIRST TWELVE       TWELVE MONTHS OF
   OFFSET TO "BREAK EVEN"                       MONTHS OF INVESTMENT           INVESTMENT
---------------------------------------------   ---------------------   -------------------------
Management Fee (2)                                       3.75%                     $ 375

Administrative Fee (3)                                   0.25%                     $  25

Ordinary Expenses (4)                                    0.15%                     $  15

Ongoing Offering Expenses (5)                            0.25%                     $  25

Upfront selling commissions (6)                          0.75%                     $  75

RETURN ON $10,000 INITIAL INVESTMENT
 REQUIRED FOR "BREAK EVEN" ON THE FIRST
 ANNIVERSARY OF PURCHASE                                 5.15%                     $ 515

RETURN ON $10,000 INITIAL INVESTMENT
 REQUIRED FOR "BREAK EVEN" ON THE FIRST
 ANNIVERSARY OF PURCHASE IF REDEMPTION FEE
 APPLIES (7)                                             8.15%                     $ 815
NOTES TO "BREAKEVEN TABLE"

(1)  The foregoing break-even analysis assumes that the Units have a constant
month-end net asset value. Calculations are based on $10,000 as the net asset
value per Unit. See "Charges" at page 31 of this prospectus for an explanation
of the expenses included in the "Breakeven Table."

(2)  The Fund will pay the general partner a monthly management fee of 3.75% per
annum. From this amount the general partner will pay the organizational and
initial offering expenses of the Fund. In addition, beginning in the 13th month
following the purchase of any Units, the general partner will pay to the selling
agents of the Units a monthly trailing commission equal to 0.1875% of the Fund's
month-end net assets (a 2.25% annual rate) per Unit multiplied by the number of
Units placed by the selling agent for providing additional services in
connection with the Units.

(3)  The Fund will pay the general partner a monthly administrative fee of 0.25%
per annum.

(4)  Ordinary expenses are paid as incurred. For this "Breakeven Table" such
amounts have been estimated. These expenses include the legal, audit and other
routine expenses of the Fund.

(5)  The Fund will pay its ongoing offering expenses. These expenses are not
expected in the aggregate to exceed 0.25% per annum of the month-end net asset
value of the Fund.

                                        5
(6)  The general partner will pay the selling agents an upfront selling
commission of 3% of the subscribed amount. The general partner will be
reimbursed monthly by the Fund at a rate of 0.75% per annum, provided, however,
that the Fund will cease to reimburse the general partner with respect to any
upfront selling commission when the general partner has received the amount
originally paid by the general partner, plus interest.

(7)  A redemption fee of 3% of net asset value per Unit, payable to the General
Partner, applies if you redeem Units within 12 months of their original
purchase.

     The Fund will also be required to pay its pro rata portion of the expenses
of the Index SPC. These expenses include (1) management fees and incentive fees,
if any, paid to the portfolio managers; (2) fees paid to the Index SPC's
administrator to administer the Index SPC; (3) brokerage commissions and other
transaction-related expenses of the Index SPC; and (4) accounting, audit and
legal expenses, custodial fees and any extraordinary expenses of the Index SPC.
Because these expenses are costs of the Index, and as such are reflected in the
performance of the Index SPC, they are not included in the break-even estimate
set forth above.

FEDERAL INCOME TAX ASPECTS

     The Fund will be treated as a partnership for federal income tax purposes.
You will be taxed each year on the Fund's income whether or not you redeem any
of your Units or receive distributions from the Fund. The general partner does
not intend to make any distributions. Accordingly, unless you redeem Units, you
will not have a source of income from the Fund to pay your taxes.

     40% of any trading profits on U.S. exchange-traded contracts are taxed as
short-term capital gains at ordinary income rates, while 60% of any trading
profits are taxed as long-term capital gains at a 15% maximum rate for
individuals for sales and exchanges occurring after May 5, 2003 and prior to
January 1, 2009 (and 20% for sales or exchanges occurring thereafter). The
Fund's trading gains from other contracts will be primarily short-term capital
gains. This tax treatment applies regardless of how long a limited partner holds
Units. Interest income is taxed at ordinary income rates.

     Losses on the Units may be deducted against capital gains. However, capital
losses in excess of capital gains may only be deducted against ordinary income
to the extent of $3,000 per year. Consequently, you could pay tax on the Fund's
interest income even though you have lost money on your Units.

THE FUTURES AND FORWARD MARKETS; SPOT AND SWAP CONTRACTS

     Futures contracts are generally traded on exchanges and call for the future
delivery of various commodities or cash settlement of certain financial
instruments.

     Forward currency contracts are traded off-exchange through banks or
dealers.

     Futures and forward trading is a "zero-sum" risk transfer economic
activity. For every gain realized by a futures and forward trader, there is an
equal and offsetting loss suffered by another.

                                        6
Spot contracts are cash market transactions in which the buyer and seller
agree to the immediate purchase and sale of a specific commodity, usually with a
short settlement period. Swap contracts generally involve an exchange of a
stream of payments between contracting parties. Neither spot nor swap contracts
are exchange-traded.

THE RISKS YOU FACE

SET FORTH BELOW ARE THE PRINCIPAL RISKS ASSOCIATED WITH AN INVESTMENT IN THE
FUND. YOU SHOULD CONSIDER THESE RISKS WHEN MAKING YOUR INVESTMENT DECISION. YOU
SHOULD NOT INVEST IN UNITS UNLESS YOU CAN AFFORD TO LOSE ALL OF YOUR INVESTMENT.

YOU COULD LOSE YOUR ENTIRE INVESTMENT IN THE FUND

     The Fund will pursue its investment objective by investing in the Index
SPC, which allocates its assets among the portfolios managers. The Index SPC
will be subject to all of the risks associated with the investment and trading
by the portfolio managers. There are some general market conditions in which any
given investment strategy is unlikely to be profitable. Neither the Fund, the
Index SPC nor the portfolio managers will have any ability to control or predict
these market conditions. The investment approach utilized on behalf of the Fund
and the Index SPC may not be successful. You could lose all or substantially all
of your investment in the Fund.

THE FUND HAS NO OPERATING HISTORY; PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
PERFORMANCE

     The Fund is newly formed and has no performance history. The Index SPC has
a very limited operating history. The past performance of the Index SPC is not
necessarily indicative of future results. The portfolio managers will be
selected based in part on their performance history and implementation of a
strategy deemed by Standard & Poor's to be representative of managed futures
programs in general. The experience of some portfolio managers may be limited.
Furthermore, each portfolio manager is free to alter its managed futures
strategy implementation as it deems appropriate from time to time. Significant
changes in strategy would require a review by Standard & Poor's. Market
conditions and trading approaches are continually changing, and a portfolio
manager's past successful performance may be largely irrelevant to its prospects
for future profitability.

THE FUND IS SUBJECT TO SUBSTANTIAL FEES AND EXPENSES

     The Fund is subject to significant fees and expenses. In order for the Fund
to be profitable and for the investors to realize any profits the investment
profits realized by the Fund must exceed these fees and expenses. The Fund will
pay management and administrative fees to the general partner, will reimburse
the general partner for selling commissions and will pay its pro rata share of
the fees and expenses of the Index SPC. Some of the strategies and techniques
employed by the portfolio managers may require frequent trades to take place
and, as a consequence, portfolio turnover and brokerage commissions may be
greater than for other investment entities of similar size. In addition, the
Fund will pay its operating expenses

                                        7
regardless of the profitability of the Fund. You will sustain losses if the Fund
is unable to generate sufficient trading profits and interest income to offset
its fees and expenses.

AN INVESTMENT IN THE FUND IS NOT LIQUID

     The Units are not a liquid investment. There is no secondary market for the
Units. You may redeem your Units only as of the first business day of a calendar
month, and you must give the Fund at least 10 business days' prior written
notice of your intent to redeem. A redemption fee will apply if you redeem your
Units within 12 months after their original purchase. There are also substantial
restrictions on the ability of the Fund to make withdrawals from the Index SPC
that further reduces the liquidity of the Fund.

THE FUND WILL NOT PRECISELY TRACK THE INDEX

     Although the Fund seeks to track the performance of the Index, various
factors can cause a deviation between the performance of the Fund and the
performance of the Index. These factors include (1) the expenses of the Fund and
the Index SPC, (2) limitations on the Fund's investments resulting from the need
to comply with the Fund's investment restrictions or with regulatory or tax law
requirements, and (3) the need to maintain a portion of the Fund's assets in
cash or short-term investments to maintain liquidity to effect redemptions and
to pay expenses. The performance of the Fund will not correspond precisely to
the performance of the Index.

RISKS RELATED TO MANAGED FUTURES TRADING

     THE INDEX SPC WILL BE SUBJECT TO MARKET FLUCTUATIONS. Managed futures
trading involves trading in various commodity interests and financial
instruments. The market prices of futures contracts fluctuate rapidly. Prices of
futures contracts traded by the portfolio managers are affected generally, among
other things, by (1) changing supply and demand relationships, (2) agricultural,
trade, fiscal, monetary and exchange control programs and (3) policies of
governments, and national and international political and economic events. The
profitability of the Index SPC depends entirely on capitalizing on fluctuations
in market prices.

     AS A RESULT OF LEVERAGE, SMALL CHANGES IN THE PRICE OF THE PORTFOLIO
MANAGERS' POSITIONS MAY RESULT IN SUBSTANTIAL LOSSES. Commodity interest
contracts are typically traded on margin. This means that a small amount of
capital can be used to invest in contracts of much greater total value. The
resulting leverage means that a relatively small change in the market price of a
contract can produce a substantial loss. Like other leveraged investments, any
purchase or sale of a contract may result in losses in excess of the amount
invested in that contract. The portfolio managers may lose more than their
initial margin deposits on a trade.

     THE PORTFOLIO MANAGERS' TRADING WILL BE SUBJECT TO EXECUTION RISKS. Market
conditions may make it impossible for the portfolio managers to execute a buy or
sell order at the desired price, or to close out an open position. Daily price
fluctuation limits are established by the exchanges and approved by the CFTC.
When the market price of a contract reaches its daily price fluctuation limit,
no trades can be executed at prices outside the limit. The holder of a contract
may therefore be locked into an adverse price movement for several days or more
and lose considerably more than the initial margin put up to establish the
position. Thinly traded or illiquid markets also can make it difficult or
impossible to execute trades.

                                        8
THE INDEX SPC WILL BE SUBJECT TO COUNTERPARTY RISKS. If the Index SPC's
clearing brokers become bankrupt or insolvent, or otherwise default on their
obligations to the Index SPC, the Index SPC may not receive all amounts owed to
it in respect to its trading, despite the clearinghouse fully discharging all of
its obligations. Furthermore, in the event of the bankruptcy of one of the
clearing brokers, the Index SPC could be limited to recovering only a pro rata
share of all available funds segregated on behalf of the clearing broker's
combined customer accounts, even though property specifically traceable to the
Index SPC (for example, Treasury bills deposited by the Index SPC with the
clearing broker as margin) was held by the clearing broker. In addition, some of
the instruments which the Index SPC may trade are traded in markets in which
performance is the responsibility only of the individual counterparty with whom
the trader has entered into a contract and not of an exchange or clearing
corporation. The Index SPC will be subject to the risk of the inability or
refusal to perform on the part of the counterparties with whom those types of
contracts are traded.

     THE INDEX SPC'S POSITIONS WILL BE SUBJECT TO SPECULATIVE LIMITS. The CFTC
and domestic exchanges have established speculative position limits on the
maximum futures position which any person, or group of persons acting in
concert, may hold or control in particular futures contracts or options on
futures contracts traded on U.S. commodity exchanges. Under current regulations,
other accounts of the portfolio managers are combined with the positions held by
the Index SPC for position limit purposes. This trading could preclude
additional trading in these commodities by the portfolio manager for the account
of the Index SPC.

     TRADING ON FOREIGN EXCHANGES PRESENTS GREATER RISK THAN TRADING ON U.S.
EXCHANGES. The portfolio managers may trade contracts on non-U.S. exchanges.
Non-U.S. trading involves risks -- including exchange-rate exposure, excessive
taxation, possible governmental regulation and lack of regulation -- which U.S.
trading does not. Some non-U.S. markets, in contrast to U.S. exchanges, are
"principals' markets" where performance is the responsibility only of the
individual member with whom the trader has entered into a contract and not of
any exchange or clearing corporation. In addition, the Index SPC's rights and
responsibilities if a non-U.S. exchange or clearinghouse defaults or declares
bankruptcy are likely to be more limited than if a U.S. exchange does the same.

     THE PORTFOLIO MANAGERS MAY TRADE FORWARD CONTRACTS. Forward contracts are
not traded on exchanges and the Index SPC will not receive the regulatory
protections of the exchanges or the CFTC in connection with such trading. As a
result, the Index SPC may incur substantial losses if the banks and dealers
acting as principals on forward contracts are unable to perform. In addition,
there are no limitations on daily price moves in forward contracts, and
speculative position limits do not apply to forward contract trading. Further,
there have been periods when participants in forward markets have refused to
quote prices for forward contracts or have quoted prices with an unusually wide
spread between the price at which they will buy and that at which they will
sell.

     THE PORTFOLIO MANAGERS MAY ENTER INTO SWAP AND SIMILAR TRANSACTIONS. Swap
contracts are not traded on exchanges and are not subject to the same type of
government regulation as exchange markets. As a result, many of the protections
afforded to participants on organized exchanges and in a regulated environment
are not available in connection with these transactions.

                                        9
The swap markets are "principals' markets," in which performance with respect to
a swap contract is the responsibility only of the counterparty to the contract,
and not of any exchange or clearinghouse. As a result, the Index SPC is subject
to the risk of the inability or refusal to perform with respect to swap
contracts on the part of the counterparties with which the portfolio managers
trade. There are no limitations on daily price movements in swap transactions.
Speculative position limits are not applicable to swap transactions, although
the counterparties with which the portfolio managers trade may limit the size or
duration of positions available to the portfolios managers as a consequence of
credit considerations. Participants in the swap markets are not required to make
continuous markets in the swap contracts they trade. Participants could refuse
to quote prices for swap contracts or quote prices with an unusually wide spread
between the price at which they are prepared to buy and the price at which they
are prepared to sell.

     THE PORTFOLIO MANAGERS MAY ENGAGE IN EXCHANGES OF FUTURES FOR PHYSICALS. An
exchange of futures for physicals is a transaction permitted under the rules of
many futures exchanges in which two parties holding futures positions may close
out their positions without making an open, competitive trade on the exchange.
Generally, the holder of a short futures position buys the physical commodity,
while the holder of a long futures position sells the physical commodity. The
prices at which these transactions are executed are negotiated between the
parties. Regulatory changes may in the future prevent the portfolio managers
from exchanging futures for physicals, which could adversely affect performance
of the Index SPC.

     THE INDEX SPC MAY TRADE SECURITY FUTURES PRODUCTS. The portfolio managers
may purchase and sell single stock futures contracts and other security futures
products. A single stock future obligates the seller to deliver (and the
purchaser to take delivery of) a specified equity security to settle the futures
transaction. Other security futures products include "narrow-based" stock index
futures contracts (in general, contracts based on the value of nine or fewer
securities in a specific market or industry sector, such as energy, health care
or banking) and futures contracts based on exchange-traded funds, or ETFs, that
are designed to track the value of broader stock market indices (such as the Dow
Jones Industrial Average or the NASDAQ 100 Index). Single stock futures and
other security futures products are relatively illiquid and trade on a limited
number of exchanges. The margin required with respect to single stock futures
(usually at least 20% of the face value of the contract) generally is higher
than the margin required with respect to other types of futures contracts (in
some cases as low as 2% of the face value of the contract). The resulting lower
level of leverage available to the portfolio managers with respect to security
futures products may adversely affect the Index SPC's performance. Security
futures products are typically traded on electronic trading platforms and are
subject to risks related to system access, varying response time, security and
system or component failure. In addition, although the Index SPC's broker will
be required to segregate the Index SPC's trades, positions and funds from those
of the broker itself as required by CFTC regulations, the insurance provided to
securities customers by the Securities Investor Protection Corporation, or SIPC,
will not be applicable to the Index SPC's security futures positions because
SIPC protection does not apply to futures accounts.

     SYSTEMATIC STRATEGIES DO NOT CONSIDER FUNDAMENTAL TYPES OF DATA. Most of
the Index SPC's assets will be allocated to portfolio managers that rely on
technical, systematic strategies that do not take into account factors external
to the market itself. The widespread use of

                                       10
technical trading systems frequently results in numerous managers attempting to
execute similar trades at or about the same time, altering trading patterns and
affecting market liquidity. Furthermore, the profit potential of trend-following
systems may be diminished by the changing character of the markets, which may
make historical price data (on which technical programs are based) only
marginally relevant to future market patterns.

     INCREASED COMPETITION AMONG TREND-FOLLOWING TRADERS COULD REDUCE THE INDEX
SPC'S PROFITABILITY. A substantial number of commodity trading advisors use
technical trading systems, particularly trend-following systems, like some of
the portfolio managers' systems. As the amount of money under the management of
such systems increases, competition for the same positions increases, making the
positions more costly and more difficult to acquire.

THE FUND IS DEPENDENT UPON THIRD PARTIES

     The Fund does not control the Index SPC, PlusFunds, or any portfolio
manager, and has no role in the choice of portfolio managers, any portfolio
manager's choice of investments or any other investment decisions of the Index
SPC. The Fund will be dependent upon the expertise and abilities of the
portfolio managers who will have investment discretion over assets allocated to
them. There can be no assurance that the services of PlusFunds or of a portfolio
manager will be available for any length of time, or that the Index SPC will
remain available for investment by the Fund.

THE FUND WILL HAVE LIMITED ACCESS TO INFORMATION REGARDING THE INDEX SPC AND THE
PORTFOLIO MANAGERS

     The Fund will be dependent on PlusFunds and the Index SPC's independent
administrator to provide it with periodic reports and other information. The
Fund may not be provided with detailed information regarding the precise
investments made by a portfolio manager because some of this information may be
considered proprietary or otherwise confidential. This lack of access to
information may make it more difficult for the Fund to evaluate the Index SPC
and the portfolio managers and to value the assets of the Fund.

THE FUND MUST RELY ON THE INDEX SPC WHEN CALCULATING NET ASSET VALUE

     The net asset values received by the Fund from the Index SPC may be subject
to revision through annual audit of the Index SPC. As a result, revisions to the
Fund's gain and loss calculations may occur. Any revisions not deemed material
in the sole discretion of the general partner will not result in an adjustment
to prior subscription or redemption prices for the Fund. Moreover, in some
cases, the Fund will have little ability to assess the accuracy of the
valuations of its investment in the Index SPC that are received from PlusFunds
or from the Index SPC or its administrator. There are no market quotations
available to use in valuing the Fund's investments in the Index SPC. As a
result, these investments will be valued at their fair values as determined in
accordance with procedures adopted in good faith by the general partner. These
valuations may not in all cases accurately reflect the values of the Fund's
investments in the Index SPC. These inaccuracies may adversely affect the Fund
or investors who purchase or redeem Units.

                                       11
THE FUND MAY LOSE THE STANDARD & POOR'S LICENSE

     Standard & Poor's has granted a license to PlusFunds to use various
trademarks as well as the right to utilize the Index in connection with the
operation of various investment products. PlusFunds has sublicensed some of
these rights to Refco Group Ltd., LLC and its affiliates, referred to as the
Refco Group. Under various circumstances, the license agreement between
PlusFunds and Standard & Poor's or the sublicense agreement between PlusFunds
and the Refco Group may be terminated. In the event of a termination, the Fund
may be unable to continue to utilize the trademarks and continued operation of
the Fund may become impractical or impossible.

INCENTIVE-BASED COMPENSATION MAY AFFECT PORTFOLIO MANAGERS' TRADING

     The portfolio managers will be entitled to compensation based upon net
trading gain in the value of the assets they manage. Incentive-based
arrangements may give them incentives to engage in transactions that are more
risky or speculative than they might otherwise make because speculative
investments might result in higher profits in which the portfolio manager would
participate, resulting in higher incentive fees to them. On the other hand,
those investments might result in larger losses to the Index SPC. The portfolio
managers will not return an incentive fee for a period in which there is net
trading gain if, in a subsequent period, the investments under their management
suffer a net trading loss. In addition, because the incentive fee for each
portfolio manager is based solely on its performance, and not the overall
performance of the Index SPC, the Fund may indirectly pay an incentive fee to
one or more portfolio managers during periods when the Index SPC, and thus the
Fund, are not profitable on an overall basis.

THE FUND DOES NOT ANTICIPATE MAKING DISTRIBUTIONS

     The general partner does not intend to make distributions to the limited
partners but intends to re-invest substantially all of the Fund's income and
gains for the foreseeable future. You will be liable to pay taxes on your
allocable share of Fund taxable income. Therefore, you may need to pay tax
liabilities out of separate funds or redemptions from the Fund.

POSSIBLE EFFECT OF REDEMPTIONS ON THE VALUE OF THE UNITS

     Substantial redemptions of Units could require the Fund and the Index SPC
to liquidate investments more rapidly than otherwise desirable in order to raise
the necessary cash to fund the redemptions and, at the same time, achieve a
market position appropriately reflecting a smaller equity base. This could make
it more difficult to recover losses or generate profits. Illiquidity in the
markets could make it difficult to liquidate positions on favorable terms, and
may result in losses.

THE GENERAL PARTNER HAS THE ABILITY TO SUSPEND REDEMPTION RIGHTS

     Under some circumstances, the general partner may suspend your right to
redeem all or some of your Units. This may occur if the general partner
determines that redemptions would impair the ability of the Fund to meet its
objectives or if a market disruption makes it impossible or impracticable to
value the Units or liquidate Fund assets. IF REDEMPTION RIGHTS ARE

                                       12
SUSPENDED, THE UNITS SUBJECT TO THE REDEMPTION REQUEST WILL NOT BE REDEEMED AND
WILL CONTINUE TO BE SUBJECT TO MARKET AND OTHER RISKS. The Index SPC may suspend
the Fund's redemption rights for similar reasons with similar consequences.

THE FUND'S STATUS AS A PARTNERSHIP

     The general partner has been advised by its counsel that under current
federal income tax laws and regulations the Fund should be classified as a
partnership and not as an association taxable as a corporation. In addition, the
general partner has been advised by its counsel that under current federal
income tax laws the Fund should not be classified as a so-called publicly traded
partnership. This advice is not binding upon the IRS. If the Fund were taxed as
a corporation for federal income tax purposes, income or loss of the Fund would
not be passed through to the limited partners, and the Fund would be subject to
tax on its income at the rates of tax applicable to corporations without any
deductions for distributions to the Fund. In addition, all or a portion of
distributions made to limited partners could be taxable to the limited partners
as dividends.

YOU WILL BE TAXED EACH YEAR ON YOUR SHARE OF FUND PROFITS

     You will be taxed on your share of Fund income or gain each year, whether
or not you redeem Units or receive distributions from the Fund. Because a
substantial portion of the Index SPC's open positions are "marked-to-market" at
the end of each year, some of your tax liability will be based on unrealized
gains which the Fund may, in fact, never realize. 40% of any trading profits on
U.S. exchange-traded contracts are taxed as short-term capital gains at ordinary
income rates, while 60% of any trading profits are taxed as long-term capital
gains at a 20% maximum rate for individuals. These rates apply regardless of how
long the Index SPC holds a contract, or an investor his or her Units.

     Over time, the compounding effects of the annual taxation of the Fund's
income are material to the economic consequences of investing in the Fund. For
example, a 10% compound annual rate of return over five years would result in an
initial $10,000 investment compounding to $16,105. However, after factoring in a
30% tax rate each year, the result would be $14,025.

YOU WILL BE TAXED ON THE FUND'S INTEREST INCOME EVEN IF THE FUND SUFFERS TRADING
LOSSES

     Losses on the Fund's trading are almost exclusively capital losses.
Non-corporate investors may use net capital losses to offset up to $3,000 of
ordinary income each year. So, for example, if your share of the Fund's trading
(I.E., capital) loss was $3,000 in a given fiscal year and your share of
interest income was $5,000, you would incur a net loss in the net asset value of
your Units equal to $5,000, but would nevertheless recognize taxable income of
$2,000.

LIMITATIONS ON THE DEDUCTIBILITY OF INVESTMENT ADVISORY FEES

     The general partner does not intend to treat the ordinary expenses of the
Fund as "investment advisory fees" for federal income tax purposes. The general
partner believes that this is the position adopted by virtually all United
States futures fund sponsors. However, were the ordinary expenses of the Fund
characterized as investment advisory fees, non-corporate

                                       13
taxpayers would be subject to substantial restrictions on the deductibility of
those expenses, would pay increased taxes in respect of an investment in the
Fund and could actually recognize taxable income despite having incurred a
financial loss.

THE IRS COULD AUDIT BOTH THE FUND AND INDIVIDUAL LIMITED PARTNERS

     The IRS could audit the Fund's tax returns and require the Fund to adjust
the returns. If an audit results in an adjustment, you could be audited and
required to pay additional taxes, plus interest and possibly penalties.

THE FUND DOES NOT HAVE SOME STATUTORY REGISTRATIONS

     The Fund has not registered as an investment company or a "mutual fund,"
which would subject the Fund to extensive regulation by the SEC under the
Investment Company Act. Therefore, you do not have the protection provided by
such legislation, which, among other things, (1) requires that an investment
company's board of directors, including a majority of disinterested directors,
approve some of its activities and contractual relationships, and (2) prohibits
an investment company from engaging in some transactions with its affiliates.
Further, to the extent registration under or compliance with these laws is
required, the Fund may incur significant burdens and expenses in connection
therewith. Moreover, the general partner is not registered as an investment
adviser under the Investment Advisers Act of 1940 or any similar state law.
However, the general partner is registered as a commodity pool operator and a
commodity trading advisor and is subject to regulation as such by the CFTC and
the NFA.

INVESTMENT FACTORS

     ALTHOUGH THERE CAN BE NO ASSURANCE THAT THE PORTFOLIO MANAGERS WILL TRADE
SUCCESSFULLY ON BEHALF OF THE INDEX SPC OR THAT THE FUND WILL AVOID SUBSTANTIAL
LOSSES, IF THE FUND IS SUCCESSFUL, AN INVESTMENT IN THE FUND OFFERS INVESTORS
THE FOLLOWING POTENTIAL ADVANTAGES.

THE GENERAL PARTNER

     The general partner's experience and familiarity with the managed futures
industry assist the general partner in its ongoing monitoring of the Index SPC
as well as in the administration of the Fund. The general partner's principals
have over 100 years of combined experience in the investment field. As of May
31, 2003, the general partner had approximately $63 million under management.

THE INDEX

     The Index is designed to offer an investable benchmark that is
representative of the managed futures segment of hedge fund investing. By
investing in the Fund, you will have access to a broad cross section of
systematic managed futures strategies through a single investment.

                                       14
INVESTMENT DIVERSIFICATION

     If you are not prepared to spend substantial time trading in the futures
and forward markets, you may nevertheless participate in these markets through
investing in the Fund. An investment in the Fund can provide valuable
diversification to a traditional portfolio of stocks and bonds. The general
partner believes that the profit potential of the Fund does not depend upon
favorable general economic conditions and that the Fund is just as likely to be
profitable or unprofitable during periods of declining stock and bond markets as
at any other time.

     Allocating a small portion of your investment portfolio to a managed
futures investment, such as the Fund, can potentially enhance the performance of
the portfolio. Modern portfolio theory suggests that a diverse portfolio with
positively performing assets that have little or no correlation with each other
should have higher returns and lower risk, as measured by variability of
returns, than a less diversified portfolio.

     Historically, managed futures investments have had very little correlation
to the stock and bond markets. Non-correlated performance is not, however,
negatively correlated performance. Non-correlation means only that the
performance of managed futures likely has no relation to the performance of
stocks and bonds.

     Non-correlation will not provide diversification advantages beyond,
perhaps, lowering a portfolio's overall volatility unless the non-correlated
assets are performing positively. There can be no assurance that the Fund will
perform positively or avoid losses.

MARKET DIVERSIFICATION

     The Index SPC will trade in 40 to 60 or more markets, though not
necessarily in all markets at all times.

     The diversification of the Index SPC permits investors to participate in
markets that would otherwise not be included in their portfolios, thereby both
potentially diversifying risk and increasing profit opportunities.

     The markets traded by the Index SPC may change from time to time.

OPPORTUNITY TO PROFIT IN RISING AS WELL AS IN DECLINING MARKETS

     The Fund may realize positive or negative returns in both rising and
declining markets as futures positions may be established on either the long or
the short side of a market. Unlike short selling in the securities markets,
selling short in futures in anticipation of a drop in price can be accomplished
without additional restrictions or special margin requirements.

     It is potentially advantageous for investors to own investments that can
appreciate during a period of generally declining prices, financial disruption
or economic instability. Investors must realize, however, that the Fund is not
specifically designed to appreciate in declining markets. Rather, it is designed
to substantially track the Index. The Fund will only increase in value if the
portfolio managers' trading systems identify market trends and are able to trade
those trends profitably.

                                       15
SMALL MINIMUM INVESTMENT; SMALLER MINIMUM ADDITIONAL INVESTMENT

     The portfolio managers typically manage individual accounts only of
substantial size--$1,000,000 or more. You may gain access to the portfolio
managers for a minimum investment of only $10,000 ($3,000 for an individual
retirement account). You may make additional investments in minimums of only
$2,500.

LIMITED LIABILITY

     If you open an individual futures account, you will be generally liable for
all losses incurred in the account, and may lose substantially more than you
committed to the account. However, as an investor in the Fund, you cannot lose
more than your investment plus undistributed profits.

ADMINISTRATIVE CONVENIENCE

     The general partner is responsible for all aspects of the Fund's operation.
You will receive monthly unaudited and annual audited financial reports as well
as information necessary for you to complete your federal income tax returns.
The approximate daily net asset value per Unit will be available on Bloomberg or
by calling representatives of the general partner at 212-693-7047.

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS

     The Fund was formed on May 13, 2003 under the laws of the State of
Delaware. To date, its only activities have been preparing for this offering and
accepting capital contributions of $1,000 from the general partner and $1 from
the initial limited partner. The Fund has not begun trading. Therefore, the
financial statement of the Fund included in the prospectus is not indicative of
future operating results. The Fund's future operating results will depend in
large part upon the commodity and financial futures markets in general, the
Index SPC's performance, changes in interests rates and the amount of
subscriptions and redemptions. Because of the nature of these factors and their
interaction, it is impossible to predict future operating results, financial
position and cash flows of the Fund.

     The portfolio managers will make all trading decisions on behalf of the
Index SPC. The general partner will have no control over the operation of the
Index SPC. The Fund's performance results will be reported to you monthly along
with a discussion of the Index SPC's trading activities. As a limited partner,
however, you will not know the Index SPC's actual positions.

                                       16
CRITICAL ACCOUNTING POLICIES - VALUATION OF THE INDEX SPC'S POSITIONS

     The general partner believes that the accounting policies that will be most
critical to the Fund's financial condition and results of operations relate to
the valuation of the Index SPC's positions. The majority of the Index SPC's
positions will be exchange-traded futures contracts, which will be valued daily
at settlement prices published by the exchanges. The Index SPC's spot and
forward foreign currency contracts will also be valued at published daily
settlement prices or at dealers' quotes. Swap contracts generally will be valued
by reference to published settlement prices or dealers' quotes in related
markets or other measures of fair value deemed appropriate by the general
partner. The general partner does not believe that the Index SPC will trade
swaps to a significant degree. Thus, the general partner expects that under
normal circumstances substantially all of the Index SPC's assets, and as a
result the Fund's assets, will be valued by objective measures and on a timely
basis.

PERFORMANCE INFORMATION

THE FUND

     THIS POOL HAS NOT COMMENCED TRADING AND DOES NOT HAVE ANY PERFORMANCE
HISTORY

THE GENERAL PARTNER

     The following Capsule A sets forth performance information for the 10 other
pools operated to date by the general partner, all 10 of which are multi-advisor
pools.

                     [REMAINDER OF PAGE INTENTIONALLY BLANK]

                                       17
CAPSULE A

       CAPSULE PERFORMANCE OF OTHER POOLS OPERATED BY THE GENERAL PARTNER
                         JANUARY 1, 1998 - MAY 31, 2003
NAME OF POOL:                  MBFB I Trading          Refco Global         Capricorn Trading      Mercury MTC          Venus MTC
                               Company Limited           Financial            Co. Limited           (Cayman)            (Cayman)
                                                       Futures Trust                                 Limited             Limited
                                                          (Thales
                                                        Bermuda LP)

TYPE OF POOL:                 Privately Offered          Privately          Privately Offered       Privately           Privately
                                                          Offered                                   Offered/            Offered/
                                                                                                    Principal           Principal
                                                                                                    Protected           Protected

INCEPTION OF TRADING:           July 1, 1994          April 8, 1998         February 9, 1998     April 1, 1992       April 1, 1993

AGGREGATE GROSS
SUBSCRIPTIONS:               1,984,999,800 Yen          $8,592,697             $6,940,746          $27,623,781         $43,260,813

CURRENT NET ASSET VALUE:             0                  $7,883,079             $3,522,004              $0                  $0

WORST MONTHLY DRAWDOWN*:       -5.23% (1/99)          -8.00% (4/00)          -5.68% (7/98)       -6.08% (11/98)      -6.00% (12/98)

WORST PEAK-TO-VALLEY              -17.48%                -22.14%                 -9.93%              -9.39%             -15.23%
DRAWDOWN**:                     (2/98-7/98)            (7/99-11/01)           (5/99-12/02)        (1/99-5/99)         (3/98-8/98)

2003 COMPOUND RATE  OF
RETURN:                              --                   2.69%                 14.94%                 --                  --

2002 COMPOUND RATE OF
RETURN:                              --                   6.99%                 -2.48%                 --                  --

2001 COMPOUND ANNUAL RATE
OF RETURN:                           --                  -4.66%                 -0.02%                 --                  --

2000 COMPOUND ANNUAL RATE
OF RETURN:                           --                 -10.03%                 -3.57%                0.02%              -4.49%

1999 COMPOUND ANNUAL RATE
OF RETURN:                         -1.53%                 5.48%                  5.62%               13.92%              16.31%

1998 COMPOUND ANNUAL RATE          10.72%               9.49% (from           -0.64% (from           17.57%              -0.23%
OF RETURN:                                             April 8, 1998)       February 9, 1998)
*"Worst Monthly Drawdown" is the largest negative monthly rate of return
experienced by a pool.
     **"Worst Peak-to-Valley Drawdown" is the greatest percentage decline in net
asset value experienced by a pool without such net asset value being
subsequently equaled or exceeded. For example, if the value of a pool unit
dropped by 1% in each of January and February, rose 1% in March and dropped
again by 2% in April, a "Peak-to-Valley Drawdown" would be still continuing at
the end of April in the amount of approximately -3%, whereas if the value of the
pool unit has risen by approximately 2% or more in March, the drawdown would
have ended as of the end of February at the -2% level.

     PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

     Purchasers of Units will acquire no interests in these pools.

                                       18
CAPSULE A (Continued)

       CAPSULE PERFORMANCE OF OTHER POOLS OPERATED BY THE GENERAL PARTNER
                         JANUARY 1, 1998 - MAY 31, 2003
NAME OF POOL:                     Selective            Northern Star       The Admiral Futures    Clark Street          Dearborn
                                  Financial            Hedge Fund I            Fund, Ltd.         Futures Fund       Street Futures
                              Portfolio Limited                                                                           Fund

TYPE OF POOL:                 Privately Offered          Privately          Publicly Offered        Publicly            Publicly
                                                          Offered                                   Offered             Offered

INCEPTION OF TRADING:        September 1, 1998       January 1, 1999         June 18, 1981      August 18, 1983     August 18, 1983

AGGREGATE GROSS
SUBSCRIPTIONS:                   $7,035,769             $43,676,694            $1,388,881          $2,806,266          $1,101,645

CURRENT NET ASSET VALUE:         $8,304,581             $42,976,502                $0                  $0                  $0

WORST MONTHLY DRAWDOWN*:       -4.75% (4/01)          -5.23% (4/00)          -14.51% (3/00)     -20.34% (11/01)      -15.49% (2/01)

WORST PEAK-TO-VALLEY              -18.51%                -30.00%                -34.47%             -32.83%             -71.01%
DRAWDOWN**:                     (5/99-03/03)           (5/99-3/03)            (3/00-5/00)         (3/00-5/00)         (2/98-9/01)

2003 COMPOUND RATE  OF
RETURN:                             3.86%                  1.24%                   --                  --                  --

2002 COMPOUND RATE OF
RETURN:                            -5.66%                 -0.52%                   --                45.27%                --

2001 COMPOUND ANNUAL RATE
OF RETURN:                         -0.15%                 -8.82%                 -3.58%             -15.04%              -23.79%

2000 COMPOUND ANNUAL RATE
OF RETURN:                         -2.52%                 -9.86%                 18.88%              16.67%              -22.57%

1999 COMPOUND ANNUAL RATE
OF RETURN:                         -9.53%                 -1.48%                 11.31%               5.20%              -14.37%

1998 COMPOUND ANNUAL RATE       1.82% (from                 --                    9.91%               2.07%              -10.67%
OF RETURN:                   September 1, 1998)
*"Worst Monthly Drawdown" is the largest negative monthly rate of return
experienced by a pool.
     **"Worst Peak-to-Valley Drawdown" is the greatest percentage decline in net
asset value experienced by a pool without such net asset value being
subsequently equaled or exceeded. For example, if the value of a pool unit
dropped by 1% in each of January and February, rose 1% in March and dropped
again by 2% in April, a "Peak-to-Valley Drawdown" would be still continuing at
the end of April in the amount of approximately -3%, whereas if the value of the
pool unit has risen by approximately 2% or more in March, the drawdown would
have ended as of the end of February at the -2% level.

     PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

     Purchasers of Units will acquire no interest in these pools.

                                       19
THE SUB-INVESTMENT MANAGER

     The actual and pro forma performance record of the Index SPC is set forth
in Capsules B and C below. The Sub-Investment Manager also acts as the
investment manager or commodity pool operator for other privately offered
limited partnerships and as the sponsor of offshore investment vehicles. The
performance results of these other vehicles is not being presented pursuant to
relief under CFTC Regulation 4.7.

     THE INDEX SPC - ACTUAL EXTRACTED PERFORMANCE

     The Index SPC trades pursuant to two different programs. The Fund's assets
will be traded pursuant to the Index SPC's S&P Managed Futures Index Program -
which allocates assets to the 14 constituents of the Index proportional to their
weight in the Index. The Index is rebalanced annually in January to equal
weighting among constituents. The other program traded by the Index Fund is the
S&P Hedge Fund Index which allocates assets to only four managed futures
programs. The Index SPC commenced trading the S&P Hedge Fund Index program on
July 16, 2002. The Index SPC commenced trading the S&P Managed Futures Index
program on December 10, 2002, but made allocations only to 12 of the
constituents. On December 23, 2002, it made allocations to the remaining two
constituents. S&P began calculating the S&P Managed Futures Index values on
January 1, 2003. To present the fairest representation of the Index SPC's
performance, the following capsule (1) excludes the performance related to the
S&P Hedge Fund Index program and (2) aggregates the performance of the 14
portfolios to develop composite figures.

                     [REMAINDER OF PAGE INTENTIONALLY BLANK]

                                       20
CAPSULE B

     EXTRACTED ACTUAL CAPSULE PERFORMANCE OF SPHINX MANAGED FUTURES FUND SPC

Name of Pool: SPhinX Managed Futures Fund SPC
Type of Pool: Privately Offered
Inception of Trading:  December 10, 2002
Aggregate Gross Subscriptions: $83,189,500
Current Net Asset Value: $97,351,046
Worst Monthly Draw-down*: -7.62% (3/03)
Worst Peak-to-Valley Draw-down**: -7.62% (3/03-3/03)
RATES OF RETURN

                (COMPUTED ON A COMPOUNDED
                       MONTHLY BASIS)
                -------------------------
   MONTH           2003            2002
------------    ----------      ---------
January            6.96%
February           6.93%
March             -7.62%
April              0.78%
May                6.43%
June
July
August
September
October
November
December                          5.61%
Year              13.33%          5.61%
*"Worst Monthly Drawdown" is the largest negative monthly rate of return
experienced by a pool.

     **"Worst Peak-to-Valley Drawdown" is the greatest percentage decline in net
asset value of a pool experienced by the pool without such net asset value being
subsequently equaled or exceeded. For example, if the value of a pool unit
dropped by 1% in each of January and February, rose 1% in March and dropped
again by 2% in April, a "Peak-to-Valley Drawdown" would still be continuing at
the end of April in the amount of approximately -3%, whereas if the value of the
pool unit had risen by approximately 2% or more in March, the drawdown would
have ended as of the end of February at the -2% level.

     PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

     THE INDEX SPC - PRO FORMA PERFORMANCE (REFLECTING THE FUND'S ADDITIONAL
FEES AND EXPENSES)

     To illustrate the effect of the Fund's fees and expenses, the following
capsules presents the performance record of the Index SPC (as set forth in
Capsule C), but it has been adjusted to reflect the fees to which the Fund will
be subject in its first year of trading.

                     [REMAINDER OF PAGE INTENTIONALLY BLANK]

                                       21
CAPSULE C

        PRO FORMA CAPSULE PERFORMANCE OF SPHINX MANAGED FUTURES FUND SPC

Name of Pool: SPhinX Managed Futures Fund SPC
Type of Pool: Privately Offered
Inception of Trading:  December 10, 2002
Aggregate Gross Subscriptions:  $83,189,500
Current Net Asset Value: $97,351,046
Worst Pro Forma Monthly Draw-down*: -8.04% (3/03)
Worst Pro Forma Peak-to-Valley Draw-down**: -8.04% (3/03-3/03)
RATES OF RETURN

                (COMPUTED ON A COMPOUNDED
                       MONTHLY BASIS)
                -------------------------
   MONTH           2003            2002
------------    ----------      ---------
January            6.51%
February           6.49%
March             -8.04%
April              0.35%
May                5.99%
June
July
August
September
October
November
December                          5.16%
Year              10.94%          5.16%
*"Worst Monthly Drawdown" is the largest negative monthly rate of return
experienced by a pool.

     **"Worst Peak-to-Valley Drawdown" is the greatest percentage decline in net
asset value of a pool experienced by the pool without such net asset value being
subsequently equaled or exceeded. For example, if the value of a pool unit
dropped by 1% in each of January and February, rose 1% in March and dropped
again by 2% in April, a "Peak-to-Valley Drawdown" would still be continuing at
the end of April in the amount of approximately -3%, whereas if the value of the
pool unit had risen by approximately 2% or more in March, the drawdown would
have ended as of the end of February at the -2% level.

     PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THE GENERAL PARTNER

     RefcoFunds Holdings, LLC, the general partner, is a Delaware limited
liability company organized on January 21, 1999 to manage discretionary accounts
in futures and forward markets. RefcoFunds Holdings, LLC is the successor entity
after a merger with RefcoFund Holdings Corporation. RefcoFund Holdings
Corporation was incorporated in Delaware on May 16, 1981 under the name
ContiFund Management Corporation. As of May 31, 2003, the general partner was
managing approximately $63 million in client assets.

     RefcoFund Holdings is the futures asset management subsidiary of Refco
Group Ltd., LLC, which is the parent company of a network of global firms
providing financial services to a broad range of predominantly institutional
clients on a world-wide basis. The core of these

                                       22
activities consists of the brokerage and clearing of financial and commodity
futures and options contracts on global regulated markets. The general partner
administers, monitors and structures money management products for investors and
manages futures funds. The general partner currently manages futures trading
programs in Asia, Europe, Canada and the United States.

     The general partner has been registered with the CFTC as a commodity pool
operator since October 14, 1981 and as a commodity trading advisor since
September 21, 1993 and is a member of NFA. The registration of the general
partner with the CFTC must not be taken as an indication that the CFTC has
recommended or approved wither the general partner or the Fund.

     The general partner will be required to make and maintain a cash general
partnership investment in the Fund equal to 1% of the total contributions of all
limited partners to the Fund. The general partner may make withdrawals of any
investment in excess of this amount. However, the general partner has no intent
or commitments to, nor is it a reasonable possibility that the general partner
will, fund cash flow deficits, if any, or provide other direct or indirect
financial assistance to the Fund.

BACKGROUND AND MANAGEMENT

     PHILLIP R. BENNETT has been a Manager of the general partner since its
inception. Mr. Bennett has been the President of Refco Capital LLC since
September 1981 and President and Chief Executive Officer of Refco Group Ltd.,
LLC since March 1999 and May 1985, respectively. Mr. Bennett has also been a
manager of Refco Alternative Investments, LLC since its inception in October
1999. Mr. Bennett received his M.A. in Geography from Cambridge University in
1970.

     THOMAS HACKL has been a Manager of the general partner since July 2003. Mr.
Hackl joined Refco Group Ltd., LLC in June 2002, as a member of the management
Committee and Executive Vice President of Refco Group Ltd., LLC and is in charge
of global asset management. Mr. Hackl was the Head Treasury and Investment
Banking in BAWAG - PSK Group, Austria's largest private bank. He joined BAWAG in
1991. He was also a member of various other positions related to BAWAG. Prior to
that, he was a Department Head at Badenwuerttembergische Bank in Stuttgart,
Germany from 1987 - 1991. Mr. Hackl graduated from the University of Mannheim,
Germany with a degree in Business Administration.

     JOSEPH MURPHY has been a Manager of the general partner since October 1999.
Mr. Murphy also has been the President of the general partner since October
1999. In addition, Mr. Murphy has been a Manager of Refco Alternative
Investments, LLC since October 1999. Mr. Murphy is also the Chief Executive
Officer of Refco, LLC, one of the largest institutional and retail brokers in
the world. He is also Executive Vice President of Refco Group Ltd., LLC, a
provider of a broad range of financial services to clients located throughout
the world. Prior to joining Refco, Mr. Murphy held positions at Chase Manhattan
Bank and HSBC Futures. Mr. Murphy received his Bachelor of Science from
Providence College. Mr. Murphy's professional affiliations include serving as
Vice-Chairman of the Board for the Futures Industry Association, Vice-Chairman
of the Board of Trade Clearing Corporation, a director of the NFA, and a member
of the Advisory Board for NQLX.

                                       23
DAVID A. KUGLER has been the President of the general partner since July
2003. Mr. Kugler has worked with leading investment firms since September 1990
and has specialized in asset management since January 1997. At Refco Alternative
Investments, LLC Mr. Kugler oversees product development and marketing strategy
and serves as the group's liaison with senior Refco management. Prior to joining
Refco in September 2002, he was managing director for the Alternative Investment
Products Group at Orbitex Financial Services Group from May to September 2002.
In that role, he developed a team that structured and distributed both domestic
and offshore alternative products, raising in excess of USD150 million in assets
in less than six months. In January1997, Mr. Kugler founded Monument Funds Group
("Monument Funds") and attracted more than USD 400 million in leading edge,
long-only technology mutual funds. Mr. Kugler sold Monument Funds in May 2000 to
Orbitex. Between September 1990 and January 1997 Mr. Kugler was a top financial
consultant at Merrill Lynch and Paine Webber, two large brokerage firms,
advising high net worth investors and institutions on financial strategies. Mr.
Kugler began his professional career as a Naval officer and aviator, flying
sensitive missions throughout Northern Europe, the Mediterranean, the Mid East
and North Africa during the period 1983 to 1989. Mr. Kugler received his BA in
Economics from the State University of New York in Albany, New York.

     PHILIP SILVERMAN has been Secretary of the general partner since June 1997.
In addition, Mr. Silverman has been a Manager and Secretary of Refco Alternative
Investments, LLC since October 1999. Mr. Silverman has served as Secretary of
Refco Group Ltd., LLC since June 1996, as Manager and Secretary of
Forstmann-Leff International Associates, LLC since May 1997, and as a Manager of
Forstmann-Leff Associates, LLC since June 1997. Mr. Silverman received his
B.B.A. in Marketing/Accounting from Baruch College in 1976 and his MBA in
Accounting from Long Island University in 1980. Mr. Silverman is a certified
public accountant.

THE SUB-INVESTMENT MANAGER

     PlusFunds, the sub-investment manager, is a Delaware corporation organized
on March 25, 2002.

     PlusFunds has been registered with the CFTC as a as a commodity pool
operator since July 1, 2002 and as a commodity trading advisor since March 14,
2003 and is a member of NFA. The registration of PlusFunds with the CFTC must
not be taken as an indication that the CFTC has recommended or approved either
PlusFunds or the Fund.

BACKGROUND AND MANAGEMENT

     GABRIEL BOUSBIB, Chief Executive Officer. From January 1996 to July 2001,
Mr. Bousbib held a number of operating and corporate development positions with
the Reuters Group. In his last position at Reuters, Mr. Bousbib was Managing
Director of Business Development with responsibility for Reuters acquisitions
and strategic investments in the buy-side and technology segments. During his
tenure, Mr. Bousbib led Reuters' largest acquisitions in the Americas, as well
as in the financial technology space and was involved in Reuters' first
investment in the wealth management space. Mr. Bousbib was previously Senior
Vice President and Chief Operating Officer, Risk Management Division, Reuters
America Holdings. He had

                                       24
overall operational responsibility for Reuters' application software business in
the Americas, including sales and marketing, technical and application support,
as well as development and financial engineering. Prior to joining Reuters, Mr.
Bousbib was a Managing Director and principal of the CBM Group, Inc., a
management consulting firm specializing in financial services and risk
management, from July 1992 to December 1995. Mr. Bousbib was the founder of MYCA
Inc., a software company developing risk management systems for derivative
dealers. Mr. Bousbib started his career in the securities industry in May 1987
when he joined Merrill Lynch Capital Markets as a risk manager and trader in
Merrill Lynch's global derivatives group. Mr. Bousbib holds an M.B.A. from
Columbia University Graduate School of Business and is a graduate from Ecole
Polytechnique in Paris.

     CHRISTOPHER SUGRUE, Chairman and Cofounder. Mr. Sugrue has been active in
the private equity and hedge fund market since 1993 both as an investor and
advisor to various organizations in the alternative investments arena. From 1993
to 1998 Mr. Sugrue was a Senior Vice President of Refco Group Ltd, working
directly for the Chairman and Principals of the firm. From 1998 to present he
has served as the Chairman of PlusFunds Group Inc. Mr. Sugrue graduated from the
College at the University of Chicago and also holds a Masters Degree from the
University of Chicago in Politics and Economics.

     DIEGO WINEGARDNER, Vice Chairman and Cofounder. Since September 1991, Mr.
Winegardner has been involved in all facets of the alternative investment
management process including manager research, due diligence, portfolio
construction and ongoing monitoring of related investments. From October 1996
until the formation of PlusFunds in April 1998, Mr. Winegardner founded and
served as President of Sagax Capital Management, Inc. At Sagax, Mr. Winegardner
launched a fund of funds investment partnership that managed assets in
alternative investments for high net worth clients as well as providing
consulting services to institutions investing in hedge funds. From November 1992
until August 1996, Mr Winegardner served as Managing Director of Alternative
Investments for The Winegardner Companies, a private family office. Mr.
Winegardner began his career working for Bearbull SA Geneva, Switzerland. He is
a graduate of Cornell University.

     CHRIS ALIPRANDI, Chief Financial Officer. Mr. Aliprandi has 20 years of
accounting and finance experience in the financial services and software
industries. Prior to joining PlusFunds in July 2002, Mr. Aliprandi was the Chief
Financial Officer of Kinexus Corporation from March 2000 to March 2002, a
software start-up that was sold to a public company in February of 2002. Prior
to that from January 1997 to March 2000, Mr. Aliprandi was a Partner at Cantor
Fitzgerald L.P and served as the New York Controller. He managed a staff of 46
and was responsible for management and financial reporting. He also assisted
with the development of an S-1 registration statement and negotiation of several
financing transactions. Prior to joining Cantor Fitzgerald L.P., Mr. Aliprandi
was a Vice President at Bankers Trust Co. from January 1995 to January 1997 and
also a Vice President and Morgan Stanley and Co. from July 1986 to January 1995,
serving in the Controller function. Prior to that, Mr. Aliprandi was an audit
senior at Price Waterhouse and Company from July 1983 to July 1986. Mr.
Aliprandi is a CPA and has a B.S. in Accounting from the University of Delaware.

     CHRIS ROSE, Chief Operating Officer. Mr. Rose has over 18 years experience
in the Capital Markets industry. Prior to joining PlusFunds in January 2000, Mr.
Rose was a Senior

                                       25
Manager at Ernst & Young from May 1999 to December 1999 specializing in
electronic commerce in the Capital Markets arena. Prior to Ernst and Young, Mr.
Rose held a variety of strategic technology management positions at J.P. Morgan
from November 1990 to June 1994, Goldman Sachs from June 1994 to May 1997 and
Merrill Lynch from May 1997 to May 1999, focusing primarily on global technology
for the Institutional and High Net Worth Sales forces and their Client. Mr. Rose
is a graduate of Oxford University where he obtained a Masters degree in
Engineering.

INVESTMENT PROGRAM

     The Fund's investment objective is to seek investment returns that
substantially track the Index. Standard & Poor's has long been recognized
worldwide as a global provider of equity indices. In October 2002, Standard &
Poor's launched the Standard & Poor's Hedge Fund Index. In January 2003,
Standard & Poor's launched the Index, which is an expansion of the managed
futures subset of the Standard & Poor's Hedge Fund Index. Standard & Poor's is
responsible for calculating the Index and publishes Index values on the Standard
& Poor's website: www.standardand poors.com. The Index is rebalanced annually or
as required by Standard & Poor's. Addition or deletion of Index constituents is
at the sole discretion of Standard & Poor's Index Committee. The Index is
designed to offer an investable benchmark that is representative of the managed
futures segment of hedge fund investing. The Index focuses on the systematic,
trend-following trading methodologies that constitute the significant majority
of managed futures investment strategies. Constituents of the Index are
portfolio managers using managed futures strategies.

     The general partner will pursue the Fund's investment objective by
allocating the Fund's assets to the Index SPC. The Index SPC, which is managed
by PlusFunds, allocates its assets to portfolio managers that generally employ a
broad range of systematic trading strategies in the futures markets. Other
markets, such as the interbank foreign exchange market, may be used as well. The
Index SPC is designed to track the Index, and thus to provide investors with
exposure to a broad cross section of systematic managed futures strategies
through a single investment. Investors will have access to a variety of managed
futures strategies without being subject to high minimum requirements that might
otherwise be imposed. The Fund provides investors with access to professionally
selected managers who are considered by Standard & Poor's to be representative
of managed futures trading strategies. These managers may not be otherwise
available to investors. The Fund will not invest in the Index, nor will the
return of the Fund exactly track the performance of the Index. As constituent
allocations change from time to time in the Index as a result of Standard &
Poor's changes in Index composition, the Index SPC likewise intends to adjust
its allocations to reflect the Index composition.

     The Index is designed as a benchmark of the performance of various managed
futures trading strategies. Managed futures trading advisors trade in financial
and commodity markets around the world. Typical investment and trading
instruments used by trading advisors include futures contracts, forward
contracts, options on futures contracts, swaps and other derivative products,
and physical commodities. Trading advisors that follow a systematic approach
tend to take positions based on computer-generated models to identify trades,
determine size of positions and precisely time trades. The trading advisors
represented in the Index follow systematic trading approaches, employing mainly
technical trend-following and pattern recognition trading

                                       26
methods. There are no limits on the amount of leverage a trading advisor may use
in connection with its trading strategies.

     The portfolio managers, which will be initially equally weighted within the
Index, are included in the Index are selected based on, among other things,
Standard & Poor's analysis of:

     - the portfolio manager's trading strategy;

     - risk/return characteristics;

     - volatility levels;

     - performance during various time periods and market cycles; and

     - the structure of the portfolio manager's portfolio and the types of
       instruments held.

     Other factors include (1) the portfolio manager's reputation, experience
and training; (2) the portfolio manager's articulation of, and adherence to, the
portfolio manager's stated investment philosophy; (3) the quality and stability
of the portfolio manager's organization, including internal and external
professional staff and (4) the presence and deemed effectiveness of the
portfolio manager's risk management discipline. Portfolio managers are generally
required to have two to three years of performance history to qualify for
inclusion in the Index, and minimum assets under management of $75 million using
the relevant trading strategy.

     The process of constructing the Index begins by identifying a set of
candidate portfolio managers for potential membership by the Standard & Poor's
Index Committee. These candidates include portfolio managers of programs that
actively report data to certain public databases, as well as other portfolio
managers who do not report to the databases but are identified through other
means. From the set of the candidate portfolio managers, those portfolio
managers whose structure, behavior and/or history is, in the opinion of the
Standard & Poor's Index Committee, inconsistent with the institutional
constraints, requirements and the guidelines discussed elsewhere are eliminated.
A portfolio manager's methodology is analyzed for its adherence to its stated
strategy and its relevance to the Index. Historical returns for these programs
are collected from the portfolio managers. The returns are subject to a number
of screens in order to identify a subset of portfolio managers that would
satisfy the selection criteria of the Standard & Poor's Index Committee. In
addition to qualitative information such as portfolio manager
self-classification and the portfolio manager's description of investment
approaches, the Standard & Poor's Index Committee employs advanced statistical
methods in an effort to identify those portfolio managers that are most
representative of managed futures strategies. Portfolio managers that do not
satisfy the minimum correlation criteria are generally not considered.
Statistical analysis techniques are used to group portfolio managers and to
check for internal consistency with the required criteria.

     The Standard & Poor's Index Committee is charged with overseeing the
methodology and operations of the Index and has primary responsibility for the
Index's strategy classifications, composition and methodology. The Standard &
Poor's Index Committee is also responsible for ensuring that the Index maintains
the standards outlined above. The Standard &

                                       27
Poor's Index Committee is controlled by representatives, including the
Chairperson, from Standard & Poor's, but may include industry experts from
outside Standard & Poor's.

     The Index is not managed in an effort to achieve specific investment
returns or with regard to the interests of the Fund, the Index SPC or their
investors. The constituents of the Index, a more detailed description of the
Standard & Poor's Managed Futures Index structure, methodology, definitions and
practices prepared by Standard & Poor's, as well as the results for the Index,
are available on the S&P Indices area of www.standardandpoors.com. The contents
of that website are not incorporated by reference into this prospectus.

THE INDEX SPC

     The Index SPC was organized in July 2002 as a Cayman Islands exempted
segregated portfolio company and operates pursuant to Part XIV of the Companies
Law (2002 Revisions).

     Since the Index SPC is designed to achieve returns that substantially track
the Index, portfolio managers generally are selected based on such portfolio
manager's representation in the Index, and allocations among the portfolio
managers are generally made according to a weighting scheme that is designed to
replicate the weighting scheme applied by Standard & Poor's in respect to the
Index. As of the date of this prospectus, the portfolio managers (and the
trading programs they use for the Index) are:

     - Aspect Capital Limited (Aspect Diversified Program);

     - Beach Capital Management Limited (Beach Discretionary Programme);

     - Campbell & Company, Inc. (Financial, Metals & Energy Large Portfolio);

     - Chesapeake Capital Corporation (The Diversified Program);

     - Dunn Capital Management, Inc. (Dunn Combined Financial);

     - Eclipse Capital Management, Inc. (Global Monetary Program);

     - Graham Capital Management, L.P. (Global Diversified Program);

     - Hyman Beck & Company, Inc. (The Global Portfolio);

     - John W. Henry & Company, Inc. (Global Financial & Energy Portfolio);

     - Beacon Management Corporation (USA) (Meka - MV);

     - Millburn Ridgefield Corporation (Diversified Portfolio);

     - Rotella Capital Management, Inc. (The Polaris Program);

     - Willowbridge Associates Inc. (Argo Trading System); and

     - Winton Capital Management Ltd. (Diversified Program).

                                       28
These portfolio managers, and their strategies, are subject to change.

     The Index SPC will adhere to the following investment restrictions, some of
which have more application to securities trading rather than futures trading:

     - No more than 20% of the value of the gross assets of the assets allocated
     to a portfolio manager may be lent to or invested in the securities of any
     one issuer or may be exposed to the creditworthiness or solvency of any one
     counterparty;

     - No more than 40% of the value of the gross assets of the assets allocated
     to a portfolio manager may be invested in any other fund or may be
     allocated to any other manager to manage on a discretionary basis, provided
     that the other fund or manager operates on the principle of risk spreading

     - No more than 20% of the value of the gross assets of the Index SPC may be
     invested in other funds whose principal investment objective includes
     investing in other funds;

     - The portfolios traded by the portfolio managers on behalf of the Index
     SPC may not take legal or management control of the issuer or any of its
     underlying assets; and

     - The portfolio managers must observe the general principle of
     diversification of risk in their derivatives trading

     Except where specified to the contrary, the above restrictions apply as of
the date of the relevant transaction or commitment to invest. Changes in the
investments of the Index SPC will not have to be effected merely because any of
the limits contained in such restrictions would be breached as a result of any
appreciation or depreciation in value, or by reason of the receipt of any right,
bonus or benefit in the nature of capital or of any scheme or arrangement for
amalgamation, reconstruction or exchange or by reason of any other action
affecting every holder of the relevant investment. However, no further relevant
securities will be acquired until the limits are again complied with. In the
event that any of the investment restrictions are inadvertently breached,
PlusFunds will take reasonable steps to rectify the breach.

     The general partner does not intend to invest the Fund's assets directly
other than in the Index SPC, except that the general partner may invest funds
temporarily in U.S. government obligations, money market accounts or other
short-term interest-bearing accounts. The Fund will not borrow money for the
purposes of making investments in the Index SPC. The Fund may borrow money on a
secured or unsecured basis from banks for cash management purposes, and will pay
interest on such borrowed monies. There is no internal limit on the amount that
the Fund may borrow.

     Refco, LLC, an affiliate of the general partner and of the selling agent,
acts as futures broker for the Index SPC and in such capacity provides
execution, clearing and margin services in connection with futures and
commodities trading activities. Refco Capital Markets, also an affiliate of the
general partner and of the selling agent, acts as the dealer for the Index SPC
for currency trading.

                                       29
Neither the Fund nor the Index SPC are sponsored, endorsed, sold or
promoted by Standard & Poor's. Standard & Poor's makes no representation or
warranty, express or implied, to investors in the Fund regarding the
advisability of investing in managed futures generally or in the Fund
particularly or the ability of the S&P Managed Futures Index to track the market
performance of managed futures. Standard & Poor's only relationship to PlusFunds
and the Refco Group is the licensing of various trademarks and trade names of
Standard & Poor's and of the Standard & Poor's Managed Futures Index, which is
determined, composed and calculated by Standard & Poor's without regard to
PlusFunds, the Refco Group, the Fund or the Index SPC. Standard & Poor's has no
obligation to take the needs of PlusFunds, the Refco Group, or investors in the
Fund or the Index SPC into consideration in determining, composing or
calculating the Standard & Poor's Managed Futures Index. Standard & Poor's is
not responsible for, and has not participated in, the determination of the
timing of, prices at, or quantities of interests in the Fund or the Index SPC to
be issued. Standard & Poor's has no obligation or liability in connection with
the administration, marketing or trading of the Fund or the Index SPC.

     STANDARD & POOR'S DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS
OF THE INDEX OR ANY DATA INCLUDED THEREIN AND STANDARD & POOR'S SHALL HAVE NO
LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. STANDARD & POOR'S
MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED FROM THE USE
OF THE INDEX OR ANY DATA INCLUDED THEREIN. STANDARD & POOR'S MAKES NO EXPRESS OR
IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR
FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA
INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL
STANDARD & POOR'S HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR
CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE
POSSIBILITY OF SUCH DAMAGES.

     THE FUND'S INVESTMENT STRATEGIES INVOLVE SUBSTANTIAL RISK. THERE CAN BE NO
ASSURANCE THAT THE INVESTMENT OBJECTIVE OF THE FUND WILL BE ACHIEVED, OR THAT
THE FUND WILL HAVE ANY PROFITS OR WILL NOT EXPERIENCE SUBSTANTIAL LOSSES.

USE OF PROCEEDS

     The general partner expects that the proceeds from the sale of Units, net
of the Fund's organization costs, offering costs and ongoing fees and expenses,
will be invested in the Index SPC as soon as practicable after the receipt of
such proceeds by the Fund.

     The Fund will not lend any of its assets to any person or entity other than
through permitted securities investments, like repurchase agreements. The
general partner will not commingle the property of the Fund with the property of
any other person or entity in violation of law.

                                       30
CHARGES

     The general partner believes that you should consider the charges to which
the Fund is subject when making your investment decision.

                            CHARGES PAID BY THE FUND
NATURE OF
   RECIPIENT                    PAYMENT                        AMOUNT OF PAYMENT
-------------------      --------------------     ------------------------------------------
General Partner          Management Fee           The Fund will pay the general partner a
                                                  monthly management fee equal to 0.3125%
                                                  of the Fund's net assets as of the end
                                                  of each month (a 3.75% annual rate).
                                                  From this amount the General Partner
                                                  will pay the organizational and initial
                                                  offering expenses of the Fund. In
                                                  addition, beginning in the 13th month
                                                  following the purchase of any Units, the
                                                  General Partner will pay to the selling
                                                  agents of the Units a monthly trailing
                                                  commission equal to 0.1875% of the
                                                  Fund's month-end Net Assets per Unit (a
                                                  2.25% annual rate) multiplied by the
                                                  number of Units placed by the selling
                                                  agent for providing additional services
                                                  in connection with the Units.

General Partner          Administrative Fee       The Fund will pay the general partner a
                                                  monthly administrative fee equal to
                                                  0.0208% of the Fund's net assets as of
                                                  the end of each month (a 0.25% annual
                                                  rate).

General Partner          Upfront Selling          The general partner will pay the selling
                         Commission               agents an upfront selling commission
                         Reimbursement            equal to 3% of the subscription amount.
                                                  The Fund will reimburse the general
                                                  partner by paying the general partner an
                                                  amount equal to 0.0625% of the Fund's
                                                  net assets as of the end of each month
                                                  (a 0.75% annual rate), provided,
                                                  however, that the Fund will cease to
                                                  reimburse the general partner with
                                                  respect to any upfront selling
                                                  commission when the general partner has
                                                  received the amount originally paid by
                                                  the general partner, plus interest.

General Partner          Redemption Fees          A redemption fee of 3% of net asset
                                                  value per Unit applies if you redeem
                                                  Units within 12 months of their original
                                                  purchase. After the 12th month following
                                                  purchase of a Unit, no redemption fees
                                                  apply.
31
Index SPC                Pro Rata portion of      As a limited partner in the Index SPC,
                         the expenses of          the Fund will pay its pro rata share of the
                         the Index SPC            fees and expenses of the Index  SPC,
                                                  which include (1) management fees and
                                                  incentive fees, if any, paid to the
                                                  portfolio managers; (2) fees paid to the
                                                  Index SPC's administrator; (3)
                                                  brokerage commissions and other
                                                  transaction-related expenses of the
                                                  Index SPC; and (4) organizational
                                                  expenses, accounting, audit and legal
                                                  expenses, custodial fees and any
                                                  extraordinary expenses of the Index SPC.
                                                  The management fees paid to the
                                                  portfolio managers generally are
                                                  expected to range from 1% to 2.50% per
                                                  annum of the assets allocated to a
                                                  portfolio manager. Each portfolio
                                                  manager also receives an annual
                                                  incentive fee based on the net trading
                                                  gain of the assets allocated to the
                                                  portfolio manager. The incentive fees
                                                  are generally expected to range from 15%
                                                  to 25% of net trading gain.

Third Parties            Ongoing Offering         The Fund will pay its ongoing offering
                         Expenses                 expenses. These expenses are not
                                                  expected in the aggregate to exceed
                                                  0.25% per annum of the month-end net
                                                  asset value of the Fund.

Third Parties            Ordinary Expenses        Paid as incurred, these expenses include
                                                  the legal, audit and other routine
                                                  expenses of the Fund. These costs are
                                                  estimated at an annual rate of 0.15% of
                                                  the Fund's net asset value.
MANAGEMENT FEE

     The Fund will pay the general partner a monthly management fee equal to
0.3125% of the Fund's net assets as of the end of each month (a 3.75% annual
rate). From this amount the General Partner will pay the organizational and
initial offering expenses of the Fund. In addition, beginning in the 13th month
following the purchase of any Units, the General Partner will pay to the selling
agents of the Units a monthly trailing commission equal to 0.1875% of the Fund's
month-end Net Assets (a 2.25% annual rate) per Unit multiplied by the number of
Units placed by the selling agent for providing additional services in
connection with the Units. The management fee is calculated and payable as of
the last business day of each month. The management fee is calculated without
reduction of net assets for any distributions or redemptions accrued or payable
as of the date the fees are calculated. The management fee is payable whether or
not the Fund's investment in the Index SPC is profitable.

     The general partner has entered into a sub-investment management agreement
with PlusFunds, the investment manager of the Index SPC, to obtain information
and assistance from PlusFunds to facilitate management of the Fund. The general
partner will compensate PlusFunds directly from the management fee it receives
from the Fund.

                                       32
ADMINISTRATIVE FEE

     The Fund will pay the general partner a monthly administrative fee equal to
0.0208% of the Fund's net assets (a 0.25% annual rate). The administrative fee
is calculated and payable as of the last business day of each month. The
administrative fee is calculated without reduction of net assets for any
distributions or redemptions accrued or payable as of the date the fees are
calculated. The administrative fee is payable whether or not the Fund's
investment in the Index SPC is profitable.

     The general partner may enter into a sub-administrator agreement with a
third party, to obtain information and assistance from the sub-administrator to
facilitate administration of the Fund. The general partner will compensate the
sub-administrator directly from the administrative fee it receives from the
Fund. The sub-administrator will serve as the Fund's transfer agent.

UPFRONT SELLING COMMISSION REIMBURSEMENT

     The general partner will pay the selling agents an upfront selling
commission equal to 3% of the subscription amount. The Fund will reimburse the
general partner by paying the general partner an amount equal to 0.06205% of the
Fund's net assets as of the end of each month (a 0.75% annual rate), provided,
however, that the Fund will cease to reimburse the general partner with respect
to any upfront selling commission when the general partner has received the
amount actually paid by the general partner, plus interest.

REDEMPTION FEES

     A redemption fee of 3% of net asset value per Unit applies if you redeem
Units within 12 months of their original purchase. After the 12th month
following purchase of a Unit, no redemption fees apply. The redemption fee will
be paid to the general partner.

FUND'S PRO RATA SHARE OF THE FEES AND EXPENSES OF THE INDEX SPC

     As a limited partner in the Index SPC, the Fund will pay its pro rata share
of the fees and expenses of the Index SPC. The fees and expenses of the Index
SPC include:

     - management fees and incentive fees, if any, paid to the portfolio
       managers;

     - fees paid to the Index SPC's administrator;

     - brokerage commissions and other transaction-related expenses of the
       Index SPC;

     - accounting, audit and legal expenses;

     - organizational expenses;

     - custodial fees of the Index SPC; and

     - any extraordinary expenses of the Index SPC.

                                       33
The management fees paid to the portfolio managers generally are expected
to range from 1% to 2.50% per annum of the assets that they manage and are
payable monthly as of the last day of each month. Each portfolio manager may
also receive an annual incentive fee based on the net trading gain of the assets
that it manages. The incentive fees are determined as of December 31 each year
and on redemptions from the Index SPC other than as of December 31, and are
generally expected to range from 15% to 25% of net trading gain. Net trading
gain is equal to the change in unrealized profit or loss (net of all accrued
brokerage costs) during the period, plus the realized profit or loss on
positions closed during the period (net of all brokerage costs), less any
accrued interest on uninvested cash, minus expenses for the period (excluding
incentive fee, management fee and applicable administration fee), less the
period-to-period loss carryforward, if any.

ONGOING OFFERING COSTS

     The Fund will pay its ongoing offering expenses. These expenses are not
expected in the aggregate to exceed 0.25% per annum of the month-end net asset
value of the Fund.

ORDINARY EXPENSES

     The Fund will pay its own ordinary expenses as incurred. These expenses
include the legal, audit and other routine expenses of the Fund and are
estimated at an annual rate of 0.15% of the Fund's net assets.

EXTRAORDINARY EXPENSES

     The Fund is responsible for any extraordinary charges (E.G., litigation
expenses) incidental to its operation.

CAPS ON FEES

     The Fund expects to pay the fees outlined above. The limited partnership
agreement and/or guidelines of state securities regulators, however, limit the
fees that may be paid by the Fund.

     Aggregate annual fees and expenses based on the Fund's net assets may not
exceed 6% of net assets per year (1/2 of 1% per month). This cap includes
management fees, advisory fees and customary and routine administrative expenses
of the Fund as well as periodic filing and reporting fees but does not cover
incentive fees, commodity brokerage fees, legal and accounting services or
extraordinary expenses.

     Organizational and offering expenses, compensation for sales of Units and
redemption fees may not exceed 15% of aggregate subscriptions to the Fund.

     In addition, the limited partnership agreement prohibits the payment of
management fees to any person who receives brokerage commissions on transactions
for the Fund, as well as the payment by any broker of rebates or give-ups to any
advisor. This provision does not affect the payment of the fees and expenses
described above.

                                       34
REDEMPTIONS; NET ASSET VALUE

REDEMPTION PROCEDURE

     The Fund is intended as a medium- to long-term investment, which the
general partner construes to mean at least a three to five year period. However,
you may generally redeem Units as of the last business day of any calendar
month, subject to the restrictions and qualifications set forth herein. You must
give at least 10 business days' prior written notice to the general partner of
your intent to redeem, except as provided below.

     The general partner may declare additional redemption dates upon notice to
the limited partners and may, in unusual circumstances, permit some, or all,
limited partners to redeem as of dates other than the end of the month. The
general partner shall declare a special redemption date whenever the Fund
experiences a decline in net asset value per Unit as of the closing of business
on any business day to less than 50% of the net asset value per Unit on the last
month-end valuation date.

     A redemption fee of 3% of net asset value per Unit applies if you redeem
Units within 12 months of their original purchase. For purposes of determining
the existence of an early redemption fee, redemptions will be made on a
first-in, first-out basis. After the 12th month following purchase of a Unit, no
redemption fees apply.

     You may redeem any or all of their Units, but the Fund has the right to
cause you to redeem all of your Units if the net asset value of your Units
remaining after a requested redemption is less than $1,000.

     A form of Request for Redemption is attached as an exhibit to the
prospectus.

     Subject to the qualifications described in the remainder of this paragraph,
all requests for redemption will be honored and payment will be made within 10
business days of the redemption date. The general partner will make arrangements
with selling agents who so request to pay redemptions through crediting limited
partners' customer securities accounts with the selling agents. If, in the
general partner's judgment, additional redemptions would impair the ability of
the Fund to meet its objectives or if a market disruption results in the closing
of financial markets in the United States or abroad and it is impossible or
impracticable to value the Units or liquidate Fund assets, redemptions may be
suspended or payment of redemption proceeds may be delayed. In addition, the
right of a limited partner to receive a redemption payment further depends on
the Fund's ability to obtain the necessary funds by redeeming its investment in
the Index SPC, which is subject to certain limits. Under these limits,
redemptions of interests in the Index SPC by the Fund as of any particular
redemption date cannot exceed 20% of the Fund's investment in the Index SPC as
of that date unless the Index SPC has received at least 15 business days' notice
prior to a redemption date. The general partner will notify the limited partners
in writing if redemptions are suspended.

     Units purchased by the general partner, other than Units representing its
required investment in the Fund, may be redeemed on the same terms as any other
Units.

                                       35
The general partner may require you to redeem all or a portion of your
Units if the general partner believes it is desirable for the protection of the
Fund.

NET ASSET VALUE

     Net assets means the total assets, less total liabilities, of the Fund
determined on the basis of generally accepted accounting principles. Net assets
shall include any unrealized profits or losses on open positions, and any fee or
expense accruing to the Fund.

CONFLICTS OF INTEREST

GENERAL

     The general partner has not established any formal procedures to resolve
the conflicts of interest described below, therefore, you will be dependent on
the good faith of, and the legal and fiduciary obligations imposed on, the
respective parties subject to the conflicts to resolve them equitably. Although
the general partner will attempt to monitor and resolve these conflicts in good
faith, they may result in losses for the Fund.

THE GENERAL PARTNER

     One of the managers of the general partner is also a manager of the selling
agent, which may be deemed a conflict of interest in that the selling agent
agreement has not been negotiated on an arm's-length basis, and the Fund is less
likely to terminate the selling agent than would otherwise be the case if the
selling agent were not an affiliate of the general partner.

     The general partner has a conflict between its role as a general partner in
limiting expenses and the benefits it will receive from the different fees and
compensation paid to it (which fees and compensation were established without
arm's-length negotiation).

   The general partner, in its sole discretion, determines whether any
distributions will be made. To the extent that profits are retained by the Fund
rather than distributed, net assets and therefore the amount of fees paid to the
general partner and the general partner's affiliate, the selling agent, will
increase.

THE SELLING AGENTS

     The selling agents receive substantial selling commissions on the sale of
Units. Consequently, the selling agents have a conflict of interest in advising
their clients whether to invest in the Units.

     The selling agents receive trailing commissions based on Units sold by them
that remain outstanding longer than 12 months. Consequently, the selling agents
have a disincentive to advise clients to redeem their Units even when doing may
be in clients' best interests.

                                       36
OTHER BUSINESS ACTIVITIES, PROPRIETARY TRADING AND TRADING FOR OTHER ACCOUNTS

     Subject to their fiduciary obligations to the Fund, the general partner,
PlusFunds and each of their respective employees or affiliates may conduct any
other business, including any business within the investment industry. Without
limiting the generality of the foregoing, the general partner, PlusFunds and
their respective employees or affiliates may act as adviser or investment
manager for others, may manage funds or capital for others, may have, make and
maintain investments in their own names or through other entities, may serve as
a consultant, partner or stockholder of one or more investment funds,
partnerships, securities firms or advisory firms and may act as a director,
officer and/or employee of any corporation, a trustee of any trust, an executor
or administrator of any estate or an administrative official of any other
business entity.

     Moreover, the general partner and PlusFunds will not be required to give
the Fund or the Index SPC preference with respect to any investment opportunity,
refrain from any other activity or disgorge any profit from any activity or to
devote all or any specific amount of their respective time and effort to the
Fund or the Index SPC and their affairs.

     Furthermore, the general partner and PlusFunds will transact business
independently of the Fund and the Index SPC and may purchase and sell, for their
own accounts or for other accounts under their management, some of the vehicles
or instruments in which the Fund invests directly or indirectly. These
activities, and other aspects of the relationship between the general partner,
PlusFunds and their respective employees and affiliates, on the one hand, and
the Fund and the Index SPC, on the other hand, could create conflicts of
interest between any such person and the Fund or the Index SPC.

     The general partner and its employees and affiliates may establish in the
future additional investment funds with the same objective and strategy as the
Fund, in which event the general partner will allocate investments among the
Fund and additional investment funds on whatever basis it considers appropriate
or desirable.

FIDUCIARY DUTY AND REMEDIES

     In evaluating the foregoing conflicts of interest, a prospective investor
should be aware that the general partner, has a responsibility to limited
partners to exercise good faith and fairness in all dealings affecting the Fund.
If you believe that the general partner has violated its fiduciary duty to the
limited partners, you may seek legal relief individually or on behalf of the
Fund under applicable laws to recover damages from or require an accounting by
the general partner. The limited partnership agreement of the Fund is governed
by Delaware law and any breach of the general partner's fiduciary duty under the
limited partnership agreement will generally be governed by Delaware law. The
limited partnership agreement does not limit fiduciary obligations under
Delaware or common law. The general partner may, however, assert as a defense to
claims of breach of fiduciary duty that the conflicts of interest and fees
payable to the general partner have been disclosed to you in the prospectus.

                                       37
THE FUND'S LIMITED PARTNERSHIP AGREEMENT

     The following summary briefly describes the material terms of the limited
partnership agreement. You should carefully review the limited partnership
agreement attached hereto as Exhibit A and consult with your own advisors
concerning the implications to you of investing in a Delaware limited
partnership.

PRINCIPAL OFFICE; LOCATION OF RECORDS

     The Fund is organized under the Delaware Revised Uniform Limited
Partnership Act. The Fund is administered by the general partner. The address of
both the Fund and the general partner is 550 W. Jackson, Suite 1300, Chicago,
Illinois 60604; telephone: (312) 788-2000. The records of the Fund, including a
list of the limited partners and their addresses, is located at the foregoing
address, and available for inspection and copying by limited partners as
provided in the limited partnership agreement.

MANAGEMENT OF FUND AFFAIRS; VOTING BY LIMITED PARTNERS

     You will not take any part in the management or control and will have no
voice in the operations of the Fund or its business.

     The limited partnership agreement may be amended by the general partner and
limited partners owning more than 50% of the outstanding Units agreement. The
general partner may amend the limited partnership agreement without the approval
of the limited partners in order to (1) clarify inaccuracies or ambiguities, (2)
make changes required by any federal or state agency or by law, (3) effect the
intent of the allocation provisions of the Partnership Agreement, (4) qualify or
maintain the qualification of the Fund in any state, (5) make changes to protect
the Fund's partnership status for federal income tax purposes and to prevent the
Fund from being treated as an investment company or the Fund's assets from being
considered plan asset for ERISA purposes or (6) make other changes the general
partner deems advisable so long as they are not adverse to limited partners.

     Although the Fund will not hold any regular, or annual, meetings of the
limited partners, upon receipt of a written proposal signed by the owners of at
least 10% of the outstanding Units that a meeting be called, the general partner
will call a meeting of the Fund. At the meeting, limited partners owning a
majority of the outstanding Units may vote to:

     -    amend the limited partnership agreement without the consent of the
general partner, provided, that the consent of the general partner is required
for any amendment that modifies the compensation or distributions to which the
general partner is entitled or that affects the general partner's duties;

     -    dissolve the Fund;

     -    remove and replace the general partner;

     -    admit a new general partner in the event the current general partner
withdraws; and

                                       38
-    terminate any contract with the general partner or its affiliates
without penalty upon 60 days' notice.

POSSIBLE REPAYMENT OF DISTRIBUTIONS RECEIVED BY LIMITED PARTNERS;
INDEMNIFICATION OF THE FUND BY LIMITED PARTNERS

     The Units are limited liability investments; you may not lose more than the
amount you invest plus any profits recognized on your investment. However, you
could be required, as a matter of bankruptcy law, to return to the Fund's estate
any distribution which you received at a time when the Fund was in fact
insolvent or in violation of the limited partnership agreement. In addition,
although the general partner is not aware of this provision ever having been
invoked in the case of any public futures fund, limited partners agree in the
limited partnership agreement that they will indemnify the Fund for any harm
suffered by it as a result of limited partners' actions, obligations or
liabilities unrelated to the business of the Fund.

INDEMNIFICATION AND STANDARD OF LIABILITY

     The general partner and some of its affiliates may not be liable to the
Fund or any limited partner for errors in judgment or other acts or omissions
not amounting to misconduct or negligence as a consequence of the
indemnification and exculpatory provisions provided in the limited partnership
agreement. As a result, you may have more limited rights of action than you
would absent those provisions.

     The general partner and its affiliates shall not have any liability to the
Fund or to any limited partner for any loss suffered by the Fund which arises
out of any action or inaction of the general partner or any affiliate if the
general partner or its affiliates, in good faith, determined that such course of
conduct was in the best interests of the Fund, the general partner or its
affiliates were performing services for the Fund and such course of conduct did
not constitute negligence or misconduct.

     The Fund has agreed to indemnify the general partner and its affiliates
against claims, losses or liabilities based on their conduct relating to the
Fund, provided that the general partner or its affiliates, in good faith,
determined the course of action was in the best interests of the Fund, the
general partner or its affiliates were performing services for the Fund and the
conduct resulting in the claims, losses or liabilities for which indemnity is
sought did not constitute negligence or misconduct.

     The limited partnership agreement provides that the general partner, its
affiliates and any person acting as a broker-dealer shall not be indemnified for
any losses, liabilities or expenses arising from or out of an alleged violation
of federal or state securities laws unless (1) there has been a successful
adjudication on the merits of each count involving alleged securities law
violations as to the particular indemnitee, (2) such claims have been dismissed
with prejudice on the merits by a court of competent jurisdiction as to the
particular indemnitee, or (3) a court of competent jurisdiction approves a
settlement of the claims against a particular indemnitee and finds that
indemnification of the settlement and related costs should be made.

                                       39
TRANSFERS OF UNITS RESTRICTED

     Subject to compliance with applicable securities laws, you may assign your
Units upon 15 days' prior written notice to the Fund and the general partner. No
assignment will be effective in respect of the Fund or the general partner until
the first business day of the month following the month in which the notice is
received. An assignee may become a substituted limited partner only with the
consent of the general partner (which consent will be withheld only in the event
that such transfer could give rise to negative legal or tax consequences) and
upon execution and delivery of an instrument of transfer in form and substance
satisfactory to the general partner.

     There are no certificates for the Units. Transfers of Units are reflected
on the books and records of the Fund. Transferors and transferees of Units will
each receive notification from the general partner to the effect that such
transfers have been duly reflected as notified to the general partner.

REPORTS TO LIMITED PARTNERS

     The general partner will provide you with monthly and annual reports in
compliance with CFTC requirements. The general partner will also distribute the
tax information related to the Fund necessary for the preparation of your annual
federal income tax returns.

     The general partner will notify all limited partners within seven business
days of the occurrence of any of the following:

     -    any decline in the net asset value per Unit to less than 50% of such
net asset value as of the previous month-end valuation date; and

     -    any other material change affecting the compensation of any party.

     Any such notifications shall include a description of your voting and
redemption rights.

DISSOLUTION AND TERMINATION OF THE FUND

     The Fund will be terminated and dissolved upon the first to occur of:

     - limited partners owning more than 50% of the outstanding Units vote to
dissolve the Fund;

     - the general partner ceases to be general partner and no new general
partner is appointed; or

     - the continued existence of the Fund becomes unlawful.

FEDERAL INCOME TAX ASPECTS

     The following summarizes the material U.S. federal income tax consequences
to individual investors in the Fund. The Fund has obtained an opinion of Mayer,
Brown, Rowe &

                                       40
Maw, LLP, counsel to the general partner, that the summary below, to the
extent it constitutes matters of law or legal consequences, correctly
describes the material U.S. federal income tax consequences as of the date
hereof to the Fund and to a U.S. individual who invests in the Fund. The
summary is based on current U.S. federal income tax law, which is subject to
change. Mayer, Brown, Rowe & Maw LLP's opinion is subject to certain
conditions stated therein and represents only its legal judgment and does not
bind the Internal Revenue Service or the courts. No ruling has been or will
be sought from the Internal Revenue Service as to any matters discussed
below. Certain tax consequences discussed below may vary in their application
to each limited partner depending on that limited partner's particular
circumstances, and the summary below therefore is not intended to be a
substitute for professional tax advice. You should consult with your own
professional tax advisor concerning the U.S. federal, state and local tax
consequences of investing in the Fund.

THE FUND'S PARTNERSHIP TAX STATUS

     The Fund will be treated as a partnership and, assuming that the Fund
does not elect to be taxed as a corporation and that substantially all of the
gross income of the Fund in each of its taxable years will constitute
"qualifying income" within the meaning of Section 7704(d) of the Internal
Revenue Code of 1986, as amended, referred to as the Code, it will not be
treated as a "publicly traded partnership". Accordingly, the Fund will not
pay any federal income tax.

TAXATION OF LIMITED PARTNERS ON PROFITS AND LOSSES OF THE FUND

     Each limited partner (other than foreign limited partners, discussed below
and tax-exempt investors) must pay tax on his share of the Fund's annual income
and gains, if any, even if the Fund does not make any cash distributions.

     The Fund generally allocates the Fund's gains and losses equally to each
Unit. However, a limited partner who redeems any Units will be allocated his
share of the Fund's gains and losses in order that the amount of cash a limited
partner receives for a redeemed Unit will generally equal the limited partner's
adjusted tax basis in the redeemed Unit. A limited partner's adjusted tax basis
in a redeemed Unit generally equals the amount paid for the Unit, increased by
income or gains allocated to the Unit and decreased (but not below zero) by
distributions, deductions and losses allocated to the Unit.

FUND LOSSES BY LIMITED PARTNERS

     A limited partner may deduct Fund losses only to the extent of his adjusted
tax basis in his Units. However, a limited partner subject to "at-risk"
limitations (generally, non-corporate taxpayers and closely-held corporations)
can only deduct losses to the extent the limited partner is "at-risk." The
"at-risk" amount is similar to adjusted tax basis, except that it does not
include any amount borrowed on a nonrecourse basis or from someone with an
interest in the Fund.

"PASSIVE-ACTIVITY LOSS RULES" AND ITS EFFECT ON THE TREATMENT OF INCOME AND LOSS

     The trading activities of the Fund are not a "passive activity."
Accordingly, a limited partner can deduct Fund losses from taxable income
(subject to some limitations, such as the

                                       41
limitation on deductibility of capital losses, discussed below). However, a
limited partner cannot offset losses from "passive activities" against Fund
gains.

CASH DISTRIBUTIONS AND UNIT REDEMPTIONS

     A limited partner who receives cash from the Fund, either through a
distribution or a partial redemption, will not pay tax on that cash until his
adjusted tax basis in the Units is reduced to zero. A limited partner who
receives cash upon the complete redemption of Units will recognize gain or loss
for federal income tax purposes. The gain or loss will generally equal the
difference between the amount of cash received and the limited partner's
adjusted tax basis for his Units.

GAIN OR LOSS ON SECTION 1256 CONTRACTS AND NON-SECTION 1256 CONTRACTS

     The Code provides specific rules for "Section 1256 Contracts". Section 1256
contracts include certain futures and forward contracts as well as some stock
index option contracts traded on United States exchanges. For tax purposes,
Section 1256 contracts that remain open at year end are marked-to-market and
treated as if the position were closed at year end. The gain or loss on Section
1256 contracts is characterized as 60% long-term capital gain or loss and 40%
short-term capital gain or loss regardless of how long the position was open.

     Non-Section 1256 contracts include Code Section 988 transactions, I.E.,
transactions in which the amount paid or received is denominated by reference to
a foreign currency. In general, gain or loss on Code Section 988 transactions is
characterized as ordinary income or loss. However, the Fund plans to make an
election to treat gain or loss on Non-Section 1256 contracts, such as foreign
futures contracts, some foreign currency forward contracts and non-equity
options on foreign currencies, as capital gain or loss.

TAX ON CAPITAL GAINS AND LOSSES

     A non-corporate limited partner's long-term capital gains--net gain on
capital assets held more than one year and 60% of the gain on Section 1256
contracts--are taxed at a maximum rate of 15% for sales or exchanges occurring
after May 5, 2003 and prior to January 1, 2009 (and 20% for sales or exchanges
occurring thereafter). Short-term capital gains--net gain on capital assets held
one year or less and 40% of the gain on Section 1256 contracts--are subject to
tax at the same rates as ordinary income.

     Individual taxpayers can deduct capital losses only to the extent of their
capital gains plus $3,000. Accordingly, the Fund could suffer significant losses
and a limited partner could still be required to pay taxes on his share of the
Fund's interest income. Capital losses generally may not be carried back to
offset capital gains in prior years, but can be carried forward indefinitely.

     An individual taxpayer can carry back net capital losses on Section 1256
contracts three years to offset earlier gains on Section 1256 contracts. To the
extent the taxpayer cannot offset past Section 1256 contract gains, he can carry
forward such losses indefinitely as losses on Section 1256 contracts.

                                       42
LIMITED DEDUCTION FOR CERTAIN EXPENSES

     Individual taxpayers are subject to material limitations on their ability
to deduct investment advisory expenses and other expenses of producing income.
The general partner intends to treat these items as ordinary business
deductions, or income allocations not subject to the material deductibility
limitations that apply to investment advisory expenses. However, the IRS could
take a different position. The IRS could contend that the ordinary expenses of
the Fund should be recharacterized as investment advisory expenses or,
alternatively, capitalized. If these items were treated as investment advisory
expenses or were capitalized, individual taxpayers would have additional tax
liability, and if recharacterized as investment advisory fees, would be subject
to limited deductibility. See also "--Syndication Expenses," below.

INTEREST INCOME

     Interest received by the Fund is taxed as ordinary income. Net capital
losses can offset ordinary income only to the extent of $3,000 per year. See
"--Tax on Capital Gains and Losses," above.

SYNDICATION EXPENSES

     Neither the Fund nor any limited partner is entitled to any deduction for
syndication expenses (I.E., expenses incurred in issuing and marketing the
Fund), nor can these expenses be amortized by the Fund or any limited partner
even though the payment of such expenses reduces net asset value.

     The general partner has paid or will pay all organization and offering
costs from its own funds and will be reimbursed by the Fund. However, the IRS
could take the position that a portion of the fees paid by the Fund to the
general partner constitutes non-deductible syndication expenses.

INVESTMENT INTEREST DEDUCTIBILITY LIMITATIONS

     Individual taxpayers can deduct "investment interest"--interest on
indebtedness allocable to property held for investment--only to the extent that
it does not exceed net investment income. Net investment income does not include
some net capital gains. A taxpayer can elect to include some net capital gain in
investment income if he forgoes the benefit of the reduced capital gains rate.

IRS AUDITS OF THE FUND AND ITS LIMITED PARTNERS

     The IRS audits Fund-related items at the Fund level rather than at the
limited partner level. The general partner acts as "tax matters partner" with
the authority to determine the Fund's responses to an audit. If an audit results
in an adjustment, all limited partners may be required to pay additional taxes,
interest, and penalties.

     The IRS recently promulgated final Treasury Regulation Section 1.6011-4
which provides that if certain "reportable transactions" occur, which include a
transaction resulting in, or that is reasonably expected to result in, a loss
(unreduced by any gains) under Code Section

                                       43
165 of at least $2 million in any single year or $4 million in any combination
of two taxable years for a partnership such as the Fund or $50,000 in any single
year for individuals or trusts, whether the loss flows through from a
partnership, if the loss arises with respect to a Code Section 988 transaction
(as defined in Code Section 988(c)(1) relating to foreign currency
transactions), then an investor in the partnership must file an IRS Form 8886
"Reportable Transaction Disclosure Statement" and attach it to the investor's
Federal income tax return for each taxable year for which the taxpayer's Federal
income tax liability is affected by the taxpayer's participation in the
transaction. Certain other filing requirements for IRS Form 8886 may apply to
certain taxpayers. These rules apply to transactions entered into, or interests
acquired therein, on or after February 28, 2003, and at the taxpayer's election
may be relied upon for transactions entered into on or after January 1, 2003,
and before February 28, 2003 in lieu of generally more stringent rules for that
period. This IRS Form 8886 has not yet been released by the Service. Pursuant to
Revenue Procedure 2003-24, the Service generally excepts from this rule the
positions in which the Fund expects it normally will be indirectly investing in,
E.G., Section 1256 contracts and assets with a "cost" tax basis. If an election
has not been made to treat currency gains and losses as capital gains and
losses, ordinary currency losses are not excepted from the reporting rules, nor
are assets which have been part of a straddle under 1092(c), excluding a mixed
straddle under Treasury Regulation Section 1.1092(b)-4T. The Fund believes that
the limited partners should not be subject to these reporting rules, but that no
assurance can be made in this respect because the inapplicability of the rule
depends on the investments and elections made by the Index SPC and its
portfolios. Treasury Regulation Section 1.6011-4 also includes within reportable
transactions those transactions which have a significant book-tax-difference.
This reporting requirement applies to SEC registered funds, and to non-SEC
registered funds with gross United States assets of $250 million or more.
Revenue Procedure 2003-25 excepts from these rules items resulting solely from
(a) the use of a mark-to-market method of accounting for book purposes but not
tax purposes, (b) the use of a mark-to-market method of accounting for tax
purposes but not for book purposes, or (c) in the case of a taxpayer who uses
mark-to-market accounting for both book purposes and tax purposes, the use of
different methodologies for book purposes and tax purposes. It is expected that
the investments made by the Fund will satisfy this exception, but no assurance
can be given in this matter as the matters relevant for the exceptions are
determined at the Index SPC level.

     In addition, the Service recently promulgated Treasury Regulation Section
301.6112-1 which in general could require that a list be maintained by the
general partner containing the identity of each investor in the Fund and such
other information as required by regulations issued by the Treasury Department
if the Fund directly or through the Index SPC enters into a transaction which
the general partner knows or reasonably expects will be a reportable transaction
of the type described in the previous paragraph. Such list would have to be made
available to the Service upon request. The Fund does not expect to have to
maintain such a list because, as stated in the prior paragraph, it does not
expect these will be reportable transactions, but as further stated in the prior
paragraph, no assurance can be given that this will be the case.

TAXATION OF FOREIGN INVESTORS

     A limited partner who is a non-resident alien individual, foreign
corporation, foreign partnership, foreign fund or foreign estate generally is
not subject to taxation by the United States on capital gains from commodity
trading, provided that the foreign limited partner (in the

                                       44
case of an individual) does not spend more than 182 days in the United States
during his taxable year, and provided further, that the foreign limited partner
is not engaged in a trade or business within the United States during a taxable
year to which income, gain, or loss of the Fund is treated as "effectively
connected." An investment in the Fund should not, by itself, cause a foreign
limited partner to be engaged in a trade or business within the United States
for the foregoing purposes, assuming that the trading activities of the Fund
continue to be conducted as described in this prospectus. In the event that the
Fund were found to be engaged in a United States trade or business, a foreign
limited partner would be required to file a United States federal income tax
return for such year and pay tax at full United States rates. In the case of a
foreign limited partner which is a foreign corporation, an additional 30%
"branch profits" tax might be imposed. Furthermore, in such event the Fund would
be required to withhold taxes from the income or gain allocable to such a
limited partner under Code Section 1446.

     Portfolio interest income (other than so-called "contingent interest")
allocable to a foreign limited partner is likewise not subject to United States
federal income tax withholding, provided that the foreign limited partner is not
engaged in a trade or business within the United States and provides the Fund
with an IRS Form W-8BEN or other applicable form. Similarly, a foreign limited
partner's allocable share of interest on U.S. bank deposits, certificates of
deposit and discount obligations with maturities (from original issue) of 183
days or less is not subject to United States federal income tax withholding.
Generally, other interest from United States sources (including original issue
discount) paid to the Fund and allocable to foreign limited partners will be
subject to United States federal income tax withholding at a statutory rate of
30% (subject to applicable treaty reductions).

TAX-EXEMPT U.S. LIMITED PARTNERS

     Tax-exempt U.S. limited partners will not be required to pay tax on their
share of income or gains of the Fund, so long as the limited partner does not
use borrowed funds in connection with its purchase of Units.

STATE AND OTHER TAXES

     In addition to the federal income tax consequences described above, the
Fund and the limited partners may be subject to various state and other taxes.

INVESTMENT IN INDEX SPC

     The Fund will invest in the Index SPC which will hold various positions
in securities, commodities and financial futures. The Fund has been informed
that, for U.S. federal income tax purposes, the Index SPC consists of
multiple portfolios that have elected to be treated as partnerships.
Accordingly, in this summary of certain tax consequences to limited partners,
references to the Fund generally should be read to include also references to
the Index SPC and its portfolios. In general, the Fund will be allocated its
distributive share of items of income, gain, loss, deduction and credit with
respect to such partnerships (the Index SPC portfolios) in which it invests,
and the limited partners in turn will be allocated their share of such items.
The character of such items to the limited partners generally will be the
same as if such item were realized directly by the Fund, but elections and
determinations available to the partnerships in which the Fund

                                       45
invests may affect the timing and/or character of income realized by the Fund
and in turn realized by the limited partners. For example, if a partnership (an
Index SPC portfolio) in which the Fund invests holds foreign currency positions
subject to Code Section 988, the gain or loss on such positions will be ordinary
income or loss to the limited partners unless that partnership has made an
election under Code Section 988 to treat the gain or loss as capital gain or
loss. Also, if a partnership in which the Fund invests borrows to finance
positions (including purchasing securities on margin), this will cause part or
all of the income from such positions allocable to a limited partner which is a
tax-exempt organization to be unrelated business taxable income in the same
manner as if the Fund borrowed to finance such positions directly. In addition,
the Fund will report its expenses from an underlying partnership (an Index SPC
portfolio) as Code Section 162 or Code Section 212 deductions or otherwise
consistent with the manner in which such partnership reports such expenses. The
status of the Index SPC portfolios as partnerships for United States federal
income tax purposes depends on their satisfying certain conditions, E.G., the
conditions set forth above under "The Fund's Partnership Tax Status". The Fund
expects that the Index SPC portfolios will satisfy such conditions, but cannot
assure this.

     PROSPECTIVE INVESTORS ARE URGED TO CONSULT THEIR TAX ADVISORS BEFORE
DECIDING WHETHER TO INVEST.

PURCHASES BY EMPLOYEE BENEFIT PLANS

GENERAL

     The following section is a summary of the material consequences under the
Employee Retirement Income Security Act of 1974, as amended ("ERISA"), and the
Code, which a fiduciary of an "employee benefit plan" as defined in ERISA or of
a "plan" as defined in Section 4975 of the Code (and including for this purpose,
any entity deemed to hold plan assets) should consider before deciding to invest
any of such plan's assets in the Fund (such "employee benefit plans", "plans"
and other entities holding plan assets being referred to herein as "Plans").

     ERISA and Section 4975 of the Code together impose restrictions on plans or
accounts of various types which provide retirement benefits or welfare benefits
to an individual or to an employer's employees and their beneficiaries. These
plans and accounts include, but are not limited to, corporate pension and profit
sharing plans, "simplified employee pension plans," KEOGH plans for
self-employed individuals (including partners), individual retirement accounts
described in Section 408 of the Code and medical benefit plans as well as
entities deemed to hold the assets of these plans and accounts, but generally do
not include any plan maintained by a church or by a state or local government
(however, government plans may be subject to rules similar to ERISA and the
Code).

     In addition, ERISA requires that each plan fiduciary must give appropriate
consideration to the facts and circumstances that are relevant to an investment
in the Fund, including the role that an investment in the Fund plays in the
Plan's overall investment portfolio. Therefore, fiduciaries of ERISA plans,
before deciding to invest in the Fund, must be satisfied that investment in the
Fund is a prudent investment for the Plan, that the investments of the Plan,
including the investment in the Fund, are diversified so as to minimize the risk
of large losses and that an investment in the Fund complies with the terms of
the Plan and the related Fund.

                                       46
"PLAN ASSETS"

     The purchase of Units by a Plan raises the issue of whether that purchase
will cause, for purposes of Title I of ERISA and subject to Section 4975 of the
Code, the underlying assets of the Fund to be considered to constitute assets of
such Plan. A regulation issued under ERISA (the "ERISA Regulation") contains
rules for determining when an investment by a Plan in an equity interest of an
entity will result in the underlying assets of such entity being considered
assets of such Plan for purposes of ERISA and Section 4975 of the Code (I.E.,
"plan assets"). Those rules provide that assets of an entity will not be
considered assets of a Plan which purchases an equity interest in the entity if
certain exceptions apply, including an exception applicable if the equity
interest purchased is a "publicly-offered security." A publicly-offered security
is a security that is:

     -    freely transferable;

     -    part of a class of securities that is owned by 100 or more investors
independent of the issuer and of one another by the conclusion of the offering;
and

     -    either is (a) part of a class of securities registered under section
12(b) or 12(g) of the Securities Exchange Act of 1934, or (b) sold to the Plan
as part of an offering of securities to the public pursuant to an effective
registration statement under the Securities Act of 1933, if the class of
securities of which the security is a part is registered under the Securities
Exchange Act of 1934 within 120 days, or such later time as may be allowed by
the Securities and Exchange Commission, after the end of the fiscal year of the
issuer during which the offering of the securities to the public occurred.

     The Units are expected to qualify as a "publicly-offered security" pursuant
to the foregoing rules.

INELIGIBLE PURCHASERS

     Units may not be purchased with the assets of a Plan if the general
partner, the Fund, any selling agent, any clearing broker, or any of their
respective affiliates or any of their respective agents or employees: (1) has
investment discretion with respect to the investment of the assets of such Plan
to be invested in the Units; (2) has authority or responsibility to give or
regularly gives investment advice with respect to such Plan assets, for a fee,
and pursuant to an agreement or understanding that the advice will serve as a
primary basis for investment decisions with respect to the Plan assets and that
the advice will be based on the particular investment needs of the Plan; or (3)
is an employer maintaining or contributing to the Plan, except as is otherwise
permissible under ERISA and Section 4975 of the Code. A party that is described
in clause (1) or (2) of the preceding sentence is a fiduciary under ERISA and
the Code with respect to the Plan, and any such purchase might result in a
"prohibited transaction" under ERISA and the Code.

     Except as otherwise set forth, the foregoing statements regarding the
consequences under ERISA and the Code of an investment in the Fund are based on
the provisions of the Code and ERISA as currently in effect, and the existing
administrative and judicial interpretations thereunder. No assurance can be
given that administrative, judicial or legislative changes will not occur that
will not make the foregoing statements incorrect or incomplete.

                                       47
ACCEPTANCE OF SUBSCRIPTIONS ON BEHALF OF PLANS IS IN NO RESPECT A
REPRESENTATION BY THE FUND, THE GENERAL PARTNER, ANY SELLING AGENT OR ANY OTHER
PARTY RELATED TO THE FUND THAT THIS INVESTMENT MEETS SOME OR ALL OF THE RELEVANT
LEGAL REQUIREMENTS WITH RESPECT TO INVESTMENTS BY ANY PARTICULAR PLAN OR THAT
THIS INVESTMENT IS APPROPRIATE FOR ANY PARTICULAR PLAN. THE PERSON WITH
INVESTMENT DISCRETION SHOULD CONSULT WITH HIS OR HER FINANCIAL AND LEGAL
ADVISORS AS TO THE PROPRIETY OF AN INVESTMENT IN THE FUND IN LIGHT OF THE
CIRCUMSTANCES OF THE PARTICULAR PLAN AND CURRENT TAX LAW.

PLAN OF DISTRIBUTION

SUBSCRIPTION PROCEDURE

     The Units are offered on a "best efforts" basis without any firm
underwriting commitment through selling agents including, but not limited to,
Refco Securities, LLC. During the initial offering period, you may purchase the
Fund's Units at $1,000 per Unit. After the initial offering period, you may
purchase Units at net asset value as of the first business day of each calendar
month. The general partner may from time to time cause the Fund to issue Units
at intra-month closings. The minimum initial investment is $10,000, $3,000 for
an individual retirement account. Additional subscriptions by existing limited
partners are permitted in $2,500 minimums. Units are sold in fractions
calculated up to three decimal places.

     In order to purchase Units, you must complete, sign and deliver to a
selling agent an original of the Subscription Agreement and Power of Attorney
Signature Page which accompanies this prospectus, together with a check for the
amount of your subscription. Checks should be made payable to "S&P MANAGED
FUTURES INDEX FUND, LP" Subscription proceeds will be deposited in an account in
the Fund's name at Fifth Third Bank, pending investment in the Fund. Instead of
delivering a check you may wire transfer the amount of your subscription
according to the wire transfer instructions included in the Subscription
Agreement.

     Clients of some selling agents may make subscription payments by
authorizing the selling agents to debit their customer securities account for
the amount of the subscription. When a subscriber authorizes a debit, the
subscriber will be required to have the amount of his or her subscription
payment on deposit in his or her account on a settlement date specified by the
selling agent. The selling agent will debit the account and transmit the debited
funds directly to the Fund's escrow account (during the initial offering period)
or the Fund's bank account (following the initial offering period) via check or
wire transfer made payable to "S&P MANAGED FUTURES INDEX FUND, LP" The
settlement date specified by the selling agents shall be no later than three
business days following notification by the general partner of the acceptance of
an investor's subscription and no later than the termination of the monthly
offering period.

     The general partner will make every reasonable effort to determine the
eligibility of prospective limited partners in the Fund through information
received on the Subscription Agreement. Generally, the general partner must
receive subscription documents at least five

                                       48
business days (and cleared funds to purchase the Units at least three business
days) before the end of a month for them to be accepted as of the first day of
the immediately following month.

     The Fund will receive the interest earned on subscriptions held in its bank
account pending investment in the Fund.

     There are no fees applicable to subscriptions held pending investment in
the Fund.

     Subscriptions, if rejected, will be returned to investors, together with
any interest accrued thereon, promptly following the end of the month in which
the subscription was rejected or sooner if practicable.

     Subscriptions are final and binding on a subscriber as of the close of
business on the fifth business day following the subscriber's receipt of a final
prospectus.

ANTI-MONEY LAUNDERING DISCLOSURES

     In order to comply with laws and regulations aimed at the prevention of
money laundering and prohibiting transactions with certain countries,
organizations and individuals, the Fund may request such information as it
reasonably believes is necessary to verify the identity of an investor or a
prospective investor and to determine whether an investor is permitted to be an
investor in the Fund under these laws and regulations. In the event of delay or
failure by an investor or a prospective investor to produce any information
required by the Fund for these purposes, the Fund may require mandatory
redemption of the investor's Units, and may refuse to accept the subscription of
a prospective investor. Likewise, after reviewing the information provided, it
is possible that the Fund may determine to redeem an investor's Units or refuse
to accept a prospective investor's subscription. In certain circumstances, the
Fund may be required to provide information about investors to regulatory
authorities and to take any further action as may be required. Neither the Fund
nor the general partner will be liable for any loss or injury to an investor or
prospective investor that may occur as a result of disclosing such information
or refusing or redeeming Units.

THE SELLING AGENTS

     Refco Securities, LLC has been selected as a selling agent for the Fund.
Refco Securities, LLC and the Fund's other selling agents will receive from the
general partner an upfront selling commission equal to 3% of the purchase price
per Unit at the time that the Unit is sold, and their representatives who sell
Units shall receive a portion of the 3% commission. No selling commissions will
be paid from the proceeds of subscriptions. However, the Fund will reimburse the
general partner with respect to the upfront selling commission by paying the
general partner an amount equal to 0.0625% of the Fund's net assets as of the
end of each month (a 0.75% annual rate), provided, however, that the Fund will
cease to reimburse the general partner with respect to any upfront selling
commission when the general partner has received the amount actually paid by the
general partner, plus interest.

     Beginning with the 13th month following the closing on the purchase of a
Unit, the general partner will pay from its management fee to the selling agent
who sold the Unit ongoing "trailing commissions" at 0.1875% (a 2.25% annual
rate) of the month-end net asset value of the

                                       49
Unit -- provided, that CFTC-qualified registered representatives of the selling
agent have satisfied applicable proficiency requirements and agree to perform
certain ongoing services with respect to the Units. The ongoing trailing
commissions, once begun, will continue for as long as the Unit remains
outstanding. Selling agents will pay a portion of these commissions to their
eligible representatives after deduction of "due diligence" and administrative
expenses incurred in connection with this offering, in accordance with such
selling agents' standard compensation arrangements. No selling agent will
receive upfront selling commissions or trailing commissions which exceed the
amounts set forth above.

     The general partner has agreed to indemnify the selling agents against
certain liabilities that the selling agents may incur in connection with the
offering and sale of the Units, including liabilities under the Securities Act
of 1933 and the Commodity Exchange Act.

     The selling agents will determine the suitability of prospective limited
partners in the Fund, pursuant to Rule 2810 of the National Association of
Securities Dealers, based upon information contained in the Subscription
Agreement and documents furnished to the selling agents by their customers in
opening accounts.

REFCOFUND HOLDINGS, LLC PRIVACY POLICY

YOUR PRIVACY IS OUR PRIORITY

     The general partner is committed to safeguarding the personal information
that you provide us. This Privacy Policy describes how we handle and protect
personal information we collect about individuals who apply for or receive our
products and services. The provisions of this notice apply to former customers
as well as our current customers.

WHY AND HOW WE COLLECT PERSONAL INFORMATION

     When you submit a subscription, we collect personal information about you
for business purposes, such as processing your requests and transactions,
informing you about products and services that may be of interest to you, and
providing customer service. The personal information we collect about you
includes:

   - information you provide to us on subscription documents, applications and
     other forms, such as your name, address, date of birth, social security
     number, occupation, assets, and income;

   - information about your transactions with us and with our affiliates;

   - information we receive from consumer reporting agencies, such as your
     credit history and creditworthiness, and other entities not affiliated with
     us; and

   - information you provide to us to verify your identity, such as a passport,
     or received from other entities not affiliated with us.

                                       50
HOW WE PROTECT PERSONAL INFORMATION

     We limit access to your personal information to those employees who need to
know in order to conduct our business, service your account, and help you
accomplish your financial objectives, such as providing you with a broad range
of products and services. Our employees are required to maintain and protect the
confidentiality of your personal information and must follow established
procedures to do so. We maintain physical, electronic, and procedural safeguards
to protect your personal information. We do not rent or sell your name or
personal information to anyone.

SHARING INFORMATION WITH OUR AFFILIATES

     We may share personal information described above with our affiliates for
business purposes, such as servicing customer accounts and informing customers
about new products and services, and as permitted by applicable law. Our
affiliates are companies controlled or owned by us, or companies controlling or
under common control with our parent company (Refco Group Ltd., LLC) and us, and
include financial service companies, such as dealers, other brokers, futures
commission merchants, and advisers.

     The information we share with affiliates for marketing purposes may include
the information described above, such as name, address and Refco account
information, but will not include other credit information, such as credit
history appearing on a consumer credit report or net worth and income
information appearing on applications for our products and services.

DISCLOSURE TO NON-AFFILIATED THIRD PARTIES

     In order to support the financial products and services we provide to you,
we may share the personal information described above with third-party service
providers and joint marketers not affiliated with us, including:

   - financial service institutions (E.G., advisers, dealers, brokers, trust
     companies and banks) with whom we have joint marketing agreements, such as
     agreements to market financial services or products that we jointly offer,
     endorse or sponsor; and

   - companies under contract to perform services for us or on our behalf, such
     as vendors that prepare and mail statements and transaction confirmations
     or provide data processing, computer software maintenance and development,
     transaction processing and marketing services.

     These companies acting on our behalf are required to keep your personal
information confidential.

     Also, we may disclose personal information to non-affiliated companies and
regulatory authorities as permitted or required by applicable law. For example,
we may disclose personal information to cooperate with regulatory authorities
and law enforcement agencies to comply with subpoenas or other official
requests, and as necessary to protect our rights or property. Except as
described in this privacy policy, we will not use your personal information for
any

                                       51
other purpose unless we describe how such information will be used at the time
you disclose it to us or we obtain your permission to do so.

ACCESSING AND REVISITING YOUR PERSONAL INFORMATION

     We endeavor to keep our customer files complete and accurate. We will give
you reasonable access to the information we have about you. Most of this
information is contained in account statements that you receive from us and
applications that you submit to obtain our products and services. We encourage
you to review this information and notify us if you believe any information
should be corrected or updated. If you have a question or concern about your
personal information or this privacy notice, please contact us or your selling
agent.

                              --------------------

     This policy applies to the general partner and each investment vehicle to
which the general partner or any of its affiliates serves as the general
partner, investment manager or the investment advisor.

LEGAL MATTERS

     Mayer, Brown Rowe & Maw LLP has advised the Fund and the general partner on
the offering of the Units.

EXPERTS

     The RefcoFund Holdings, LLC Statement of Financial Condition as of February
28, 2003 included in this prospectus has been included herein in reliance on the
report of Grant Thornton LLP, independent accountants, given on the authority of
that firm as experts in accounting and auditing.

     The financial statements of S&P Managed Futures Index Fund, LP as of
July 9, 2003 included in this prospectus have been so included in reliance on
the report of PricewaterhouseCoopers LLP, independent accountants, given on the
authority of that firm as experts in auditing and accounting.

REPORTS

     After the Fund commences trading, CFTC Rules require that this prospectus
be accompanied by summary financial information, which may be a recent monthly
report of the Fund, current within 60 calendar days.

     THIS PROSPECTUS IS IN TWO PARTS: A DISCLOSURE DOCUMENT AND A STATEMENT OF
ADDITIONAL INFORMATION. THESE PARTS ARE BOUND TOGETHER AND MAY NOT BE
DISTRIBUTED SEPARATELY.

                                       52
INDEX TO FINANCIAL STATEMENTS
PAGE
                                                                      ----
S&P MANAGED FUTURES INDEX FUND, LP
Report of Independent Auditors                                          54
Statement of Financial Condition as of July 9, 2003                     55
Notes to Financial Statement                                            56

REFCOFUND HOLDINGS, LLC
Report of Independent Certified Public Accountants                      58
Statement of Financial Condition                                        59
Notes to Statement of Financial Condition                               60
53
REPORT OF INDEPENDENT AUDITORS

To the Partners of S&P Managed Futures Index Fund, L.P.

In our opinion, the accompanying statement of financial condition presents
fairly, in all material respects, the financial position of S&P Managed Futures
Index Fund, L.P. (the "Fund") at July 9, 2003, in conformity with accounting
principles generally accepted in the United States of America. This financial
statement is the responsibility of the Fund's general partner; our
responsibility is to express an opinion on this financial statement based on our
audit. We conducted our audit of this financial statement in accordance with
auditing standards generally accepted in the United States of America, which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statement is free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statement, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.

PricewaterhouseCoopers LLP
New York, New York
July 15, 2003

                                       54
S&P MANAGED FUTURES INDEX FUND, L.P.

                        STATEMENT OF FINANCIAL CONDITION
                                  JULY 9, 2003
ASSETS

     Cash                                                       $  1,001
                                                                --------

                                                                $  1,001
                                                                ========

LIABILITIES

     Liabilities                                                $      -
                                                                ========

     Net Assets                                                 $  1,001
                                                                ========

Partnership units, no par value; unlimited units
  authorized                                                                  1.001
                                                                           ========

Net Asset Value
  per unit (net assets/units outstanding)                                  $  1,000
                                                                           ========
See accompanying notes to financial statement.

                                ----------------

                                       55
S&P MANAGED FUTURES INDEX FUND, L.P.

                          NOTES TO FINANCIAL STATEMENT

(1) ORGANIZATION

     S&P Managed Futures Index Fund, L.P. ("Fund") was organized as a limited
partnership on May 13, 2003 under the Delaware Revised Uniform Limited
Partnership Act, as amended. In accordance with the Limited Partnership
Agreement, the Fund is organized as a single series of limited partnership
units. The General Partner will pursue the Fund's investment objective by
allocating substantially all the Fund's assets to the SPhinX Managed Futures
Fund SPC (the "SPC"). The SPC is designed to track the S&P Managed Futures Index
("Index"), and thus provide limited partners with exposure to a broad cross
section of systematic managed futures strategies through a single investment.
The Fund has had no operations other than those related to organizational
matters, including the sale of 1.000 unit to RefcoFund Holdings, LLC ("RFH",
also referred to as the "General Partner") and 0.001 unit to the initial limited
partner on July 7, 2003.

     As General Partner, RFH has the sole authority and responsibility for
managing the operations of the Fund and directing the investment of Fund assets.
RFH has retained the services of PlusFunds Group, Inc. ("PlusFunds") as
Sub-Investment Manager to oversee the day-to-day investment management functions
for the Fund.

(2) SIGNIFICANT ACCOUNTING POLICIES

     A summary of the significant accounting policies, which have been followed
in preparing the accompanying financial statement, is set forth below.

     USE OF ESTIMATES

     The accompanying financial statement has been prepared in accordance with
accounting principles generally accepted in the United States of America (GAAP).
The preparation of financial statements in conformity with GAAP requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and the disclosure of contingent assets and liabilities
as of the date of the financial statements, and the reported amounts of revenues
and expenses during the reporting period. Actual amounts could differ from such
estimates.

     INCOME TAXES

     Federal income taxes are not intended to be provided for as each partner is
individually liable for the taxes, if any, on its shares of Fund's taxable
income items including capital gains, interest, dividends, and deductions. In
accordance with the Limited Partnership Agreement, the limited partners may also
be subject to various state and other taxes.

                                       56
(3) MANAGEMENT FEES

     RFH, as the general partner, will receive a management fee of 3.75%
annually of the net asset value of the Fund, calculated daily and paid monthly
in arrears, in exchange for providing ongoing advisory and general management
services.

     All fees paid to PlusFunds for sub-investment management services are paid
by RFH. RFH may voluntarily waive a portion of its management fee at its
discretion.

(4) EXPENSES

     In accordance with the Limited Partnership Agreement, the Fund shall be
charged for certain expenses, as described below, and such expenses will be
allocated proportionately among the partners.

     The Fund is responsible for administrative, ongoing offering expenses and
operating expenses, including but not limited to legal and accounting fees, and
any taxes or extraordinary expenses payable. A monthly administrative fee will
be charged to the Fund by RFH at an annual rate of 0.25% of the Fund's net
assets.

     RFH will pay organizational and initial offering expenses. RFH will also
pay initial commissions to selling agents, however RFH will receive from the
Fund an amount equal to 0.75% annually of the net asset value of the Fund until
such initial commissions plus interest have been reimbursed.

     As of July 9, 2003, the Fund has not incurred any operating expenses since
the sale of units to RFH occurred on the balance sheet date and the Fund has not
commenced operations.

                                       57
REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS

To the Member of
     REFCOFUND HOLDINGS, LLC

We have audited the accompanying statement of financial condition of RefcoFund
Holdings, LLC (the "Company") as of February 28, 2003. This financial statement
is the responsibility of the Company's management. Our responsibility is to
express an opinion on this financial statement based on our audit.

We conducted our audit in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the statement of
financial condition is free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the statement of financial condition. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall statement of financial condition presentation. We
believe that our audit provides a reasonable basis for our opinion.

In our opinion, the statement of financial condition referred to above presents
fairly, in all material respects, the financial position of RefcoFund Holdings,
LLC as of February 28, 2003 in conformity with accounting principles generally
accepted in the United States of America.

GRANT THORNTON LLP

New York, New York
May 21, 2003 (except for
     Note C, as to which the
     date is June 5, 2003)

          Purchasers of Units will acquire no interest in this company.

                                       58
REFCOFUND HOLDINGS, LLC

                        STATEMENT OF FINANCIAL CONDITION

                                February 28, 2003
                                 (000's omitted)
ASSETS
Cash                                                                  $     17
Receivables
     Loans due from affiliates                                           1,500
     Other                                                                 141
                                                                      --------

         TOTAL ASSETS                                                 $  1,658
                                                                      ========

LIABILITIES AND MEMBER'S EQUITY
Liabilities
     Accounts payable and other liabilities                           $    321
                                                                      --------

Member's equity
     Capital contributed                                                 3,685
     Receivable from affiliates                                         (2,348)
                                                                      --------

     TOTAL MEMBER'S EQUITY                                               1,337
                                                                      --------

     TOTAL LIABILITIES AND MEMBER'S EQUITY                            $  1,658
                                                                      ========
The accompanying notes are an integral part of this statement.

          Purchasers of Units will acquire no interest in this company.

                                       59
REFCOFUND HOLDINGS, LLC

                    NOTES TO STATEMENT OF FINANCIAL CONDITION

                                FEBRUARY 28, 2003

NOTE A - ORGANIZATION

     RefcoFund Holdings, LLC (the "Company") is a limited liability company
     under the laws of the State of Delaware. The ultimate parent of the Company
     is Refco Group Ltd., LLC (the "Parent"). The Company was originally
     organized in Delaware on November 9, 1984. The Company is a member of the
     National Futures Association and is registered as a commodity pool operator
     and as a commodity trading advisor. The Company provides fund management
     and administrative services to commodity pools. It served as the General
     Partner for the following commodity pools: The Admiral Futures Fund, Ltd.,
     Clark Street Futures Fund, Dearborn Street Futures Fund and LaSalle Street
     Futures Fund.

     The Company provides trading advice by selecting and overseeing various
     trading advisors. Currently, it provides these services to the Northern
     Star Hedge Fund, Capricorn Trading Co. Limited, Selective Financial
     Portfolio Limited and Refco Global Financial Futures Trust (Thales Bermuda
     LP). As of February 28, 2003, the Company was managing approximately $48
     million in client assets. The Company earns commissions as well as
     management and incentive fees from the services that it provides.

NOTE B - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

     1.  FOREIGN CURRENCY TRANSACTIONS

         In the normal course of business, the Company engaged in transactions
         denominated in foreign currencies. Assets and liabilities in foreign
         currencies were translated at the year-end spot rate.

     2.  INCOME TAXES

         The Company has not provided for Federal, state and local taxes, as
         they are the responsibility of the Company's member.

     3.  USE OF ESTIMATES IN FINANCIAL STATEMENTS

         The preparation of financial statements in conformity with accounting
         principles generally accepted in the United States of America requires
         management to make estimates and assumptions that affect the reported
         amounts of assets and liabilities and disclosure of contingent assets
         and liabilities at the date of the financial statements. Actual results
         could differ from those estimates.

            Purchasers of Units will acquire no interest in this company.

                                       60
REFCOFUND HOLDINGS, LLC

               NOTES TO STATEMENT OF FINANCIAL CONDITION (Continued)

                                FEBRUARY 28, 2003

NOTE C - RELATED PARTY TRANSACTIONS

     The Company loans funds to subsidiaries and affiliates of the Parent. Such
     amounts are presented as a debit in member's equity until repaid. On June
     5, 2003, $1,500,000 of these amounts were subsequently received and
     accordingly are presented as assets in the accompanying statement of
     financial condition.

     During the year, the Company transferred a receivable from a third party to
     an affiliate, for cash of approximately $1.2 million, representing its
     gross carrying value.

         Purchasers of Units will acquire no interest in this company.

                                       61
PART TWO
                       STATEMENT OF ADDITIONAL INFORMATION

                       S&P MANAGED FUTURES INDEX FUND, LP

                                  $100,000,000

                      UNITS OF LIMITED PARTNERSHIP INTEREST

                                   ----------

        AN INVESTMENT IN UNITS IS A SPECULATIVE AND LEVERAGED INVESTMENT
                        WHICH INVOLVES THE RISK OF LOSS.

       BEFORE YOU DECIDE TO INVEST, YOU SHOULD READ THIS ENTIRE PROSPECTUS
         CAREFULLY AND CONSIDER THE RISKS YOU FACE BEGINNING ON PAGE 7.

                                   ----------

          THIS PROSPECTUS IS IN TWO PARTS. A DISCLOSURE DOCUMENT AND A
      STATEMENT OF ADDITIONAL INFORMATION. THESE PARTS ARE BOUND TOGETHER,
         AND BOTH CONTAIN IMPORTANT INFORMATION. UNDER NO CIRCUMSTANCES
         MAY THE TWO PARTS OF THIS PROSPECTUS BE DISTRIBUTED SEPARATELY.

                                   ----------

                              REFCO SECURITIES, LLC
                                  SELLING AGENT

                             REFCOFUND HOLDINGS, LLC
                                 GENERAL PARTNER

             THIS STATEMENT OF ADDITIONAL INFORMATION AND DISCLOSURE
                      DOCUMENT ARE BOTH DATED _____, 2003.

                                       62
PRO FORMA AGGREGATE HISTORICAL RETURNS OF INDEX

     For purposes of analysis, Standard & Poor's aggregated the historical
self-reported returns of the Index constituents for purposes of the historical
pro forma version of the Index. The S&P Managed Futures Pro Forma Index is based
on the Index constituents as of December 2002 using monthly performance data
from January 1998 through December 2002 from the constituent portfolio managers
themselves. Returns for some constituents may not extend back to January 1998.
Standard & Poor's cannot verify the validity or accuracy of this data. For
purposes of calculating pro forma returns, annually in August, the pro forma
version of the Index is rebalanced to original equal weighting of constituents.
Standard & Poor's does not guarantee the accuracy of these pro forma returns and
does not recommend any investment or other decision based on their results. Pro
forma index returns do not take into account fund distributions, up-front sales
commissions, or certain fees and commissions. If the foregoing had been factored
in, the pro forma index returns would have been lower.

Capsule D presents the results of the pro forma version of the Index.

                                    CAPSULE D
                       S&P MANAGED FUTURES PRO FORMA INDEX
RATES OF RETURN
                    ---------------------------------------------------------------------------
  MONTH                2002             2001             2000             1999          1998
-----------------------------------------------------------------------------------------------
January                -1.3%             0.5%             0.0%            -3.7%          2.2%
February               -3.8%             0.8%            -1.4%             3.7%         -0.3%
March                   0.4%             7.3%            -1.8%            -1.3%          3.0%
April                  -2.7%            -7.3%            -1.4%             5.4%         -5.5%
May                     3.1%             1.5%             0.3%            -2.6%          3.3%
June                   10.7%            -1.9%            -2.1%             4.7%         -0.9%
July                    6.7%            -1.5%            -3.4%            -1.0%         -1.0%
August                  4.0%             3.9%             5.0%             0.5%         11.7%
September               5.7%             7.1%            -4.1%             1.0%          6.2%
October                -6.6%             5.8%             2.1%            -6.8%          0.4%
November               -3.7%           -10.3%             9.6%             4.3%         -2.5%
December                7.4%             1.1%            13.5%             2.8%          4.1%
Year                   20.0%             5.7%            15.9%             6.3%         21.6%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH
ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT THE FUND WILL OR IS
LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE
FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE
ACTUAL RESULTS ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

                                       63
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE
GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL
TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN
COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR
EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING
PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY
AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE
MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM
WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL
PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING
RESULTS.

THE FUTURES AND FORWARD MARKETS

FUTURES AND FORWARD CONTRACTS

     Futures contracts in the United States are generally traded on exchanges
and call for the future delivery of various commodities. These contractual
obligations may be satisfied either by taking or making physical delivery or by
making an offsetting sale or purchase of a futures contract on the same
exchange.

     Forward currency contracts are agreements to make or accept delivery of a
currency and are traded off-exchange through banks or dealers. In these
instances, the bank or dealer generally acts as principal in the transaction and
charges "bid-ask" spreads. These contractual obligations are generally satisfied
by making an offsetting agreement.

     Unlike an investment in bonds where some consistency of yield is expected
or in stocks where participation in economic growth is expected, futures and
forward trading is a "zero-sum" risk transfer economic activity. For every gain
realized by one futures and forward trader, there is an equal and offsetting
loss suffered by another.

HEDGERS AND SPECULATORS

     The two broad classifications of persons who trade futures and forward
contracts are "hedgers" and "speculators." Hedging is designed to minimize the
losses that may occur because of price changes, for example, between the time a
merchandiser contracts to sell a commodity and the time of delivery. The futures
and forward markets enable the hedger to shift the risk of price changes to the
speculator. The speculator risks capital with the hope of making profits from
such changes. Speculators, such as the Fund, rarely take delivery of the
physical commodity but rather close out their futures positions through
offsetting futures contracts.

EXCHANGES; POSITION AND DAILY LIMITS; MARGINS

     Commodity exchanges in the United States generally have an associated
clearinghouse. Once trades made between members of an exchange have been
cleared, each clearing broker

                                       64
looks only to the clearinghouse for all payments in respect of such broker's
open positions. The clearinghouse "guarantee" of performance on open
positions does not run to customers. If a member firm goes bankrupt,
customers could lose money.

     Federal legislation adopted in December 2000 has made possible a variety of
new futures and derivative exchanges and clearing organizations that will be
subject to less CFTC oversight than are the commodities exchanges on which the
Index SPC anticipates trading in the United States. Additionally, this
legislation permits a variety of highly qualified persons to trade contracts for
future delivery on various non-agricultural commodities among themselves
off-exchange. The general partner currently expects that substantially all of
the Index SPC's futures trading in the United States will be conducted on
exchanges subject to the full oversight of the CFTC. However, it is not now
possible to determine what impact the existence of these new exchanges will have
on the Index SPC's trading activities.

     The Index SPC will trade on a number of foreign commodity exchanges.
Foreign commodity exchanges differ in certain respects from their United States
counterparts and are not regulated by any United States agency.

     The CFTC and the United States exchanges have established "speculative
position limits" on the maximum positions that the portfolio managers may hold
or control in futures contracts on some, but not all, commodities. For example,
the CFTC limits the number of contracts each portfolio manager can control in
corn to 5,500 in a single delivery month and the Chicago Mercantile Exchange
limits the number of S&P 500 Index contracts each portfolio manager can control
to 20,000; however, Treasury bonds traded on the Chicago Board of Trade are not
subject to position limits.

     United States exchanges limit the maximum price change in some, but not
all, futures contracts during any single trading day. Once the "daily limit" has
been reached, it becomes very difficult to execute trades in the same direction
the market has moved. That is, if a market is "limit up," it is difficult, or
impossible, to buy, but very easy to sell. Because these limits apply on a
day-to-day basis, they do not limit ultimate losses, but may reduce or
temporarily eliminate liquidity. For example, the Chicago Board of Trade imposes
daily limits of 20(cent) on corn futures but imposes no daily limits on Treasury
bond futures. The Chicago Mercantile Exchange coordinates trading halts in the
S&P 500 index futures with trading halts of the stocks underlying the index and
imposes trading pauses or halts at moves of 5%, 10%, 15% and 20% in the value of
that index.

     When a position is established, "initial margin" is deposited. On most
exchanges, at the close of each trading day "variation margin," representing the
unrealized gain or loss on the open positions, is either credited to or debited
from a trader's account. If "variation margin" payments cause a trader's
"initial margin" to fall below "maintenance margin" levels, a "margin call" is
made, requiring the trader to deposit additional margin or have his position
closed out.

GLOSSARY

     The following glossary may assist the prospective investor in understanding
the terms used in this prospectus.

                                       65
AFFILIATE. An affiliate of a person means (a) any person directly or indirectly
owning, controlling or holding with power to vote 10% or more of the outstanding
voting securities of such person; (b) any person 10% or more of whose
outstanding voting securities are directly or indirectly owned, controlled or
held with power to vote, by such person; (c) any person, directly or indirectly,
controlling, controlled by or under common control of such person; (d) any
officer, director or partner of such person; or (e) if such person is an
officer, director or partner, any person for which such person acts in such
capacity.

CFTC. Commodity Futures Trading Commission.

COMMODITY. The term commodity refers to goods, wares, merchandise, produce and
in general everything that is bought and sold in commerce, including financial
instruments. Out of this large class, certain commodities have been selected as
appropriate vehicles for trading on various national and international exchanges
located in principal marketing and commercial areas. Among the commodities
currently so traded are wheat, corn, oats, hogs, sugar, cotton, lumber, copper,
silver, gold, T-Bills, stock indices and foreign currency.

COMMODITY BROKER. Any person who engages in the business of effecting
transactions in commodity contracts for the account of others or for his own
account.

COMMODITY INTEREST CONTRACT. A contract or option thereon providing for the
delivery or receipt at a future date of a specified amount and grade of a traded
commodity at a specified price and delivery point.

CONTINUOUS OFFERING. Offers and sales of Units after the initial offering
period.

DAILY PRICE FLUCTUATION LIMIT. The maximum permitted fluctuation (imposed by an
exchange and approved by the CFTC) in the price of a futures contract for a
given commodity that can occur on an exchange on a given day in relation to the
previous day's settlement price. Such maximum permitted fluctuation is subject
to change from time to time by the exchange.

DELIVERY. The process of satisfying a commodity futures contract by transferring
ownership of a specified quantity and grade of a cash commodity to the purchaser
thereof. Certain financial instrument futures contracts are not settled by
delivery of the financial instrument, but rather are settled in cash.

FORWARD CONTRACT. A contract relating to the purchase and sale of a physical
commodity for delivery at a future date. It is distinguished from a futures
contract in that it is not traded on an exchange and it contains terms and
conditions specifically negotiated by the parties.

MARGIN. Good faith deposits with a commodity broker to assure fulfillment of a
purchase or sale of a commodity futures contract. Commodity margins do not
involve the payment of interest.

NFA. National Futures Association.

                                       66
NET ASSETS. The total assets, less total liabilities, of the Fund determined on
the basis of generally accepted accounting principles. Net assets shall include
any unrealized profits or losses on open positions, and any fee or expense
accruing to the Fund.

NET ASSET VALUE OF A UNIT. Net assets divided by the aggregate number of Units
of limited and general partnership interest outstanding.

NET WORTH. The excess of total assets over total liabilities as determined by
generally accepted accounting principles. Net worth shall be determined
exclusive of home, home furnishings and automobiles.

OPTION. A contract giving the purchaser the right, as opposed to the obligation,
to acquire or to dispose of the commodity or commodity futures contract
underlying the option.

ORGANIZATIONAL AND OFFERING EXPENSES. All expenses incurred in connection with
and in preparing the Fund for registration and subsequently offering and
distributing it to the public, including, but not limited to, total underwriting
and brokerage discounts and commissions (including fees of the underwriter's
attorneys), expenses for printing, engraving, mailing, salaries of employees
while engaged in sales activity, charges of transfer agents, registrars,
trustees, escrow holders, depositories, experts, expenses of qualification of
the sale of its units under federal and state law, including taxes and fees,
accountants' and attorneys' fees.

POSITION LIMIT. The maximum number of futures contracts for a given commodity
that can be held or controlled at one time by one person or a group of persons
acting together. Such limitation is imposed by the CFTC or an exchange.

SETTLEMENT PRICE. The closing price for futures contracts in a particular
commodity established by the clearinghouse or exchange after the close of each
day's trading.

SPONSOR. Any person directly or indirectly instrumental in organizing the Fund
or any person who will manage or participate in the management of the Fund,
including a commodity broker who pays any portion of the organizational expenses
of the Fund, the general partner and any other person who regularly performs or
selects the persons who perform services for the Fund. Sponsor does not include
wholly independent third parties such as attorneys, accountants and underwriters
whose only compensation is for professional services rendered in connection with
the offering of the Units. The term "Sponsor" shall be deemed to include its
Affiliates.

SPOT CONTRACT. A cash market transaction in which the buyer and seller agree to
the immediate purchase and sale of a specific commodity lot, usually with a
two-day settlement.

SPREAD OR STRADDLE. A commodity trading strategy involving the simultaneous
buying and selling of contracts on the same commodity but involving different
delivery dates or markets and in which the trader expects to earn a profit from
a widening or narrowing of the difference between the prices of the two
contracts.

                                       67
SWAPS. Swap transactions generally involve contracts with a counterparty to
exchange a stream of payments computed by reference to a notional amount and the
price of the asset that is the subject of the swap. Swap contracts are not
guaranteed by an exchange or clearinghouse.

UNREALIZED PROFIT OR LOSS. The profit or loss that would be realized on an open
position if it were closed out at the current settlement price.

VALUATION DATE. The date as of which the net assets of the Fund are determined.

                                       68
EXHIBIT A

                       S&P MANAGED FUTURES INDEX FUND, LP

                          LIMITED PARTNERSHIP AGREEMENT

                                  MAY 13, 2003

                                       A-i
TABLE OF CONTENTS
PAGE
                                                                              ----
1.   FORMATION AND NAME                                                        A-1

2.   PRINCIPAL OFFICE; REGISTERED OFFICE AND AGENT                             A-1

     (a)  Principal Office                                                     A-1

     (b)  Registered Office and Agent                                          A-1

3.   BUSINESS                                                                  A-1

4.   TERM; DISSOLUTION; AND FISCAL YEAR                                        A-2

     (a)  Term                                                                 A-2

     (b)  Dissolution                                                          A-2

     (c)  Fiscal Year                                                          A-2

5.   NET WORTH OF GENERAL PARTNER                                              A-2

     (a)  Minimum Net Worth                                                    A-2

     (b)  Modifications                                                        A-2

6.   CAPITAL CONTRIBUTIONS; UNITS; AND DISTRIBUTIONS                           A-3

     (a)  General Partner Interest                                             A-3

     (b)  Initial Limited Partner                                              A-3

     (c)  Limited Partner Interests                                            A-3

     (d)  Distributions                                                        A-4

     (e)  No Certificates                                                      A-4

     (f)  Return of Capital Contributions                                      A-4

7.   ALLOCATION OF PROFITS AND LOSSES                                          A-4

     (a)  Capital Accounts                                                     A-4

     (b)  Allocations                                                          A-4

     (c)  Allocation of Profit and Loss for Federal Income Tax Purposes        A-5

8.   FEES AND EXPENSES                                                         A-6

     (a)  Management Fees                                                      A-6

     (b)  Administrative Expenses                                              A-7

     (c)  Upfront Selling Commission                                           A-7

     (d)  Organizational Expenses                                              A-8

     (e)  Reserves                                                             A-8

9.   MANAGEMENT OF THE PARTNERSHIP                                             A-8
A-ii
PAGE
                                                                              ----
(a)  Authority of the General Partner                                     A-8

     (b)  Agreements and Arrangements                                          A-8

     (c)  Prohibited Activities                                                A-8

     (d)  Freedom of Action                                                    A-9

     (e)  Tax Matters Partner                                                  A-9

10.  AUDITS AND REPORTS TO LIMITED PARTNERS                                   A-10

     (a)  Financial and Tax Information                                       A-10

     (b)  Inspection of Books and Records                                     A-10

     (c)  Calculation of Net Asset Value                                      A-10

     (d)  Notification                                                        A-10

     (e)  Taxes                                                               A-10

     (f)  Maintenance of Records                                              A-10

11.  ASSIGNABILITY OF UNITS                                                   A-11

     (a)  Notice of Transfer                                                  A-11

     (b)  Substitute Limited Partners                                         A-11

     (c)  Restrictions on Transfer                                            A-11

     (d)  Modification of Restrictions                                        A-12

     (e)  Costs of Transfer                                                   A-12

12.  REDEMPTIONS                                                              A-12

     (a)  Notice of Redemption; Redemption Price                              A-12

     (b)  Redemption Charges                                                  A-12

     (c)  Special Redemption Dates                                            A-12

     (d)  Payment                                                             A-13

     (e)  Required Redemption                                                 A-13

13.  OFFERING OF UNITS                                                        A-13

     (a)  Registration of Units                                               A-13

     (b)  ERISA Restrictions                                                  A-13

     (c)  Cancellation of Units                                               A-13

14.  SPECIAL POWER OF ATTORNEY                                                A-14

15.  WITHDRAWAL OF A PARTNER                                                  A-14
A-iii
PAGE
                                                                              ----
(a)  Withdrawal of General Partner                                       A-14

     (b)  Withdrawal of Limited Partners                                      A-15

16.  STANDARD OF LIABILITY; INDEMNIFICATION                                   A-15

     (a)  Liability of the General Partner                                    A-15

     (b)  Standard of Liability of the General Partner                        A-15

     (c)  Indemnification of the General Partner by the Partnership           A-15

     (d)  Securities Laws Violations                                          A-15

     (e)  Insurance                                                           A-16

     (f)  Advances                                                            A-16

     (g)  Indemnification of the Partnership by the Limited Partners          A-16

     (h)  Limited Liability of Limited Partners                               A-16

17.  AMENDMENTS; MEETINGS                                                     A-16

     (a)  Amendments with Consent of the General Partner                      A-16

     (b)  Amendments and Actions without the Consent of the General Partner   A-17

     (c)  Methods of Limited Partner Consent                                  A-17

     (d)  Names and Addresses of Limited Partners                             A-17

     (e)  Meetings                                                            A-18

18.  BENEFIT PLAN INVESTORS                                                   A-18

19.  NOT A PUBLICLY TRADED PARTNERSHIP                                        A-19

20.  GOVERNING LAW                                                            A-19

21.  MISCELLANEOUS                                                            A-19

     (a)  Notices                                                             A-19

     (b)  Binding Effect                                                      A-19

     (c)  Captions                                                            A-19

     (d)  Severability                                                        A-19

     (e)  Entire Agreement                                                    A-19

     (f)  No Waivers                                                          A-20

     (g)  Priority Among Limited Partners                                     A-20

22.  DEFINITIONS                                                              A-20
A-iv
S&P MANAGED FUTURES INDEX FUND, LP

                          LIMITED PARTNERSHIP AGREEMENT

                This LIMITED PARTNERSHIP AGREEMENT (this "Agreement") of S&P
MANAGED FUTURES INDEX FUND, LP (the "Partnership") is made and entered into as
of this 13th day of May, 2003 by and among REFCOFUND HOLDINGS, LLC, a Delaware
limited liability company, as the general partner (the "General Partner"),
Philip Silverman, the initial limited partner (the "Initial Limited Partner"),
and each other party who shall execute this Agreement, by counterpart or by
attorney-in-fact (individually, a "Limited Partner" and, collectively, the
"Limited Partners" and, together with the General Partner, the "Partners").

                              W I T N E S S E T H:

                WHEREAS, the parties hereto desire to form the Partnership for
purpose of seeking investment returns that substantially track the performance
of the Standard &Poor's(R) Managed Futures Index.

                NOW THEREFORE, the parties hereto agree as follows:

                1.      FORMATION AND NAME.

                The parties hereto hereby form a limited partnership under the
Delaware Revised Uniform Limited Partnership Act, as amended from time to time
(the "Act"). The name of the limited partnership is S&P Managed Futures Index
Fund, LP. The General Partner shall execute and file a Certificate of Limited
Partnership in accordance with the Act and shall execute, file, record and
publish, as appropriate, such amendments, restatements and other documents as
are or become necessary or advisable as determined by the General Partner in its
sole discretion.

                2.      PRINCIPAL OFFICE; REGISTERED OFFICE AND AGENT.

                (a)     PRINCIPAL OFFICE. The address of the principal office of
the Partnership is c/o RefcoFund Holdings, LLC, 550 West Jackson, Suite 1300,
Chicago, Illinois 60661, telephone: (312) 788-2000, or such other place as the
General Partner may from time to time designate by notice to the Limited
Partners. The Partnership may maintain offices at such other place or places
within or outside the State of Delaware as the General Partner deems advisable.

                (b)     REGISTERED OFFICE AND AGENT. The address of the
registered office of the Partnership in the State of Delaware is located at 1209
Orange Street, Wilmington, Delaware 19801, and the registered agent for service
of process on the Partnership in the State of Delaware at such registered office
is The Corporation Trust Company.

                3.      BUSINESS.

                The Partnership's business and purpose is to seek investment
returns that substantially track the performance of the Standard &Poor's(R)
Managed Futures Index. The Partnership shall have the power to engage in all
activities which are necessary, suitable, desirable, convenient or incidental to
the accomplishment to the foregoing business and purpose.

                                       A-1
4.      TERM; DISSOLUTION; AND FISCAL YEAR.

                (a)     TERM. The term of the Partnership shall commence on the
day on which the Certificate of Limited Partnership was filed with the Secretary
of State of the State of Delaware pursuant to the provisions of the Act and
shall end upon the first to occur of the following: (i) receipt by the General
Partner of an election to dissolve the Partnership at a specified time by the
Limited Partners owning Units representing more than fifty percent (50%) of the
total number of outstanding Units then owned by Limited Partners, notice of
which is sent by registered mail to the General Partner not less than 90 days
prior to the effective date of such dissolution; (ii) the withdrawal,
resignation, removal, bankruptcy, insolvency or dissolution of the General
Partner or any other event that causes the General Partner to cease to be a
general partner unless (A) at the time of such event there is at least one
remaining general partner of the Partnership who carries on the business of the
Partnership or (B) within 120 days after such event Limited Partners owning at
least fifty percent (50%) of the total number of outstanding Units then owned by
Limited Partners agree to continue the business of the Partnership and to the
appointment, effective as of the date of such event, of one or more general
partners of the Partnership pursuant to the terms of SECTION 17; and (iii) any
other event which shall make it unlawful for the existence of the Partnership to
be continued or shall require termination of the Partnership.

                (b)     DISSOLUTION. Upon the dissolution of the Partnership,
the assets of the Partnership shall be distributed: (i) first, to creditors,
including any Partners who may be creditors, to the extent otherwise permitted
by law, in satisfaction of liabilities of the Partnership (whether by payment or
the making of reasonable provision for payment thereof) other than liabilities
for which reasonable provision for payment has been made and liabilities for
distributions to Partners; (ii) second, to Partners and former Partners in
satisfaction of liabilities for distributions; and (iii) third, to Partners
first for the return of their contributions and second respecting their
partnership interests, in the proportions in which the Partners share in
distributions. Following distribution of the assets of the Partnership, a
Certificate of Cancellation for the Partnership shall be filed as required by
the Act.

                (c)     FISCAL YEAR. The fiscal year of the Partnership shall
begin on January 1 of each year and end on the following December 31.

                5.      NET WORTH OF GENERAL PARTNER.

                (a)     MINIMUM NET WORTH. At all times after termination of the
Initial Offering Period, so long as it remains general partner of the
Partnership, the General Partner will maintain a Net Worth of not less than the
greater of (a) $50,000 or (b) the sum of five percent (5%) of the total capital
contributions to the Partnership (including capital contributions by the General
Partner) and to all other entities of which it is general partner and five
percent (5%) of the Units being offered. In no event shall the General Partner
be required to maintain a Net Worth in excess of $1,000,000.

                (b)     MODIFICATIONS. The requirements of SECTION 5(a) may be
modified by the General Partner if the General Partner obtains an opinion of
counsel for the Partnership that a proposed modification will not adversely
affect the classification of the Partnership as a

                                       A-2
partnership for federal income tax purposes and will not violate any state
securities or blue sky laws to which the Partnership may be subject from time to
time.

                6.      CAPITAL CONTRIBUTIONS; UNITS; AND DISTRIBUTIONS.

                (a)     GENERAL PARTNER INTEREST. The General Partner will be
required to make and maintain a cash investment in the Partnership equal to the
greater of (i) one percent (1%) of the total capital contributions to the
Partnership or (ii) $25,000. The General Partner may withdraw any interest it
may have as a general partner in excess of such amount. Any interest in the
Partnership acquired by the General Partner or any of its principals or their
respective Affiliates will be non-voting, and will not be considered outstanding
for purposes of determining whether the majority approval of the outstanding
Units has been obtained.

                (b)     INITIAL LIMITED PARTNER. The capital contribution of the
initial Limited Partner shall be $1, payable on formation of the Partnership.
The interest of the Initial Limited Partner shall terminate on admission of any
other person as a Limited Partner and his capital contribution shall be
returned.

                (c)     LIMITED PARTNER INTERESTS. Interests in the Partnership,
other than those of the General Partner, shall be evidenced by units of limited
partnership interest ("Units"). In accordance with the Prospectus, the General
Partner, on behalf of the Partnership, shall sell, or cause to be sold, Units to
Persons desiring to become Limited Partners.

                (i)     During the Initial Offering Period, a subscriber must
        contribute $1,000 per Unit and purchase at least ten Units, making its
        initial investment to the capital of the Partnership at least $10,000;
        provided, that a subscriber that is an individual retirement account
        must purchase at least three Units, making its initial investment to the
        capital of the Partnership at least $3,000. During the Initial Offering
        Period, a subscriber who has previously submitted a Subscription
        Agreement to purchase Units may make additional investments of at least
        $2,500 to purchase Units at $1,000 per Unit. The Limited Partners'
        respective capital contributions to the Partnership shall be as shown on
        the books and records of the Partnership. Units will be sold in
        fractions calculated to three decimal places.

                (ii)    During the Initial Offering Period, all subscriptions
        received will be held in an interest bearing escrow account with an
        escrow agent selected by the General Partner. The General Partner must
        receive and accept subscriptions for at least 30,000 Units prior to the
        termination of the Initial Offering Period to break escrow and commence
        trading. If subscriptions for at least 30,000 Units have not been
        received and accepted by the General Partner prior to the termination of
        the Initial Offering Period, this Agreement shall terminate, the full
        amount of all subscriptions held in escrow, plus interest, will be
        returned to the subscribers within five Business Days after the end of
        the Initial Offering Period and the Certificate of Limited Partnership
        shall be cancelled. If subscriptions for at least 30,000 Units have been
        received and accepted by the General Partner prior to the termination of
        the Initial Offering Period, the full amount of all subscriptions held
        in escrow will be contributed to the Partnership, the interest earned on

                                       A-3
such subscriptions shall be treated as interest earned by the
        Partnership and the Partnership shall commence trading operations.

                (iii)   After the termination of the Initial Offering Period,
        Units will be continuously offered for sale as of the first Business Day
        of each month at their Net Asset Value. A subscriber must make an
        initial investment to the capital of the Partnership of at least
        $10,000; provided, that a subscriber that is an individual retirement
        account must make its initial investment to the capital of the
        Partnership of at least $3,000. An existing Limited Partner may make
        additional investments of at least $2,500. Subscription Agreements must
        be received at least five Business Days prior to the first Business Day
        of each month in order to be accepted and the related cleared funds must
        be received at least three Business Days prior to the first Business Day
        of each month in order for subscriptions to be accepted. Funds will be
        held in the Partnership's escrow or bank account until the first
        Business Day of the month beginning at least five Business Days after
        receipt of the related Subscription Agreement. Interest earned on funds
        submitted prior to the first Business Day of the month will be interest
        earned by the Partnership. If a subscription is rejected, the related
        funds held in the Partnership's escrow or bank account, plus interest,
        will be returned to the subscriber promptly following the end of the
        month in which the subscription was rejected.

                (d)     DISTRIBUTIONS. The General Partner shall have sole
discretion in determining what distributions (other than on redemption of
Units), if any, the Partnership will make to the Partners. Distributions shall
be PRO RATA in accordance with the respective capital accounts of the Partners.

                (e)     NO CERTIFICATES. No certificates or other evidences of
Unit ownership will be issued. All subscribers who have been accepted by the
General Partner shall be deemed admitted as Limited Partners at the time they
are reflected as such on the books and records of the Partnership.

                (f)     RETURN OF CAPITAL CONTRIBUTIONS. No Limited Partner or
assignee shall have any right to demand the return of his or her capital
contribution or any profits added thereto, except through redeeming Units or
upon dissolution of the Partnership, in each case as provided herein. In no
event shall a Limited Partner or assignee be entitled to demand or receive
property other than cash.

                7.      ALLOCATION OF PROFITS AND LOSSES.

                (a)     CAPITAL ACCOUNTS. A capital account shall be established
for each Partner. The initial balance of each Partner's capital account shall be
the amount of the initial capital contribution to the Partnership made by such
Partner.

                (b)     ALLOCATIONS. As of the close of business on the last day
of each month, the following determinations and allocations shall be made:

                (i)     The Net Assets of the Partnership will be determined
        without regard to Management Fees or Administration Fees.

                                       A-4
(ii)    Management Fees, if any, shall then be charged against
        Net Assets.

                (iii)   Administration Fees, if any, shall then be charged
        against Net Assets.

                (iv)    Any increase or decrease in the Partnership's Net Assets
        (after the adjustments determined pursuant to Paragraphs (i) through
        (iii) above), as compared to the last such determination of Net Assets,
        shall then be credited or charged to the capital accounts of each
        Partner in the ratio that the balance of each capital account bears to
        the balance of all capital accounts.

                (v)     The amount of any distributions to a Partner and any
        amount paid to a Partner on redemption of Units shall be charged to the
        appropriate capital account. The General Partner does not intend to make
        any distributions.

                (c)     ALLOCATION OF PROFIT AND LOSS FOR FEDERAL INCOME TAX
PURPOSES. As of the end of each fiscal year, income and expense and capital gain
or capital loss of the Partnership shall be allocated among the Partners
pursuant to the following provisions for federal income tax purposes:

                (i)     For federal income tax purposes, items of ordinary or
        capital income, gain, loss, deduction or credit for each fiscal year
        shall be allocated among the Partners in such manner as to reflect as
        nearly as possible the amounts credited or charged to each Partner's
        capital account.

                (ii)    Unrealized ordinary or capital gains or losses from
        prior periods that have been credited or charged to a Partner's capital
        account shall, when realized, be allocated as nearly as possible for
        federal income tax purposes to reflect such prior allocation to a
        Partner's capital account.

                (iii)   Allocations hereunder shall be made in accordance with
        the regulations promulgated by the Department of the Treasury under
        Section 704(b) and Section 704(c) of the Internal Revenue Code of 1986,
        as amended (the "Code"), and, in the case of allocations made in
        accordance with SECTION 7(d)(ii), may be made in accordance with the
        provisions in Temporary Treasury Regulation 1.704-3(e)(3) (or successor
        regulations) for "securities partnerships" to the extent the Partnership
        constitutes a "securities partnership" within the meaning of such
        provisions.

                (iv)    Notwithstanding SECTION 7(c)(ii), to the extent
        permitted by the regulations (or successor regulations) referred to in
        SECTION 7(c)(iii), allocations of gains that have been realized up to
        the time a Partner has redeemed all or any portion of his limited or
        general partnership interest may be allocated first to each Partner who
        has redeemed any such interest during the year to the extent that the
        amount the Partner received on redemption exceeds the amount of the
        Partner's tax basis attributable to the interest redeemed, and
        allocations of losses that have been realized up to the time a Partner
        has redeemed all or any portion of his limited or general partnership
        interest may be allocated first to each Partner who has redeemed any
        such interest during the year to the extent that the amount of the
        Partner's tax basis attributable to the interest redeemed exceeds the
        amount the Partner received on redemption. If more than one Partner
        receives a special

                                       A-5
allocation described above, the allocation to each Partner may be made
        in proportion to the ratio that such Partner's tax basis bears to the
        total tax basis for all interests redeemed at that time.

                (v)     Any Partner who transfers or assigns Units during any
        fiscal year shall be allocated such Partner's proportionate share of the
        capital gain or capital loss and ordinary income or loss realized by the
        Partnership through the end of the month in which notice of such
        transfer or assignment is given to the General Partner in accordance
        with SECTION 11, and the transferee or assignee of such Units shall be
        allocated its proportionate share of the capital gain or capital loss
        and ordinary income or loss realized by the Partnership commencing with
        the month next succeeding the month in which notice of the transfer or
        assignment is given.

                (vi)    For purposes of this SECTION 7(c), "capital gain" or
        "capital loss" shall mean gain or loss characterized as gain or loss
        from the sale or exchange of a capital asset by the Code, including gain
        or loss required to be taken into account pursuant to Section 1256
        thereof.

                (vii)   Capital gain and capital loss shall be allocated
        separately and not netted.

                (viii)  The allocation of profit and loss for federal income tax
        purposes set forth herein allocates taxable profit and loss among the
        Partners in the ratio and to the extent that financial profit and loss
        are allocated to such Partners and so as to eliminate, to the maximum
        practicable extent, any disparity between a Partner's capital account
        and its tax account, consistent with principles set forth in Section 704
        of the Code, including a "Qualified Income Offset."

                (ix)    The allocations of profit and loss to the Partners in
        respect of their Units shall not exceed the allocations permitted under
        Subchapter K of the Code, as determined by the General Partner, whose
        determination shall be binding.

                (x)     The method for allocating gains and loses for federal
        tax purposes may be changed by the General Partner upon receipt of
        advice from counsel to the Partnership that such change is required by
        applicable law or regulations.

                8.      FEES AND EXPENSES.

                (a)     MANAGEMENT FEES. The Partnership shall pay to the
General Partner a monthly management fee (the "Management Fee") equal to 0.3125%
of the Partnership's month-end Net Assets (3.75% per annum). Management Fees,
accrued as well as paid, shall reduce Net Asset Value. The Management Fees,
Administrative Fees and customary and routine administrative expenses of the
Partnership, other than the actual cost of legal and audit services and
extraordinary expenses ("Customary Administrative Expenses"), may not exceed
0.5% of the Partnership's month-end Net Assets (6% per annum). If necessary, the
General Partner shall reimburse the Partnership, no less frequently than
quarterly, for the amount by which the Management Fees, Administrative Fees and
Customary Administrative Expenses exceed such limitation.

                                       A-6
(i)     The General Partner shall pay all expenses incurred in
        connection with the organization of the Partnership and the initial
        offering of Units. The organization and initial offering expenses shall
        be paid by the General Partner out of the Management Fee. The
        organizational and offering expenses, plus the Upfront Selling
        Commissions and other commissions and compensation for sales of Units,
        may not exceed 15% of the total capital contributions of the Partners.

                (ii)    Beginning in the 13th month following the purchase of
        any Units, the General Partner shall pay to the selling agent of such
        Units a monthly trailing commission equal to 0.1875% (2.25% per annum)
        of the Partnership's month-end Net Assets per Unit multiplied by the
        number of Units placed by such selling agent. The monthly trailing
        commissions shall be paid by the General Partner from the Management
        Fee.

                (b)     ADMINISTRATIVE EXPENSES.

                (i)     The Partnership shall pay to the General Partner a
        monthly administrative fee (the "Administrative Fees") equal to 0.0208%
        of the Partnership's month-end Net Assets (0.25% per annum).
        Administrative Fees, accrued as well as paid, shall reduce Net Asset
        Value. The Administrative Fees, Management Fees and Customary
        Administrative Fees may not exceed 0.5% of the Partnership's month-end
        Net Assets (6% per annum). If necessary, the General Partner shall
        reimburse the Partnership, no less frequently than quarterly, for the
        amount by which the Administrative Fees, Management Fees and Customary
        Administrative Expenses exceed such limitation.

                (ii)    The Partnership shall be billed for and shall pay all of
        its administrative expenses, including all Customary Administrative
        Expenses, legal and audit services expenses and extraordinary expenses.
        The General Partner shall pay and shall not allocate to the Partnership
        any of its indirect expenses incurred in connection with the
        administration of the Partnership, including salaries, rent, travel
        expenses and such other items generally falling under the category of
        overhead expenses, except for organizational and offering expenses.

                (iii)   The Partnership shall pay its pro rata share of the fees
        and expenses of the Index SPC. The fees and expenses of the Index SPC
        include (A) management fees and incentive fees paid to the managers of
        the Index SPC; (B) fees paid to the Index SPC's administrator to
        administer the Index SPC; (C) brokerage commissions and other
        transaction-related expenses of the Index SPC; (D) accounting, audit and
        legal expenses and custodial fees of the Index SPC; and (E) any
        extraordinary expenses of the Index SPC.

                (c)     UPFRONT SELLING COMMISSION. The General Partner shall
pay to each selling agent of any Units an upfront selling commission equal to
3.00% of the subscription amount for such Units (the "Upfront Selling
Commissions"). The Partnership shall reimburse the General Partner for all
Upfront Selling Commissions monthly at a rate of 0.0625% of the Partnership's
month-end Net Assets (0.75% per annum) plus interest on such amount; provided,
that the Partnership shall have no obligation to reimburse the General Partner
for any amount in

                                       A-7
excess of the aggregate amount of Upfront Selling Commissions paid by the
General Partner to the selling agents plus interest on such amount. Upfront
Selling Commissions, plus the organizational and offering expenses and other
commissions and compensation for sales of Units, may not exceed 15% of the total
capital contributions of the Partners.

                (d)     ORGANIZATIONAL EXPENSES. The Partnership shall pay all
expenses incurred in connection with the ongoing offering of Units. The
organizational and offering expenses, plus the Upfront Selling Commissions and
other commissions and compensation for sales of Units, may not exceed 15% of the
total capital contributions of the Partners.

                (e)     RESERVES. The General Partner may create, in its sole
and absolute discretion, appropriate reserves, which shall be accrued and
charged against the Net Assets for contingent liabilities, if any, as of the
date any such contingent liability becomes known to the General Partner. Such
reserves shall reduce Net Asset Value for all purposes.

                9.      MANAGEMENT OF THE PARTNERSHIP.

                (a)     AUTHORITY OF THE GENERAL PARTNER. The General Partner
shall control, conduct and manage the business of the Partnership, including the
investment of the funds of the Partnership. The General Partner may take such
actions on behalf of the Partnership as the General Partner deems, in its sole
discretion, necessary or desirable to manage the business of the Partnership.
The General Partner shall have sole discretion in determining what distributions
of profits and income, if any, shall be made to the Partners (subject to the
allocation provisions hereof), shall execute various documents on behalf of the
Partnership and the Limited Partners and shall supervise the liquidation of the
Partnership if an event causing dissolution of the Partnership occurs.

                (b)     AGREEMENTS AND ARRANGEMENTS. The Partnership and the
General Partner on behalf of the Partnership may enter into any agreements or
arrangements specifically described in or contemplated by the Prospectus or
otherwise as the General Partner deems, in its sole discretion, necessary or
desirable to manage the business of the Partnership without any further act,
approval or vote of any Limited Partner other than the General Partner.

                (c)     PROHIBITED ACTIVITIES.

                (i)     The funds of the Partnership will not be commingled with
        the funds of any other Person (deposit of funds with a commodity broker,
        clearinghouse or forward dealer, entering into joint ventures or
        partnerships, or investing assets in the Index SPC or any other
        collective investment vehicle shall not be deemed to constitute
        "commingling" for these purposes).

                (ii)    The Partnership shall make no loans to any Person. The
        General Partner shall make no loans to the Partnership.

                (iii)   The Partnership shall not employ the trading technique
        commonly known as "pyramiding," which means using unrealized profit on
        existing positions as margin for the purchase or sale of additional
        positions in the same or related commodities. The General Partner taking
        into account the Partnership's open trade equity on existing

                                       A-8
positions in determining generally whether to acquire additional
        commodity positions on behalf of the Partnership will not be considered
        to be engaging in "pyramiding."

                (iv)    No Person may receive, directly or indirectly, any
        advisory, management or incentive fees, or any profit-sharing allocation
        from joint ventures, partnerships or similar arrangements in which the
        Partnership participates, for investment advice or management who shares
        or participates in any commodity brokerage commissions paid by the
        Partnership; no broker may pay, directly or indirectly, rebates or
        give-ups to any trading advisor or manager or to the General Partner or
        any of their respective Affiliates; and such prohibitions may not be
        circumvented by any reciprocal business arrangements.

                (v)     Neither the General Partner nor any Affiliate of the
        General Partner shall directly or indirectly pay or award any
        commissions or other compensation to any Person engaged to sell Units or
        to give investment advice to a potential Limited Partner; provided, that
        neither the General Partner nor any Affiliate of the General Partner is
        prohibited from paying to a registered broker-dealer or other properly
        licensed Person normal sales commissions for selling Units.

                (vi)    The maximum period covered by any contract entered into
        by the Partnership shall not exceed one year (although such contracts
        may be automatically renewable for successive one year periods until
        terminated). Any agreements between the Partnership and the General
        Partner or any of its Affiliates shall be terminable by the Partnership
        upon no more than 60 days' written notice.

                (vii)   No material change in the basic investment policies or
        structure of the Partnership shall be made without the approval of
        Limited Partners owning Units representing more than fifty percent (50%)
        of the total outstanding Units owned by Limited Partners as of a record
        date established for a vote thereon.

                (viii)  The General Partner may not assign its general liability
        interest or its obligation to direct the trading of the Partnership
        without the consent of each Limited Partner.

                (d)     FREEDOM OF ACTION. The General Partner is engaged in,
and may in the future engage in, other business activities and shall not be
required to refrain from any other activity nor forego any profits from any such
activity, whether or not in competition with the Partnership. Neither the
Partnership nor any other Partner shall have any right by virtue of this
Agreement in or to The General Partner shall devote to the Partnership such time
as the General Partner may deem advisable to the conduct of the Partnership's
business and affairs.

                (e)     TAX MATTERS PARTNER. The General Partner is hereby
authorized to perform all duties imposed by Sections 6221 through 6232 of the
Code on the General Partner as the "tax matters partner" of the Partnership. The
General Partner may, in its sole discretion, make a mixed straddle account
election on behalf of the Partnership and elections under Sections 988, 1092 and
1256 of the Code on behalf of the Partnership.

                                       A-9
10.     AUDITS AND REPORTS TO LIMITED PARTNERS.

                (a)     FINANCIAL AND TAX INFORMATION. The Partnership's books
shall be audited annually by an independent certified public accountant selected
by the General Partner. The Partnership will use its best efforts to cause each
Limited Partner to receive (i) within 90 days after the end of each fiscal year,
an "Annual Report" as required by CFTC Regulation 4.22(c) and such tax
information as is necessary for a Limited Partner to complete his or her federal
income tax return and (ii) ) within 30 days of the end of each month, a "Monthly
Account Statement" as required by CFTC Regulation 4.22(a). The General Partner
will comply with the reporting requirements of CFTC Regulation 4.22 with respect
to the Partnership.

                (b)     INSPECTION OF BOOKS AND RECORDS. Limited Partners or
their duly authorized representatives may inspect the books and records of the
Partnership during normal business hours upon reasonable written notice to the
General Partner and may obtain copies of such records upon payment of reasonable
reproduction costs; provided, that upon request by the General Partner, the
requesting Limited Partner shall represent that the inspection and/or copies of
such records will not be used for commercial purposes unrelated to such Limited
Partner's interest as an investor in the Partnership.

                (c)     CALCULATION OF NET ASSET VALUE. The General Partner
shall calculate the Net Assets of the Partnership daily and shall make the
approximate Net Asset Value available upon the request of a Limited Partner for
a purpose reasonably related to such Limited Partner's interest as a limited
partner in the Partnership.

                (d)     NOTIFICATION. The General Partner will send written
notice to each Limited Partner within seven Business Days of the occurrence of:

                (i)     any decline in the Net Asset Value per Unit to less than
        fifty percent (50%) of such Net Asset Value as of the previous month-end
        valuation date; and

                (ii)    any other material change affecting the compensation of
        any party.

Each such notification shall set forth the Limited Partners' voting and
redemption rights and a description of any material effect such change may have
on the Units.

                (e)     TAXES. The General Partner shall prepare or cause to be
prepared and shall file on or before the due date (or any extension thereof) any
federal, state or local tax returns required to be filed by the Partnership. The
General Partner shall cause the Partnership to pay any taxes payable by the
Partnership; provided, that such taxes need not be paid if the General Partner
or the Partnership are in good faith and by appropriate legal proceedings
contesting the validity, applicability or amount thereof, and such contest does
not materially endanger any right or interest of the Partnership.

                (f)     MAINTENANCE OF RECORDS. The General Partner shall
maintain and preserve all required records relating to the Partnership for a
period of not less than six years from the receipt of such records.

                                      A-10
11.     ASSIGNABILITY OF UNITS.

                (a)     NOTICE OF TRANSFER. Each Limited Partner expressly
agrees that he or she will not assign, transfer or dispose of, by gift or
otherwise, any of his or her Units or any part or all of his or her right, title
and interest in the capital or profits of the Partnership without giving fifteen
days' prior written notice to the Partnership and the General Partner. Such
written notice shall specify the name and residence address of the assignee, the
date of assignment, shall include a statement by the assignee that he or she
agrees to give the above-described written notice to the General Partner upon
any subsequent assignment and shall be signed by the assignor and assignee. If
an assignment, transfer or disposition occurs by reason of the death of a
Limited Partner, such written notice may be given by the duly authorized
representative of the estate of the Limited Partner and shall be supported by
such proof of legal authority and valid assignment as may be reasonably
requested by the General Partner. No assignment, transfer or disposition by a
Limited Partner of Units or of any part of his or her right, title and interest
in the capital or profits of the Partnership shall be effective against the
Partnership or the General Partner until the first day of the month following
the month in which the Partnership and the General Partner receive such written
notice of the assignment, and the General Partner shall not be required to give
any assignee any rights hereunder prior to such time. The General Partner may,
in its sole discretion, waive any such notice or any defect therein. The General
Partner will send written confirmation to both the transferor and transferee of
Units that the transfer in question has been duly recorded on the Partnership's
books and records.

                (b)     SUBSTITUTE LIMITED PARTNERS. No assignee may become a
substituted Limited Partner, except with the consent of the General Partner and
upon execution and delivery of an instrument of transfer in form and substance
satisfactory to the General Partner; provided, that the General Partner may
withhold such consent only if it is necessary (i) to prevent the Partnership
from being treated as a publicly traded partnership or (ii) to preserve the tax
status of the Partnership or the characterization or treatment of income or loss
and such restriction is supported by an opinion of counsel. If the General
Partner withholds consent, an assignee shall not become a substituted Limited
Partner, and shall not have any of the rights of a Limited Partner, except that
the assignee shall be entitled to receive that share of capital and profits and
shall have that right of redemption to which his or her assignor would otherwise
have been entitled. A substituted Limited Partner shall have all of the rights
and powers and shall be subject to all of the restrictions and liabilities of
Limited Partner of the Partnership. A substituted Limited Partner shall be
liable for the obligations of his or her assignor to make contributions to the
Partnership, but shall not be liable for the obligations of his assignor under
the Act to return distributions received by the assignor; provided, that a
substituted Limited Partner shall not be obligated for liabilities unknown to
him or her at the time he or she became a substituted Limited Partner and which
could not be ascertained from this Agreement. An assigning Limited Partner shall
remain liable to the Partnership as provided in the Act, regardless of whether
his or her assignee becomes a substituted Limited Partner. Each Limited Partner
agrees that any assignee may become a substituted Limited Partner without need
of the further act or approval of any Limited Partner.

                (c)     RESTRICTIONS ON TRANSFER. No assignment, transfer or
disposition of any Units shall be made in violation of any applicable federal or
state securities laws. The General Partner will not permit the assignment,
transfer or disposition of Units where, after the

                                      A-11
assignment, transfer or disposition, either the Limited Partner or the assignee
would hold less than the minimum number of Units equivalent to an initial
minimum purchase (as stated in the then-current Prospectus), except for
assignments, transfers or dispositions by gift, inheritance, intrafamily
transfers, family dissolutions or transfers to Affiliates of the Limited
Partner. The General Partner will not permit the assignment, transfer or
disposition of Units where the General Partner has received an opinion of
counsel that such assignment, transfer or disposition would cause the
Partnership to be treated as a publicly traded partnership.

                (d)     MODIFICATION OF RESTRICTIONS. The General Partner shall
eliminate or modify any restriction on assignment or substitution at such time
as the General Partner receives an opinion of counsel that such restriction is
no longer necessary.

                (e)     COSTS OF TRANSFER. The assignor of a Unit shall bear the
costs related to such assignment or transfer. Certificates representing Units
may bear appropriate legends to such effect.

                12.     REDEMPTIONS.

                (a)     NOTICE OF REDEMPTION; REDEMPTION PRICE. Each Limited
Partner and each assignee of Units of whom the General Partner has received
written notice pursuant to SECTION 11 may redeem all or any of his or her Units
effective as of the close of business on the last Business Day of any calendar
month by delivering to the General Partner a written request for redemption in a
form specified by the General Partner at least 10 Business Days prior to the
date of redemption; provided, that all liabilities, contingent or otherwise, of
the Partnership (including the Partnership's allocable share of the liabilities,
contingent or otherwise, of any entities in which the Partnership invests),
except any liability to Limited Partners on account of their capital
contributions, have been paid or there remains property of the Partnership
sufficient to pay them. All redemptions will be made at the Net Asset Value of
the redeemed Units as of the effective date of the redemption.

                (b)     REDEMPTION CHARGES. Limited Partners who redeem Units on
or prior to the end of the first year after such Units are sold will be assessed
a redemption charge (the "Redemption Charge") equal to 3% of the Net Asset Value
of the Units redeemed as of the date of redemption. Units purchased by the same
Limited Partner on different closing dates will be treated on a "first-in,
first-out" basis for purposes of calculating whether they have been held for a
year. All Redemption Charges will be paid to the General Partner.

                (c)     SPECIAL REDEMPTION DATES. The General Partner may permit
some or all Limited Partners to redeem Units as of dates other the last Business
Day of any calendar month upon written notice to the Limited Partners and
assignees of whom the General Partner has received written notice pursuant to
SECTION 11. The General Partner shall declare such a special redemption date
whenever the Partnership experiences a decline in Net Asset Value per Unit as of
the close of business on any Business Day to less than 50% of the Net Asset
Value per Unit on the last valuation date. The Partnership shall suspend trading
during such special redemption period.

                                      A-12
(d)     PAYMENT. Redemption payments will be made (by mailing a
check or crediting a customer securities account) within 10 Business Days after
the redemption date. The General Partner will make arrangements with selling
agents who so request to pay redemptions through crediting Limited Partners'
customer securities accounts with such selling agents. Redemptions may be
temporarily suspended if, in the General Partner's judgment, additional
redemptions would impair the ability of the Partnership to meet its objectives
or if a market disruption results in the closing of financial markets in the
United States or abroad and it is impossible or impracticable to value the Units
or liquidate Partnership assets. In addition, the right of a Partner to receive
a redemption payment further depends on the Partnership's ability to obtain the
necessary funds by redeeming its investment in the Index SPC, which is subject
to certain limits. Under these limits, redemptions of interests in the Index SPC
by the Partnership as of any particular redemption date cannot exceed 20% of the
Partnership's investment in the Index SPC as of that date unless the Index SPC
has received at least 15 business days' notice prior to a redemption date. The
General Partner will notify the Limited Partners in writing if redemptions are
suspended.

                (e)     REQUIRED REDEMPTION. The General Partner may require a
Limited Partner to redeem all or a portion of such Limited Partner's Units if
the General Partner considers doing so to be desirable for the protection of the
Partnership, and will use its best efforts to do so to the extent necessary to
prevent the Partnership from being deemed to hold "plan assets" under the
provisions of the Employee Retirement Income Security Act of 1974, as amended
("ERISA"), or Section 4975 of the Code with respect to any "employee benefit
plan" as defined in and subject to ERISA or with respect to any "plan" as
defined in Section 4975 of the Code.

                13.     OFFERING OF UNITS.

                (a)     REGISTRATION OF UNITS. The General Partner on behalf of
the Partnership shall (i) cause to be filed from time to time a Registration
Statement, and such amendments thereto as the General Partner may deem
advisable, with the Securities and Exchange Commission for the registration and
ongoing public offering of Units, (ii) use its best efforts to qualify Units for
sale from time to time under the securities laws of such states of the United
States or other jurisdictions as the General Partner shall deem necessary or
advisable and (iii) take such action with respect to the matters described in
(i) and (ii) as the General Partner shall deem necessary or advisable.

                (b)     ERISA RESTRICTIONS. The General Partner shall not accept
any subscriptions for Units if doing so would cause the Partnership to be
considered to hold "plan assets" for any purpose of ERISA or Section 4975 of the
Code with respect to any "employee benefit plan" as defined in and subject to
ERISA or with respect to any "plan" as defined in Section 4975 of the Code.

                (c)     CANCELLATION OF UNITS. All Units subscribed for upon
transfer of funds from a subscriber's account (or receipt of a check in the
subscription amount) are issued subject to the collection of the funds
represented by such transfer (or check). In the event that a transfer (or check)
of a subscriber is not honored, the Partnership shall cancel the Units issued to
such subscriber in consideration of such dishonored transfer (or check);
provided, that the General Partner may waive such cancellation upon receipt of
what it believes to be reasonable assurances

                                      A-13
that such transfer (or check) will be honored or replaced by another transfer
(or check) which will be honored within 10 Business Days of original dishonor.
Any losses or profits sustained by the Partnership in connection with its
trading allocable to cancelled Units shall not be a liability of the General
Partner but shall be deemed an increase or decrease in the Net Assets of the
Partnership and allocated as described in SECTION 7. Each subscriber agrees to
reimburse the Partnership for any expense or losses incurred in connection with
any such cancellation of Units issued to such subscriber.

                14.     SPECIAL POWER OF ATTORNEY.

                Each Limited Partner by virtue of having purchased or otherwise
acquired Units does hereby irrevocably constitute and appoint the General
Partner and each officer of the General Partner, with full power of
substitution, as his or her true and lawful attorney-in-fact, in his or her
name, place and stead, to (a) execute, acknowledge, swear to, deliver, record
and file: (i) this Agreement, including any amendments and/or restatements
hereto duly adopted as provided herein; (ii) all other agreements described
herein or in the Prospectus, including any amendments hereto and thereto, and
(iii) all certificates, documents and other instruments that the General Partner
deems appropriate to qualify or continue the Partnership in the State of
Delaware and the jurisdictions in which the Partnership may conduct business, or
which may be required to be filed by the Partnership or the Limited Partners
under the laws of any jurisdiction to reflect the dissolution or termination of
the Partnership; and (b) to file, prosecute, defend, settle or compromise
litigation, claims or arbitrations on behalf of the Partnership. The Power of
Attorney granted herein shall be irrevocable and deemed to be a power coupled
with an interest (including the interest of the other Limited Partners in the
General Partner being able to rely on the General Partner's authority to act as
contemplated by this SECTION 14), and shall survive and shall not be affected by
the subsequent death, incapacity, disability, insolvency or dissolution of a
Limited Partner or any delivery by any Limited Partner of an assignment of the
whole or any portion of his or her Units.

                15.     WITHDRAWAL OF A PARTNER.

                (a)     WITHDRAWAL OF GENERAL PARTNER. The Partnership shall be
dissolved upon the withdrawal, resignation, removal, bankruptcy, insolvency or
dissolution of the General Partner, or any other event that causes the General
Partner to cease to be the General Partner of the Partnership, unless the
Partnership is continued pursuant to the terms of SECTION 4(a)(iii). If at the
time of any withdrawal, resignation, removal, bankruptcy, insolvency or
dissolution of the General Partner, or any other event that causes the General
Partner to cease to be the General Partner of the Partnership, there is at least
one remaining general partner of the Partnership, such general partner agrees to
carry on the business of the Partnership. In addition, the General Partner may
withdraw from the Partnership, without any breach of this Agreement, at any time
upon 120 days' written notice to each Limited Partner and each assignee of whom
the General Partner has notice pursuant to SECTION 11. In the event of the
General Partner's withdrawal, resignation or removal from the Partnership, the
General Partner shall be entitled to a redemption of its general liability
interest in the Partnership at its Net Asset Value as of the close of business
on the last Business Day of the month following the date of withdrawal,
resignation or removal. If the General Partner withdraws from the Partnership
and the Partnership's business is

                                      A-14
continued, the withdrawing General Partner shall pay all expenses incurred as a
result of its withdrawal.

                (b)     WITHDRAWAL OF LIMITED PARTNERS. The death, incompetency,
withdrawal, bankruptcy, insolvency or dissolution of a Limited Partner or any
other event that causes a Limited Partner to cease to be a limited partner in
the Partnership shall not terminate or dissolve the Partnership, and a Limited
Partner, his or her estate, custodian or personal representative shall have no
right to redeem or value such Limited Partner's interest except as provided in
SECTION 12. Each Limited Partner expressly agrees that in the event of his or
her death, he or she waives on behalf of himself or herself and his or her
estate, and directs the legal representatives of his or her estate and any
person interested therein to waive, the furnishing of any inventory, accounting
or appraisal of the assets of the Partnership and any right to an audit or
examination of the books of the Partnership. Nothing in this SECTION 15 shall,
however, waive any right given elsewhere in this Agreement for a Limited Partner
to be informed of the Net Asset Value of his or her Units, to receive audited
financial statements and other information from the General Partner or the
Partnership or to redeem or transfer Units.

                16.     STANDARD OF LIABILITY; INDEMNIFICATION.

                (a)     LIABILITY OF THE GENERAL PARTNER. The General Partner
shall have unlimited liability for the repayment, satisfaction and discharge of
all debts, liabilities and obligations of the Partnership to the full extent,
and only to the extent, as required by the terms of this Agreement and the Act.

                (b)     STANDARD OF LIABILITY OF THE GENERAL PARTNER. The
General Partner and its Affiliates shall have no liability to the Partnership or
to any Limited Partner for any loss suffered by the Partnership that arises out
of any action or inaction of the General Partner or its Affiliates if the
General Partner, in good faith, determined that such course of conduct was in
the best interests of the Partnership, the General Partner or its Affiliates
were acting on behalf of or performing services for the Partnership and such
course of conduct did not constitute negligence or misconduct of the General
Partner or its Affiliates.

                (c)     INDEMNIFICATION OF THE GENERAL PARTNER BY THE
PARTNERSHIP. To the fullest extent permitted by law, the General Partner and its
Affiliates shall be indemnified by the Partnership against any losses,
judgments, liabilities, expenses and amounts paid in settlement of any claims
sustained by them in connection with the Partnership; provided, that the General
Partner, in good faith, determined that such conduct was in the best interests
of the Partnership, the General Partner or its Affiliates were acting on behalf
of or performing services for the Partnership and such claims were not the
result of negligence or misconduct on the part of the General Partner or its
Affiliates. The indemnification provided by the Partnership to the General
Partner and its Affiliates hereunder is recoverable only from the assets of the
Partnership and not from the Limited Partners.

                (d)     SECURITIES LAWS VIOLATIONS. Notwithstanding anything to
the contrary contained in SECTION 16(c), the General Partner and its Affiliates
and any Person acting as a broker-dealer shall not be indemnified for any
losses, liabilities or expenses arising from or out of an alleged violation of
federal or state securities laws unless (i) there has been a successful

                                      A-15
adjudication on the merits of each count involving alleged securities law
violations as to the particular indemnitee, (ii) such claims have been dismissed
with prejudice on the merits by a court of competent jurisdiction as to the
particular indemnitee or (iii) a court of competent jurisdiction approves a
settlement of the claims against a particular indemnitee and finds that
indemnification of the settlement and related costs should be made. In any claim
for indemnification pursuant to SECTION 16(d)(iii), the party seeking
indemnification shall place before the court the position of the Securities and
Exchange Commission and any other state or applicable regulatory authority with
respect to the issue of indemnification for securities law violations.

                (e)     INSURANCE. The Partnership may not incur the cost of any
insurance that covers the General Partner and that contains coverage for
liabilities as to which the General Partner is prohibited from being indemnified
pursuant to this SECTION 16.

                (f)     ADVANCES. Advances from the funds of the Partnership to
the General Partner or its Affiliates for legal expenses and other costs
incurred as a result of a legal action will be made only if the following
conditions are satisfied: (i) the legal action relates to the performance of
duties or services by the General Partner or its Affiliates on behalf of the
Partnership; (ii) the legal action is initiated by a third party who is not a
Limited Partner or the legal action is initiated by a Limited Partner and a
court of competent jurisdiction approves such advancement; and (iii) the General
Partner or its Affiliates undertake to repay the advanced funds, with interest
from the initial date of such advance, to the Partnership in cases in which they
would not be entitled to indemnification under the standard of liability set
forth in SECTION 16(b).

                (g)     INDEMNIFICATION OF THE PARTNERSHIP BY THE LIMITED
PARTNERS. In the event that the Partnership is made a party to any claim,
dispute or litigation or otherwise incurs any loss or expense as a result of or
in connection with any activities, obligations or liabilities of a Limited
Partner unrelated to the business of the Partnership, such Limited Partner shall
indemnify and reimburse the Partnership for all loss and expense incurred,
including reasonable attorneys' fees in connection therewith.

                (h)     LIMITED LIABILITY OF LIMITED PARTNERS. Each Unit shall
be fully-paid and non-assessable. Except as otherwise provided by law, a Limited
Partner will have no liability in excess of his or her obligation to make
contributions to the capital of the Partnership and the amount of his or her
capital account and accumulated profits.

                17.     AMENDMENTS; MEETINGS.

                (a)     AMENDMENTS WITH CONSENT OF THE GENERAL PARTNER.

                (i)     If at any time during the term of the Partnership the
        General Partner shall deem it necessary or desirable to amend this
        Agreement, such amendment shall be effective only if approved by the
        General Partner and by the Limited Partners owning Units representing
        more than 50% of the outstanding Units then owned by Limited Partners;
        provided, that the approval of each affected Limited Partner and
        assignee of whom the General Partner has notice pursuant to SECTION 11
        shall be required to reduce

                                      A-16
the capital account of such Limited Partner or assignee otherwise than
        in accordance with the terms of this Agreement or modify the percentage
        of profits, losses or distributions to which such Limited Partner or
        assignee is entitled hereunder; and provided, further, that the approval
        of all Limited Partners shall be required to modify the provisions of
        this SECTION 17.

                (ii)    Notwithstanding the foregoing, the General Partner may
        amend this Agreement without the consent of the Limited Partners in
        order (i) to clarify any clerical inaccuracy or ambiguity or reconcile
        any inconsistency (including any inconsistency between this Agreement
        and the Prospectus), (ii) to effect the intent of the allocations
        proposed herein to the maximum extent possible in the event of a change
        in the Code or the interpretations thereof affecting such allocations,
        (iii) to qualify or maintain the qualification of the Partnership as a
        partnership in any jurisdiction, (iv) to delete or add any provision of
        or to this Agreement required to be deleted or added by the Securities
        and Exchange Commission or any other federal agency or any state "Blue
        Sky" or similar official or otherwise required by law, (v) to delete or
        add any provisions of or to this Agreement that the General Partner
        deems advisable, provided that such amendment is for the benefit of and
        not adverse to the Limited Partners, (vi) to attempt to ensure that the
        Partnership is not treated as an association taxable as a corporation
        for federal income tax purposes, (vii) to attempt to prevent the
        Partnership or the General Partner or its directors, officers or
        controlling persons from, in any manner, being subject to the provisions
        of the Investment Company Act of 1940, as amended, and (viii) to attempt
        to avoid causing the assets of the Partnership from being considered for
        any purpose of ERISA or Section 4975 of the Code to constitute assets of
        any Plan.

                (b)     AMENDMENTS AND ACTIONS WITHOUT THE CONSENT OF THE
GENERAL PARTNER. The following actions may be taken with respect to the
Partnership without the consent of the General Partner if such actions are
approved by the Limited Partners owning Units representing more than 50% of the
outstanding Units then owned by Limited Partners: (i) this Agreement may be
amended, provided, that the consent of the General Partner shall be required for
any amendment that modifies the compensation or distributions to which the
General Partner is entitled or that affects the duties of the General Partner;
(ii) the General Partner may be removed and replaced; (iii) a new General
Partner or General Partners may be elected if the General Partner withdraws from
the Partnership; (iv) any contract with the General Partner or any of its
Affiliates may be canceled without penalty upon 60 days' notice; and (v) the
Partnership may be dissolved.

                (c)     METHODS OF LIMITED PARTNER CONSENT. In any matter
regarding any Partnership action in which consent of a Limited Partner is
required, such consent shall be deemed to have been give if either: (i) such
Limited Partner affirmatively grants such consent in writing; or (ii) such
Limited Partner has been furnished with a written notice of the matter(s) for
which consent is requested and the Limited Partner shall have failed to respond
to such notice within the time period designated in the notice.

                (d)     NAMES AND ADDRESSES OF LIMITED PARTNERS. Any Limited
Partner upon request given to the General Partner shall be entitled to obtain
from the General Partner, upon payment in advance of reasonable reproduction and
mailing costs, a list of the names and

                                      A-17
addresses of record of all Limited Partners and the number of Units held by each
(which shall be mailed by the General Partner to the Limited Partner within 10
Business Days of the receipt of the request); provided, that the General Partner
may require any Limited Partner requesting such information to submit written
confirmation that such information will not be used for commercial purposes.

                (e)     MEETINGS.

                (i)     The General Partner may by written notice to each
        Limited Partner of record call a meeting of the Limited Partners for any
        matter upon which the Limited Partners may vote pursuant to this
        Agreement or under the Act. Such meeting shall be held at least 30 but
        not more than 60 days after giving such notice, and such notice shall
        specify the date of, a reasonable place and time for, and the purpose of
        such meeting. Such notice shall establish a record date for Units
        entitled to vote at the meeting, which shall be not more than 15 days
        prior to the date established for such meeting.

                (ii)    If Limited Partners owning Units representing at least
        10% of all Units then owned by Limited Partners shall, by written notice
        given in person or by certified mail to the General Partner, request
        that a meeting of the Partnership be called to vote upon any matter upon
        which the Limited Partners may vote pursuant to this Agreement or under
        the Act, the General Partner shall, by written notice given in person or
        by certified mail to each Limited Partner of record given within 15 days
        after such receipt, call a meeting of the Partnership for such purpose.
        Such meeting shall be held at least 30 but not more than 60 days after
        giving such notice, and such notice shall specify the date of, a
        reasonable place and time for, and the purpose of such meeting. Such
        notice shall establish a record date for Units entitled to vote at the
        meeting, which shall be not more than 15 days prior to the date
        established for such meeting.

                18.     BENEFIT PLAN INVESTORS.

                Each Limited Partner that is an "employee benefit plan" as
defined in and subject to ERISA or a "plan" as defined in Section 4975 of the
Code (each such employee benefit plan and plan, a "Plan"), and each fiduciary
thereof who has caused the Plan to become a Limited Partner (a "Plan
Fiduciary"), represents and warrants that: (a) the Plan Fiduciary has considered
an investment in the Partnership for such Plan in light of the risks relating
thereto; (b) the Plan Fiduciary has determined that, in view of such
considerations, the investment in the Partnership by such Plan is consistent
with such Plan Fiduciary's responsibilities under ERISA; (c) the investment in
the Partnership by the Plan does not violate and is not otherwise inconsistent
with the terms of any legal document constituting the Plan or any partnership
agreement entered into thereunder; (d) the Plan's investment in the Partnership
has been duly authorized and approved by all necessary parties; (e) none of the
General Partner, the selling agents, any of their respective Affiliates or any
of their respective agents or employees: (i) has investment discretion with
respect to the investment of the assets of the Plan used to purchase Units; (ii)
has authority or responsibility to or regularly gives investment advice with
respect to the assets of the Plan used to purchase Units for a fee and pursuant
to an agreement or understanding that such advice will serve as a primary basis
for investment decisions with respect to the Plan and that such advice will be
based on the particular investment needs of the Plan; or (iii) is an employer

                                      A-18
maintaining or contributing to the Plan; and (f) the Plan Fiduciary: (i) is
authorized to make, and is responsible for, the decision for the Plan to invest
in the Partnership, including the determination that such investment is
consistent with the requirement imposed by Section 404 of ERISA that Plan
investments be diversified so as to minimize the risks of large losses; (ii) is
independent of the General Partner, the selling agents, and any of their
respective Affiliates; and (iii) is qualified to make such investment decision.

                19.     NOT A PUBLICLY TRADED PARTNERSHIP

                Notwithstanding anything to the contrary in this Agreement, for
each taxable year of the Partnership, pursuant to Sections 7704(c) and 7704(d)
of the Code, the principal activity of the Partnership has consisted and will
consist of investing its assets in the Index SPC and at least 90% of the
Partnership's gross income for each taxable year of the Partnership has
constituted and will constitute "qualifying income" under such provisions in the
form of gains from such trading and other qualifying income, including interest
income.

                20.     GOVERNING LAW.

                The validity and construction of this Agreement shall be
determined and governed by the laws of the State of Delaware without regard to
principles of conflicts of law; provided, that the foregoing choice of law shall
not restrict the application of any state's securities laws to the sale of Units
to its residents or within such state.

                21.     MISCELLANEOUS.

                (a)     NOTICES. All notices under this Agreement shall be in
writing and shall be effective upon personal delivery or, if sent by registered,
certified or first class mail, postage prepaid, addressed to the last known
address of the party to whom such notice is to be given, upon the deposit of
such notice in the United States mails.

                (b)     BINDING EFFECT. This Agreement shall inure to and be
binding upon all of the parties, their successors and assigns, custodians,
estates, heirs and personal representatives. For purposes of determining the
rights of any Limited Partner or assignee hereunder, the Partnership and the
General Partner may rely upon the Partnership records as to who are Limited
Partners and assignees, and all Limited Partners and assignees agree that their
rights shall be determined and they shall be bound thereby.

                (c)     CAPTIONS. Captions in no way define, limit, extend or
describe the scope of this Agreement nor the effect of any of its provisions.

                (d)     SEVERABILITY. If any one or more of the agreements,
provisions or terms of this Agreement shall be held invalid for any reason
whatsoever, then such agreements, provisions or terms shall be deemed severable
from the remaining agreements, provisions and terms of this Agreement and shall
in no way affect the validity or enforceability of the other agreements,
provisions and terms of this Agreement.

                (e)     ENTIRE AGREEMENT. This Agreement supersedes all prior
understandings and agreements, whether written or oral, among the parties hereto
relating to the transactions

                                      A-19
provided for herein and this Agreement and the Subscription Agreements
constitute the entire agreement between the parties hereto with respect to the
subject matter hereof.

                (f)     NO WAIVERS. The waiver by any party hereto of the breach
of any term, covenant, agreement or condition herein contained shall not be
deemed a waiver of any subsequent breach of the same or any other term,
covenant, agreement or condition herein, nor shall any custom, practice or
course of dealing arising among the parties hereto in the administration hereof
be construed as a waiver or diminution of the right of any party hereto to
insist upon the strict performance by any other party hereto of the terms,
covenants, agreements and conditions herein contained.

                (g)     PRIORITY AMONG LIMITED PARTNERS. No Limited Partner
shall be entitled to any priority or preference over any other Limited Partner
with regard to the return of contributions of capital or to the distribution of
any profits or otherwise in the affairs of the Partnership.

                22.     DEFINITIONS.

        "Act" has the meaning set forth in SECTION 1.

        "Administrative Fees" has the meaning set forth in SECTION 8(b).

        "Affiliate" means, with respect to any Person: (a) any Person directly
        or indirectly owning, controlling or holding with power to vote 10% or
        more of the outstanding voting securities of such Person; (b) any Person
        10% or more of whose outstanding voting securities are directly or
        indirectly owned, controlled or held with power to vote, by such Person;
        (c) any Person, directly or indirectly, controlling, controlled by, or
        under common control of such Person; (d) any officer, director or
        partner of such Person; or (e) if such Person is an officer, director or
        partner, any Person for which such Person acts in any such capacity.

        "Agreement" has the meaning set forth in the preamble of this Agreement.

        "Business Day" means any day other than a Saturday, Sunday or a day on
        which commercial banks in New York are required or authorized by law or
        executive order to close.

        "CFTC" means Commodity Futures Trading Commission.

        "Code" has the meaning set forth in SECTION 7(c).

        "Customary Administrative Expenses" has the meaning set forth in SECTION
        8(a).

        "ERISA" has the meaning set forth in SECTION 12(e).

        "General Partner" has the meaning set forth in the preamble of this
        Agreement.

                                      A-20
"Index SPC" means SPhinX Managed Futures Fund SPC, a segregated
        portfolio company organized under the laws of the Cayman Islands.

        "Initial Offering Period" means that period of time commencing on the
        date of the Prospectus and ending on 60 calendar days later, subject to
        the General Partner's decision (such decision being in the General
        Partner's sole discretion) to terminate such period earlier or to extend
        such period for an additional 60 days.

        "Limited Partner" has the meaning set forth in the preamble of this
        Agreement.

        "Management Fees" has the meaning set forth in SECTION 8(a).

        "Net Assets" means the total assets, less total liabilities, of the
        Partnership determined on the basis of generally accepted accounting
        principles. Net Assets shall include any unrealized profits or losses on
        open positions, and any fee or expense accruing to the Partnership.

        "Net Asset Value per Unit" means Net Assets divided by the number of
        Units outstanding.

        "Net Worth" means the excess of total assets over total liabilities as
        determined by generally accepted accounting principles.

        "Partners" means, collectively, the General Partner and the Limited
        Partners.

        "Partnership" has the meaning set forth in the preamble of this
        Agreement.

        "Person" means any natural person, partnership, corporation, association
        or other legal entity.

        "Plan" has the meaning set forth in SECTION 18.

        "Plan Fiduciary" has the meaning set forth in SECTION 18.

        "Prospectus" means the latest prospectus filed pursuant to Section
        424(b) of the Securities Act of 1933 or contained in the Registration
        Statement.

        "Redemption Charges" has the meaning set forth in SECTION 12(b).

        "Registration Statement" means the registration statement filed with the
        Securities and Exchange Commission by the Partnership pursuant to the
        Securities Act of 1933 pursuant to which the Units are registered, and
        any pre-effective or post-effective amendments thereto.

        "Subscription Agreement" means the subscription agreement, the form of
        which is attached to the Registration Statement, executed by each of the
        Limited Partners.

        "Unit" has the meaning set forth in SECTION 6(b).

                                      A-21
"Upfront Selling Commissions" has the meaning set forth in SECTION 8(c).

                                * * * * * * * * *

                                      A-22
IN WITNESS WHEREOF, the undersigned have duly executed this
Limited Partnership Agreement as of the day and year first above written.

                              REFCOFUND HOLDINGS, LLC
                              as General Partner

                              By: /s/ Phillip R. Bennett
                                  ----------------------
                              Name: Phillip R. Bennett
                              Title: Manager

                              INITIAL LIMITED PARTNER:

                              /s/ Philip Silverman
                              --------------------
                              Philip Silverman

                              All Limited Partners now and hereafter admitted as
                              Limited Partners of the Partnership, pursuant to
                              powers of attorney now and hereafter executed in
                              favor of, and granted and delivered to, the
                              General Partner.

                              By: REFCOFUND HOLDINGS, LLC
                                  as Attorney-in-Fact

                              By: /s/ Phillip R. Bennett
                                  ----------------------
                              Name: Phillip R. Bennett
                              Title: Manager

                                      A-23
EXHIBIT B

                       S&P MANAGED FUTURES INDEX FUND, LP

                            SUBSCRIPTION REQUIREMENTS

NOTICE: AN INVESTMENT IN THE FUND IS SPECULATIVE AND INVOLVES A HIGH DEGREE OF
RISK. PLEASE REFER TO THE SECTION OF THE PROSPECTUS ENTITLED "THE RISKS YOU
FACE" FOR A COMPLETE DESCRIPTION OF THE MATERIAL RISKS OF AN INVESTMENT IN THE
FUND.

GENERAL

     To subscribe for units in the Fund, you must:

          -     execute and deliver (to the selling agent who solicited your
                subscription) the subscription agreement and power of attorney
                signature page, and any other required documents (E.G.,
                corporate authorizations); and

          -     deliver to your selling agent a check in the full amount of your
                subscription payable to "S&P Managed Futures Index Fund, LP," or
                authorize a wire transfer in the full amount of your
                subscription in accordance with the instructions set forth in
                the subscription agreement and power of attorney signature page
                (unless you intend to make payment by debiting your brokerage
                account with your selling agent).

     The minimum initial subscription is $10,000, except that with respect to
individual retirement plans the minimum initial subscription is $3,000. Existing
limited partners may make additional investments in the Fund in $2,500 minimums.

     By executing and delivering the subscription agreement and power of
attorney, you irrevocably subscribe for units at $1,000 per unit during the
initial offering period and thereafter at net asset value per unit as of the
first business day of the calendar month in which your subscription is to be
effective (provided the subscription agreement and power of attorney signature
page are received at least five business days (and cleared funds to purchase the
units at least three business days) before the first business day of the
calendar month in which the subscription is to be effective). The general
partner may accept or reject your subscription, in whole or in part, in its sole
discretion. If your subscription is accepted, you agree to contribute your
subscription to the Fund and to be bound by the terms of the limited partnership
agreement. By executing and delivering the subscription agreement and power of
attorney, you will be deemed to have executed the limited partnership agreement.
You will be required to reimburse the Fund and the general partner for any
expense or loss incurred by either the Fund or the general partner as a result
of the cancellation of your units due to your failure to deliver immediately
available funds in the amount of the subscription price.

PURCHASER REPRESENTATIONS AND WARRANTIES

     By executing and delivering your subscription agreement and power of
attorney, you represent and warrant to the Fund, the general partner, the
selling agent who solicited your subscription, and their respective affiliates
as follows:

                                       B-1
(a)  You are of legal age and are legally competent to execute the
subscription agreement and power of attorney. You acknowledge that you have
received the current Prospectus, including the limited partnership contained
therein (as supplemented by sticker supplements, if any).

     (b)  All information that you have furnished to the general partner or that
is set forth in the subscription agreement and power of attorney submitted by
you is correct and complete as of the date of such subscription agreement and
power of attorney. You will immediately furnish revised or corrected information
to the general partner, should there be any material change in such information.

     (c)  Unless paragraph (d) or (e) is applicable, your subscription is made
with your funds for your own account and not as trustee, custodian or nominee
for another.

     (d)  Your subscription, if made as custodian for a minor, is a gift that
you have made to such minor and is not made with such minor's funds, or if not a
gift, such minor satisfies the requirements relating to net worth and annual
income set forth herein.

     (e)  If you are signing in a representative capacity, you have full power
and authority to purchase the units on behalf of the entity for which you are
acting, and such entity has full power and authority to purchase such units.

     (f)  You either are, or are not required to be, registered with the
Commodity Futures Trading Commission or a member of the National Futures
Association.

     (g)  If you are acting on behalf of an "employee benefit plan," as defined
in and subject to the Employee Retirement Income Security Act of 1974, as
amended ("ERISA"), or any "plan," as defined in Section 4975 of the Internal
Revenue Code of 1986, as amended (the "Code") (each such employee benefit plan
and plan, a "Plan"), the individual signing this subscription agreement and
power of attorney on your behalf hereby represents and warrants as, or on behalf
of, the fiduciary of the Plan responsible for purchasing a unit (the "Plan
Fiduciary") that:

          (i)   the Plan Fiduciary has considered an investment in the Fund for
such Plan in light of the risks relating thereto;

          (ii)  the Plan Fiduciary has determined that, in view of such
considerations, the investment in the Fund for such Plan is consistent with the
Plan Fiduciary's responsibilities under ERISA;

          (iii) the Plan's investment in the Fund does not violate and is not
otherwise inconsistent with the terms of any legal document constituting the
Plan or any agreement thereunder;

          (iv)  the Plan's investment in the Fund has been duly authorized and
approved by all necessary parties;

          (v)   none of the general partner, any of the Fund's selling agents,
any of their respective affiliates, agents or employees (A) has investment
discretion with respect to the investment of assets of the Plan used to purchase
units; (B) has authority or responsibility to or regularly gives investment
advice with respect to the assets of the Plan used to purchase units for a fee
and pursuant to an agreement or understanding that such advice will serve as a
primary basis for investment decisions with respect to the Plan and that such
advice will be based on the particular investment needs of the Plan; or (C) is
an employer maintaining or contributing to the Plan; and

                                       B-2
(vi)  the Plan Fiduciary (A) is authorized to make, and is responsible
for, the decision to invest in the Fund, including the determination that such
investment is consistent with the requirement imposed by Section 404 of ERISA
that Plan investments be diversified so as to minimize the risk of large losses,
(B) is independent of the general partner, the Fund's selling agents and any of
their respective affiliates, and (C) is qualified to make such investment
decision.

     You will, at the request of the general partner, furnish the general
partner with such information as the general partner may reasonably require to
establish that the purchase of units by the Plan does not violate any provision
of ERISA or the Code, including, without limitation, those provisions relating
to "prohibited transactions" by "parties in interest" or "disqualified persons"
as defined therein.

     (h)  You have (1) a net worth of at least $150,000 (exclusive of home,
furnishings and automobiles) or (2) an annual gross income of at least $45,000
and a net worth (similarly calculated) of at least $45,000. If you are a
resident of any of the following states, you must also meet the requirements set
forth below for that state (net worth, is in all cases, to be calculated
exclusive of home, furnishings and automobiles). Furthermore, in no event may
you invest more than 10% of your net worth (exclusive of home, furnishings and
automobiles) in the Fund.

          (i)   Alaska, Iowa, Massachusetts, Minnesota, North Carolina or Texas
- Net worth of at least $225,000 or a net worth of at least $60,000 and
anticipated annual taxable income of at least $60,000.

          (ii)  California - Net worth of at least $200,000 or a net worth of at
least $50,000 and past and anticipated annual income of at least $100,000.

          (iii) Maine - Net worth of at least $200,000 or a net worth of at
least $50,000 and an annual gross income of $50,000.

          (iv)  New Hampshire - Net worth of at least $250,000 or a net worth of
at least $125,000 and annual taxable income of at least $50,000.

          (v)   Pennsylvania - Net worth of at least $175,000 or a net worth of
at least $100,000 and an annual taxable income of at least $50,000.

          (vi)  South Carolina - Net worth of at least $150,000 or a net worth
of at least $65,000 and past and anticipated annual income of at least $65,000.

     THE FOREGOING SUITABILITY STANDARDS ARE REGULATORY MINIMUMS ONLY. MERELY
BECAUSE YOU MEET SUCH REQUIREMENTS DOES NOT NECESSARILY MEAN THAT A HIGH RISK,
SPECULATIVE AND ILLIQUID INVESTMENT SUCH AS THE UNITS IS, IN FACT, SUITABLE FOR
YOU.

     (i)  You understand that the units are not liquid except for the limited
redemption provisions set forth in the Prospectus and the Limited Partnership
Agreement of the Fund, as amended from time to time.

                                       B-3
(j)  You should review the websites of the Office of Foreign Assets Control
("OFAC")(1) and the U.S. Department of the Treasury, and conduct such other
investigations as you deem necessary or prudent, prior to making these
representations and warranties.(2)

          (i)   You are not aware of any facts or circumstances that would
reasonably be expected to lead you to believe that any of your subscription
funds are directly or indirectly derived from activities that may contravene
U.S. federal, state or non-U.S. laws and regulations, including anti-money
laundering laws.

          (ii)  You understand and agree that the investment of funds is
prohibited by or restricted with respect to any persons or entities that: (A)
are acting, directly or indirectly, on behalf of terrorists or terrorist
organizations, including those persons or entities that are included on any of
the OFAC lists; (B) reside or have a place of business in a country or territory
named on any of such lists or which is designated as a Non-Cooperative
Jurisdiction by the Financial Action Task Force on Money Laundering ("FATF")(3),
or whose subscription funds are transferred from or through such a jurisdiction;
(C) are "Foreign Shell Banks" within the meaning of the USA Patriot Act; or (D)
reside in or are organized under the laws of a jurisdiction designated by the
U.S. Secretary of the Treasury under Sections 311 or 312 of the USA Patriot Act
as warranting special measures due to money laundering concerns.(4) Such persons
or entities in (A) through (D) are collectively referred to as "Restricted
Persons". You are not and you are not aware of any facts or circumstances that
would reasonably be expected to lead you to believe that any or your investors
or any person controlling, controlled by, or under common control(5) with you,
or for whom you are acting as agent or nominee in connection with the
subscription for units, is a Restricted Person.

          (iii) You acknowledge and understand that the general partner, in its
discretion, may decline to accept any subscription for units by a person who is
a "Covered Person" within the meaning of the Guidance on Enhanced Scrutiny for
Transactions that May Involve the Proceeds of Foreign Official Corruption,
issued by the Department of the Treasury, et al., January, 2001, E.G., a senior
foreign political

----------
(1)  The lists of OFAC prohibited countries, territories, persons and entities
may be found on the OFAC website at < www.ustreas.gov/offices/eotffc/ofac/ >.

(2)  U.S. federal regulations and executive orders administered by OFAC
prohibit, among other things, engaging in transactions with, and the provision
of services to, certain foreign countries, territories, entities and
individuals. These individuals include specially designated nationals, specially
designated narcotics traffickers and other parties subject to OFAC sanctions and
embargo programs.

(3)  The list of Non-Cooperative Jurisdictions may be found at
< www1.oecd.org/fatf/ncct_en.htm >.

(4)  The list of these jurisdictions may be found at < www.fincen.gov >.

(5)  For these purposes, "control" means the power, directly or indirectly, to
direct the management or policies of a person, whether through ownership of
securities, by contract, or otherwise.

     -    Each of Subscriber's officers, partners, or directors exercising
          executive responsibility (or persons having similar status or
          functions) is presumed to control Subscriber.

     -    A person is presumed to control a corporation if the person: (i)
          directly or indirectly has the right to vote 25 percent or more of a
          class of the corporation's voting securities; or (ii) has the power to
          sell or direct the sale of 25 percent or more of a class of the
          corporation's voting securities.

     -    A person is presumed to control a partnership if the person has the
          right to receive upon dissolution, or has contributed, 25 percent or
          more of the capital of the partnership.

     -    A person is presumed to control a limited liability company ("LLC") if
          the person: (i) directly or indirectly has the right to vote 25
          percent or more of a class of the interests of the LLC; (ii) has the
          right to receive upon dissolution, or has contributed, 25 percent or
          more of the capital of the LLC; or (iii) is an elected manager of the
          LLC.

     -    A person is presumed to control a trust if the person is a trustee or
          managing agent of the trust.

                                       B-4
figure(6), or an immediate family member(7) or close associate(8) of a senior
foreign political figure. Accordingly, you agree to inform the Fund, prior to
the acquisition of any units, if you are aware of any facts or circumstances
that would reasonably be expected to lead you to believe that any of your
investors or any person controlling, controlled by, or under common control with
you, or for whom you are acting as agent or nominee in connection with the
acquisition of the beneficial interests, is a Covered Person.

          (iv)  You agree to provide any information deemed necessary by the
Fund or the general partner, each acting in its sole discretion, to comply with
its anti-money laundering responsibilities and policies to the extent required
by law and subject to appropriate confidentiality agreements.

          (v)   You authorize and permit the Fund and the general partner, each
using its own reasonable business judgment, to report information about you to
appropriate authorities, and you agree not to hold them liable for any loss or
injury that may occur as the result of providing such information. In addition,
if you are a pooled investment vehicle, you authorize and permit the Fund and
the general partner, and each of them, each using its own reasonable business
judgment, to report to appropriate authorities information about your investors,
or about any persons controlling, controlled by, or under common control with,
you, or for whom you are acting as agent or nominee in connection with the
purchase of units, and the you agree not to hold the Fund and/or the general
partner liable for any loss or injury that may occur as the result of providing
such information.

          (vi)  You agree that, notwithstanding any other statement to the
contrary in any agreement into which you have entered which relates to the Fund
or in the Fund's prospectus, if the Fund or the general partner determines that
you have appeared on a list of known or suspected terrorists or terrorist
organizations compiled by any U.S. or foreign governmental agency, or that any
information provided by you in the subscription agreement and power of attorney
was not, at the time it was given, or is no longer materially true or accurate,
the Fund and the general partner, and each of them, without limiting any other
rights available to any of them under the subscription agreement and power of
attorney, shall be authorized to take any action as shall be necessary or
appropriate to comply with applicable law, including but not limited to,
removing you from the Fund and/or notifying the federal authorities.

          (vii) You acknowledge that due to anti-money laundering
requirements operating in the United States, as well as the Fund's own
internal anti-money laundering policies, the Fund, the general partner and/or
your selling agent may require further identification of you and the source
of your subscription funds before your subscription agreement and power of
attorney can be processed, subscription monies accepted, or request for
redemption processed. The Fund, the general partner, your selling agent and
each of their respective principals, members, shareholders, directors,
officers, and employees shall be held harmless and indemnified against any
losses, expenses or liabilities arising as a result of a failure to process
your subscription agreement and power of attorney or any request for
redemption if you have not satisfactorily provided any information that has
been required by an indemnified party.

----------
(6)  A "senior foreign political figure" is defined as a senior official in the
executive, legislative, administrative, military or judicial branches of a
foreign government (whether elected or not), a senior official of a major
foreign political party, or a senior executive of a foreign government-owned
corporation. In addition, a "senior foreign political figure" includes any
corporation, business or other entity that has been formed by, or for the
benefit of, a senior foreign political figure.

(7)  "Immediate family" of a senior foreign political figure typically includes
the figure's parents, siblings, spouse, children and in-laws.

(8)  A "close associate" of a senior foreign political figure is a person who is
widely and publicly known to maintain an unusually close relationship with the
senior foreign political figure, and includes a person who is in a position to
conduct substantial domestic and international financial transactions on behalf
of the senior foreign political figure.

                                       B-5
EXHIBIT C

                       S&P MANAGED FUTURES INDEX FUND, LP
                            SUBSCRIPTION INSTRUCTIONS

   Any person considering subscribing for the units should carefully read and
    review a current prospectus. The prospectus should be accompanied by the
                     most recent monthly report of the Fund.

     THE DATE PRINTED ON THE FRONT OF THE PROSPECTUS SHOULD BE NO LATER THAN
9 MONTHS OLD. IF THE DATE IS MORE THAN 9 MONTHS OLD, NEW MATERIALS ARE AVAILABLE
                              AND MUST BE UTILIZED.

1.   Enter the total dollar amount to be invested in ITEM 1.

2.   Enter the investor's brokerage account number in ITEM 2, and check the box
     if the account if to be debited for investment.

3.   Enter the Social Security Number OR Taxpayer ID Number, as applicable, in
     ITEM 3 and check the appropriate box to indicate ownership type. For IRA
     accounts, the Taxpayer ID Number of the Custodian should be entered as well
     as the Social Security Number of the investor.

4.   Check the box in ITEM 4 if this is an addition to an existing account and
     list Partner #.

5.   Enter the name of the investor in ITEM 5. For UGMA/UTMA (MINOR), enter the
     Minor name on ITEM 5, followed by "Minor", and enter the custodian name in
     ITEM 6. For CORPORATIONS, PARTNERSHIPS, AND ESTATES, enter the entity name
     in ITEM 5 and the Trustee(s) name(s) in ITEM 6. Investors who are not
     individuals must furnish a copy of organizing or other documents evidencing
     the authority of such entity to invest in the Fund. FOR EXAMPLE, TRUSTS
     MUST FURNISH COPIES OF THE TRUST AGREEMENT, CORPORATIONS MUST FURNISH A
     CORPORATE RESOLUTION OR BYLAWS.

6.   Enter the legal address (which is the residence or domicile address used
     for tax purposes) of the investor in ITEM 7 (no post office boxes). Item 7
     must be completed.

7.   If the legal address is different from the mailing address, enter in
     ITEM 8.

8.   If an IRA account, enter Custodian's name and address in ITEM 9.

9.   Enter email address of investor in ITEM 10.

10.  Investor must sign and date ITEM 11. If it is a joint account, both
     investors must sign. In the case of IRA's, the Custodian's signature, as
     well as the investor's signature, is required.

11.  The Selling Agent Representative must sign and date in ITEM 12. Some
     broker/dealers may also require the signature of an office manager.

12.  The name of the Selling Agent, Selling Agent Representative name, number,
     and address and phone number must be entered in ITEM 13.

     THE CLIENT SHOULD RETURN THIS SUBSCRIPTION AGREEMENT AND PAYMENT TO HIS OR
HER SELLING AGENT'S OFFICE ADDRESS.

                                       C-1
Subscription agreements, payment, and any other required documents should
be sent by the Selling Agent to either:

     1)   the fund administration department of the selling firm, if firm
          procedures require, or

     2)   to the custodial firm if one is required (sending document early in
          the month is best if it is to reach the Fund before month end), or

     3)   to ________________, the Fund's sub-administrator.

     If payment is being made by wire transfer, the Selling Agent Representative
should contact either his or her firm's Fund Administration Department or
RefcoFund Holdings LLC's Fund Administration Department for instructions.
SUBSCRIPTION DOCUMENTS MUST BE RECEIVED BY THE GENERAL PARTNER AT LEAST FIVE
BUSINESS DAYS PRIOR TO THE END OF THE MONTH AND CLEARED SUBSCRIPTION FUNDS MUST
BE RECEIVED AT LEAST THREE BUSINESS DAYS PRIOR TO THE END OF THE MONTH. However,
the selling firm's fund administration department may have an earlier cut-off
for subscriptions.

     If Selling Agent Representatives have specific questions about the
subscription process, please call the general partner's Back Office at (212)
693-7047, or your Fund Administration Department.

                                       C-2
S&P MANAGED FUTURES INDEX FUND, LP
                          UNITS OF BENEFICIAL INTEREST

                                   ----------

                           SUBSCRIPTION AGREEMENT AND
                                POWER OF ATTORNEY

S&P Managed Futures Index Fund, LP
c/o RefcoFund Holdings, LLC
550 West Jackson, Suite 1300
Chicago, Illinois 60661

Dear Sir or Madam:

     1.   SUBSCRIPTION FOR UNITS. I hereby subscribe for the dollar amount of
units of limited partnership interest ("Units") in S&P Managed Futures Index
Fund, LP (the "Fund") set forth in the Subscription Agreement and Power of
Attorney Signature Page attached hereto. The purchase price per Unit is $1,000
during the initial offering period and thereafter net asset value per unit as of
the first business day of the calendar month in which my subscription is to be
effective.

     I have either (i) delivered a check to my selling agent made payable to
"S&P Managed Futures Index Fund, LP" in the full amount of my subscription, (ii)
authorized a wire transfer in the full amount of my subscription to the Fund's
escrow account or bank account (per the instructions set forth in this
subscription agreement and power of attorney) or (iii) authorized my selling
agent to debit my customer securities account in the full amount of my
subscription.

     The purchase date for my units is the first business day of the calendar
month immediately following this subscription being accepted. If I have chosen
to subscribe by account debit, I acknowledge that my selling agent shall inform
me of such settlement date and that I must have my subscription payment cleared
in such account on the settlement date for my purchase of Units, which will
occur no later than three (3) business days after the acceptance of my
subscription.

     RefcoFund Holdings, LLC (the "General Partner") may, in its sole and
absolute discretion, accept or reject this subscription in whole or in part.

     2.   REPRESENTATIONS AND WARRANTIES OF SUBSCRIBER. I have received both
parts of the prospectus (as supplemented by sticker supplements, if any) and the
limited partnership agreement and the Fund's most recent monthly report (if the
Fund has commenced trading). I ACKNOWLEDGE THAT BY SUBMITTING THIS SUBSCRIPTION
AGREEMENT, I AM MAKING THE REPRESENTATIONS AND WARRANTIES SET FORTH IN EXHIBIT B
TO THE PROSPECTUS, INCLUDING THE APPLICABLE REQUIREMENTS RELATING TO NET WORTH
AND ANNUAL INCOME. If the subscriber is not an individual, the person signing
this subscription agreement and power of attorney on behalf of the subscriber is
duly authorized to execute this subscription agreement and power of attorney. By
signing this subscription agreement and power of attorney, I am not waiving any
rights under federal or state securities laws.

     3.   POWER OF ATTORNEY. I irrevocably constitute and appoint the General
Partner and each officer thereof as my true and lawful Attorney-in-Fact, with
full power of substitution, in my name, place and stead, to (i) execute,
acknowledge, swear to, deliver, record and file (a) the Limited Partnership
Agreement of the Fund, including any amendments and/or restatements thereto duly
adopted as provided

                                       C-3
therein, and (b) any agreements, certificates, documents or instruments that may
be considered necessary or desirable by the General Partner to carry out fully
the provisions of the Limited Partnership Agreement of the Fund and (ii) to
file, prosecute, defend, settle or compromise litigation, claims or arbitrations
on behalf of the Fund. The Power of Attorney granted hereby shall be irrevocable
and deemed to be coupled with an interest, and shall survive and shall not be
affected by my subsequent death, incapacity, disability, insolvency or
dissolution or any delivery by me of an assignment of the whole or any portion
of my units.

     4.   GOVERNING LAW. I hereby acknowledge and agree that this Subscription
Agreement and Power of Attorney shall be governed by and be interpreted in
accordance with the laws of the State of Delaware, without regard to principles
of conflicts of laws.

                              --------------------

     PLEASE CAREFULLY COMPLETE THE SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY
SIGNATURE PAGE WHICH IS ATTACHED TO THIS SUBSCRIPTION AGREEMENT, AND ENSURE THAT
YOUR SELLING AGENT KNOWS WHETHER YOU ARE SUBSCRIBING BY CHECK, WIRE TRANSFER OR
ACCOUNT DEBIT.

     YOU MAY ELECT TO RECEIVE YOUR COMMUNICATIONS FROM THE FUND ELECTRONICALLY.
IF YOU WISH TO CHOOSE THIS OPTION, PLEASE COMPLETE THE CONSENT TO ELECTRONIC
DELIVERY WHICH ACCOMPANIES THIS SUBSCRIPTION AGREEMENT.

                                       C-4
SIGNATURE PAGE

                       S&P MANAGED FUTURES INDEX FUND, LP

                  SUBSCRIPTION AGREEMENT AND POWER OF ATTORNEY

                                 SIGNATURE PAGE

          IMPORTANT: READ INSTRUCTIONS AND REVERSE SIDE BEFORE SIGNING

The investor named below, by execution and delivery of this Subscription
Agreement and Power of Attorney and by either (a) enclosing a check payable to
"S&P MANAGED FUTURES INDEX FUND, LP," (b) authorizing a wire transfer in the
investor's name to the Fund's subscription account at Fifth Third Bank, Account
No. __________, ABA #_____________ [or following the Initial Closing, the Fund's
bank account]or (c) authorizing the Selling Agent to debit investor's customer
securities account in the amount set forth below, hereby subscribes for the
purchase of units at the net asset value per unit.

       The named investor further acknowledges receipt of the prospectus of the
Fund dated ____________, 2003, including the Fund's Limited Partnership
Agreement, the Subscription Agreement and Power of Attorney (supplemented by
sticker supplements, if any), the terms of which govern the investment in the
units being subscribed for hereby.

1)   (b) Total $ Amount _____________________________
     (minimum: $10,000 ($3,000 for employee
     benefit plans and IRAs). Subsequent investments must
     be at least $2,500.)

2)   Account #_________________ (must be completed)
     / / if payment is made by debit to investor's
     securities account, check box

3)   Social Security # ____________-_______-_________
     Taxable Investors (check one):
/ / Individual Ownership   / / Tenants in Common
/ / Partnership*           / / Joint Tenants with Right of
                               Survivorship
/ / Corporation*           / / Tenants in Entirety
Non-Taxable Investors (check one):
/ / IRA                    / / Profit Sharing*
/ / IRA Rollover           / / Defined Benefit*

     Taxpayer ID #_____________-________-____________
/ / Estate*               / / UGMA/UTM
                          (Minor)
/ / Grantor or Other
    Revocable Trust*
/ / Trust other than a    / / Community Property
    Grantor or Revocable
     Trust*
/ / Pension*              / / Other (specify)
/ / SEP

       (*APPROPRIATE AUTHORIZATION DOCUMENTS MUST ACCOMPANY SUBSCRIPTION,
              I.E., TRUST, PENSION, ESTATE, OR CORPORATE DOCUMENTS)

4)     / / Check here if this is an addition to an existing account.
       Partner #:___________________________________

5)     Name_____________________________________________________________________

6)     _________________________________________________________________________
       Additional Information (For Estates, Partnerships, Trusts and
       Corporations)

7)     Resident Address ________________________________________________________
                        Street (P.O. Box not acceptable)  City   State  Zip Code

8)     Mailing Address
       (if different)   ________________________________________________________
                        Street                            City   State  Zip Code

                                       C-5
9)     Custodian Name
       and Mailing Address______________________________________________________
                            Name         Street           City   State  Zip Code

10)    E-Mail Address___________________________________________________________

________________________________________________________________________________

11)                             INVESTOR(S) MUST SIGN

   X _______________________________   X _______________________________________
     Signature of Investor               Signature of Joint Investor (if any) or
                                                         Custodian

     -------------------------------         -------------------------------
     Date                                             Telephone Number

                          UNITED STATES INVESTORS ONLY

I have checked the following box if I am subject to backup withholding under the
provisions of Section 3406(a)(1)(C) of the Internal Revenue Code: / /
Under penalties of perjury, by signature above, I hereby certify that the Social
Security Number or Taxpayer ID Number next to my name is my true, correct and
complete Social Security Number or Taxpayer ID Number and that the information
given in the immediately preceding sentence is true, correct and complete.

                        NON-UNITED STATES INVESTORS ONLY

Under penalties of perjury, by signature above I hereby certify that (a) I am
not a citizen or resident of the United States or (b) (in the case of an
investor which is not an individual) the investor is not a United States
corporation, partnership, estate or trust.

                             SELLING AGENT MUST SIGN

The undersigned Selling Agent ("Agent") hereby certifies that: (1) the Agent has
informed the person(s) named above of all pertinent facts relating to the
liquidity and marketability of the units as set forth in the Prospectus; (2) the
Agent has delivered to the person(s) named above a copy of the prospectus on the
date of this certification; and (3) the Agent has reasonable grounds to believe
(on the basis of information obtained from the person(s) named above concerning
such person(s') age, investment objectives, investment experience, income, net
worth, financial situation and needs, other investments and any other
information known by the Agent) that; (a) the purchase of units is a suitable
and appropriate investment for such person(s); (b) such person(s) meet(s) the
applicable minimum income and net worth standard; (c) such person(s) can
reasonably benefit from the investment based on such person's(s') overall
investment objectives and portfolio structure; (d) such person(s) can bear the
economic risks of the investment; and (e) such person(s) appear(s) to have an
understanding of the fundamental risks of the investment (including than an
investor may lose its entire investment), the restrictions on the liquidity and
transferability of the units, and the general background and qualifications of
the general partner and the trading advisors.

The Selling Agent MUST sign below in order to substantiate compliance with NASD
Rule 2810.

12) X  _____________________________       X ___________________________________
Selling Agent Signature     Date             Office Manager Signature   Date
                                               (if required by Selling Firm
                                                        procedures)

13) Selling Firm_______________ Agent Name ____________ Agent Number____________

Agent Phone______________ Agent Fax _____________ Agent Email Address___________

Agent Address      _____________________________________________________________
(for confirmation) Street (P.O. Box not acceptable)  City    State    Zip Code

                                       C-6
EXHIBIT D

                       S&P MANAGED FUTURES INDEX FUND, LP

                         CONSENT TO ELECTRONIC DELIVERY

     You may elect to receive your communications from S&P Managed Futures Index
Fund, LP (the "Fund") electronically. This will include all of the reports and
notices described in Section 10 of the Limited Partnership Agreement of the Fund
(the "Limited Partnership Agreement") and any other communications to be
delivered to you by the Fund or RefcoFund Holdings, LLC, the general partner of
the Fund.

     By providing the requested information and signing below, you agree to
accept delivery of all communications from the Fund at the e-mail address
indicated below. You further agree to inform the Fund in the event that your
e-mail address changes.

     You may revoke this election at any time by written notice (including
notice by e-mail) to the Fund. After such revocation, all communications will be
delivered to you at your address on the records of the Fund.

Name:
      --------------------------

E-Mail Address:
                -----------------------

Signature:
           --------------------------

Account Number:
                ------------------

                                       D-1
EXHIBIT E

                       S&P MANAGED FUTURES INDEX FUND, LP
                             REQUEST FOR REDEMPTION

                                                      --------------------------
                                                                 Date

S&P Managed Futures Index Fund, LP
c/o RefcoFund Holdings, LLC
550 West Jackson, Suite 1300
Chicago, Illinois 60661

Dear Sirs:

     I hereby requests redemption subject to all the terms and conditions of the
Limited Partnership Agreement (the "Limited Partnership Agreement") of S&P
Managed Futures Index Fund, LP (the "Fund") of ________ units of limited
partnership interest ("Units") in the Fund. (INSERT NUMBER OF WHOLE UNITS TO BE
REDEEMED; SUBSCRIBERS MAY REDEEM ANY NUMBER OF WHOLE UNITS, THEY NEED NOT REDEEM
ALL OR ANY MINIMUM NUMBER OF THEIR UNITS IN ORDER TO REDEEM CERTAIN OF THEIR
UNITS; HOWEVER, IF NO NUMBER IS INDICATED, ALL UNITS HELD OF RECORD BY THE
UNDERSIGNED WILL BE REDEEMED; FRACTIONAL UNITS MAY ONLY BE REDEEMED UPON
COMPLETE REDEMPTION OF THE UNDERSIGNED'S INTEREST IN THE FUND.) My partner
number is __________________.

     I understand that Units are redeemed at the Net Asset Value per Unit,
pursuant to the terms and conditions set forth in the Limited Partnership
Agreement. This redemption shall be effective as of the end of the current
calendar month; provided, that this Request for Redemption is received at least
ten (10) business days prior to the end of such month. Payment of the redemption
price of Units will be made within ten (10) business days of the month-end
redemption date, unless redemptions are suspended in accordance with the Limited
Partnership Agreement.

     I represent and warrant that I am the true, lawful owner of the Units to
which this Request for Redemption relates, with full power and authority to
request redemption of the Units. The Units are not subject to any pledge or
otherwise encumbered in any fashion.

UNITED STATES UNITHOLDERS ONLY:

     Under the penalties of perjury, I hereby certify that the Social Security
Number or Taxpayer ID Number indicated on this Request for Redemption is my
true, correct and complete Social Security Number or Taxpayer ID Number and that
I am not subject to backup withholding under the provisions of Section
3406(a)(1)(C) of the Internal Revenue Code of 1986, as amended.

NON-UNITED STATES UNITHOLDERS ONLY:

     Under the penalties of perjury, I hereby certify that (a) I am not a
citizen or resident of the United States or (b) (in the case of an investor
which is not an individual) I am not a United States corporation, partnership,
estate, trust or limited liability company.

                                       E-1
SIGNATURES MUST BE IDENTICAL TO NAME(S) IN WHICH UNITS ARE REGISTERED

/ / Credit my customer securities account at ___________________ [insert name of
    broker]; or

/ / Send to the address below

 Name                           Street               City, State and Zip Code

 -------------------------------------------------------------------------------
  Signatures Required:

  Entity Unitholder                           Individual Unitholder(s)
  (or assignee)                               (or assignee(s))

 -----------------------------------          ----------------------------------
  (Name of Entity)

                                              ----------------------------------

                                              ----------------------------------
                                              (Signature(s) of all Unitholder(s)
                                              or assignee(s))
   By:
       -------------------------------
        (Authorized corporate officer,
        partner, manager, member or
        trustee)
                                              Social Security Number(s):
   Taxpayer ID Number

                                              ---------------------------------
   ----------------------------
                                              ---------------------------------

                                              ---------------------------------

                                       E-2
PART TWO
                     INFORMATION NOT REQUIRED IN PROSPECTUS

INFORMATION NOT REQUIRED IN PROSPECTUS

                                      II-1
ITEM 13.  OTHER EXPENSES OF ISSUANCE AND DISTRIBUTION

     The following is an estimate of the costs incurred in connection with
preparing and filing this Registration Statement. The General Partner will pay
all such costs.
Securities and Exchange Commission Registration Fee                 $     8,090

National Association of Securities Dealers, Inc. Filing Fee         $    10,500

Printing Expenses                                                   $   100,000

Fees of Certified Public Accountants                                $    30,000

Blue Sky Expenses (Excluding Legal Fees)                            $    80,000

Fees of Counsel                                                     $   350,000

Miscellaneous Expenses                                              $    60,000
                                                                    -----------

TOTAL                                                               $   638,590
ITEM 14.  INDEMNIFICATION OF DIRECTORS AND OFFICERS

     Section 16 of the Limited Partnership Agreement (attached as Exhibit A to
the prospectus which forms a part of this Registration Statement) provides for
the indemnification of the General Partner, certain of its affiliates and
certain of its directors, officers and controlling persons by the Fund in
certain circumstances. The General Partner and its affiliates shall be
indemnified by the Fund against any losses, judgments, liabilities, expenses and
amounts paid in settlement of any claims sustained by them in connection with
the Fund; provided, that the General Partner, in good faith, determined that
such conduct was in the best interests of the Fund, the General Partner or its
affiliates were acting on behalf of or performing services for the Fund and such
claims were not the result of negligence or misconduct on the part of the
General Partner or its Affiliates. The Fund is prohibited from incurring the
cost of any insurance covering any broader indemnification than that provided
above. The Fund will not advance any sums to cover legal expenses or other costs
incurred as a result of any legal action initiated against the General Partner
by a limited partner unless a court of competent jurisdiction approves such
advance.

ITEM 15.  RECENT SALES OF UNREGISTERED SECURITIES

     On July 9, 2003, the Fund sold 0.001 Unit to the initial limited partner to
permit the formation of the Fund in preparation for the filing of this
Registration Statement. The sale of this Unit was exempt from registration under
the Securities Act of 1933 pursuant to Section 4(2) thereof. No discounts or
commissions were paid in connection with the sale, and no other offeree or
purchaser was solicited. There have been no other sales of unregistered
securities of the Fund.

ITEM 16.  EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

     The following documents (unless indicated) are filed herewith and made a
part of this Registration Statement.

                                      II-2
(a)       EXHIBITS.

Exhibit   Description of Document

1.1       Form of Selling Agreement among the Fund, the General Partner and the
          Selling Agent (including form of Additional Selling Agent Agreement)

3.1       Certificate of Limited Partnership of Registrant

3.2       Form of Limited Partnership Agreement (included as Exhibit A to the
          Prospectus)

5.1       Opinion of Mayer, Brown, Rowe & Maw LLP relating to the legality of
          the Units

8.1       Opinion of Mayer, Brown, Rowe & Maw LLP relating to Federal Income Tax
          Aspects

10.1      Form of Subscription Agreement (included as Exhibit C to the
          Prospectus)

10.2      Form of Escrow Agreement

23.1      Consent of Independent Accountants from PricewaterhouseCoopers LLP

23.2      Consent of Independent Accountants from Grant Thornton LLP

23.3      Consent of Counsel from Mayer, Brown, Rowe & Maw LLP (contained in
          Exhibits 5.1 and 8.1)

(b)       FINANCIAL STATEMENT SCHEDULES.

          No Financial Schedules are required to be filed herewith.

ITEM 17.  UNDERTAKINGS
(a)(1) The undersigned Registrant hereby undertakes to file, during any period
in which offers or sales are being made, a post-effective amendment to this
registration statement:

          (i)   to include any prospectus required by Section 10(a)(3) of the
          Securities Act of 1933;

          (ii)  to reflect in the prospectus any facts or events arising after
          the effective date of the registration statement (or the most recent
          post-effective amendment thereof) which, individually or in the
          aggregate, represent a fundamental change in the information set forth
          in the registration statement. Notwithstanding the foregoing, any
          increase or decrease in volume of securities offered (if the total
          dollar value of securities offered would not exceed that which was
          registered) and any deviation from the low or high end of the
          estimated maximum offering range may be reflected in the form of
          prospectus filed with the Commission pursuant to Rule 424(b) if, in
          the aggregate, the changes in volume and price represent no more than
          a 20 percent change in the maximum aggregate offering price set forth
          in the "Calculation of Registration Fee" table in the effective
          registration statement;

          (iii) To include any material information with respect to the plan of
          distribution not previously disclosed in the registration statement or
          any material change to such information in the registration statement.

                                      II-3
(2) That, for the purpose of determining any liability under the Securities Act
of 1933, each such post-effective amendment shall be deemed to be a new
registration statement relating to the securities offered therein, and the
offering of such securities at that time shall be deemed to be the initial bona
fide offering thereof.

(3) To remove from registration by means of a post-effective amendment any of
the securities being registered which remain unsold at the termination of the
offering.

(b) Insofar as indemnification from liabilities under the Securities Act of 1933
may be permitted to the directors, officers and controlling persons of the
Registrant pursuant to the provisions described in Item 14 above, or otherwise,
the Registrant had been advised that in the Securities and Exchange Commission
such indemnification is against public policy as expressed in the Securities Act
of 1933 and is, therefore, unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by the
Registrant of expenses incurred or paid by a director, officer or controlling
person in connection with the securities being registered, the Registrant will,
unless in the opinion of its counsel the matter has been settled by controlling
precedent, submit to the court of appropriate jurisdiction the question whether
such indemnification by it is against public policy as expressed in the Act and
will be governed by the final adjudication of such issue.

                                      II-4
SIGNATURES

     Pursuant to the requirements of the Securities Act of 1933, the General
Partner of the Registrant had duly caused this Registration Statement to be
signed on its behalf by the undersigned, thereunto duly authorized, in the City
and State of New York on the 24th day of July, 2003.

S&P MANAGED FUTURES INDEX FUND, LP

By:  RefcoFund Holdings, LLC
General Partner

By: /s/ David A. Kugler
   --------------------
Name: David A. Kugler
Title: President

      Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed below by the following persons in the
capacities and on the date indicated.
SIGNATURE                               TITLE                              DATE
REFCOFUND HOLDINGS, LLC                     General Partner                              July 24, 2003

       /s/David A. Kugler                   President (Principal Financial Officer)      July 24, 2003
------------------------------------
         David A. Kugler

      /s/Phillip R. Bennett                 Manager                                      July 24, 2003
------------------------------------
       Phillip R. Bennett

         /s/Thomas Hackl                    Manager                                      July 24, 2003
------------------------------------
          Thomas Hackl

        /s/Joseph Murphy                    Manager                                      July 24, 2003
------------------------------------
          Joseph Murphy
II-5
As filed with the Securities Exhange Commission on July 25, 2003

                                                  Registration No.   -

-------------------------------------------------------------------------------

                       SECURITIES AND EXCHANGE COMMISSION

                            WASHINGTON, D.C. 20549

                             --------------------

                            EXHIBITS TO FORM S-1

                           REGISTRATION STATEMENT

                                   UNDER

                          THE SECURITIES ACT OF 1933

                             --------------------

                       S&P MANAGED FUTURES INDEX FUND, LP

-------------------------------------------------------------------------------
TABLE OF CONTENTS
EXHIBIT   DESCRIPTION OF DOCUMENT
1.1       Form of Selling Agreement among the Fund, the General Partner and the
          Selling Agent (including Form of Additional Selling Agent Agreement)

3.1       Certificate of Limited Partnership of Registrant

3.2       Form of Limited Partnership Agreement (included as Exhibit A to the Prospectus)

5.1       Opinion of Mayer, Brown, Rowe & Maw LLP relating to the legality of the Units

8.1       Opinion of Mayer, Brown, Rowe & Maw LLP relating to Federal Income Tax Aspects

10.1      Form of Subscription Agreement (included as Exhibit B to the Prospectus)

10.2      Form of Escrow Agreement

23.1      Consent of Independent Accountants from PricewaterhouseCoopers LLP

23.2      Consent of Independent Accountants from Grant Thornton LLP

23.3      Consent of Counsel from Mayer, Brown, Rowe & Maw LLP (included in
          Exhibits 5.1 and 8.1)