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                                                                     EXHIBIT 8.1

                                                   [MAYER BROWN ROWE & MAW LOGO]

July 24, 2003                                       Mayer, Brown, Rowe & Maw LLP
                                                       190 South La Salle Street
                                                    Chicago, Illinois 60603-3441
RefcoFund Holdings, LLC
  as general partner of S&P Managed Futures              Main Tel (312) 782-0600
  Index Fund, LP                                         Main Fax (312) 701-7711
550 W. Jackson                                            www.mayerbrownrowe.com
Suite 1300
 Chicago, Illinois 60661


Ladies and Gentlemen:

     We have acted as counsel to S&P Managed Futures Index Fund, LP, a Delaware
limited partnership (the "Partnership"), and its general partner, RefcoFund
Holdings, LLC, a Delaware limited liability company (the "General Partner"), in
connection with the preparation and filing of a registration statement on Form
S-1 (the "Registration Statement") with the Securities and Exchange Commission
under the Securities Act of 1933, as amended (the "Act") on or about July 25,
2003.

     In connection with the filing of the Registration Statement, you have
requested our opinions concerning (i) the qualification and taxation for Federal
income tax purposes of the Partnership as a partnership; and (ii) the
information in the Prospectus (the "Prospectus") included in the Registration
Statement under the heading "Federal Income Tax Aspects."

     In formulating our opinions, we have reviewed and relied upon the
Registration Statement and such applicable provisions of law and other documents
as we have considered necessary or desirable for purposes of the opinions
expressed herein. For purposes of our opinions, we have not made an independent
investigation of the facts set forth in such documents or the Registration
Statement. We have, consequently, assumed that the information presented therein
accurately and completely describes all material facts relevant to our opinions.
No facts have come to our attention, however, that would cause us to question
the accuracy or completeness of such facts or documents in a material way.

     In rendering these opinions, we have assumed that the transactions
contemplated by the foregoing documents have been consummated in accordance with
the provisions thereof, and that such documents accurately reflect the material
facts of such transactions. In addition, these opinions are based upon the
assumption that the Partnership will operate in the manner described in its
organizational documents and in the Registration Statement, and all terms and
provisions of such agreements and documents have been and will continue to be
complied with. Our opinions expressed herein are based on the applicable laws of
the State of Delaware, the Internal Revenue Code of 1986, as amended (the
"Code"), Treasury regulations promulgated thereunder, interpretations of the
Code and such regulations by the courts and the Internal Revenue Service,


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    Mayer, Brown, Rowe & Maw LLP operates in combination with our associated
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all as they are in effect and exist at the date of this letter. It should be
noted that statutes, regulations, judicial decisions, and administrative
interpretations are subject to change at any time and, in some circumstances,
with retroactive effect. A material change that is made after the date hereof in
any of the foregoing bases for our opinions could adversely affect our
conclusions.

     Based upon and subject to the foregoing, it is our opinion that:

     1.   The Partnership will be treated as a partnership for federal income
tax purposes, assuming that the Partnership does not elect to be taxed as a
corporation and that substantially all of the gross income of the Partnership
for each of its taxable years will constitute "qualifying income" within the
meaning of Section 7704(d) of the Code.

     2.   The information in the Prospectus included in the Registration
Statement under the heading "FEDERAL INCOME TAX ASPECTS," to the extent that it
constitutes matters of law or legal conclusions, has been reviewed by us and is
correct in all material respects.

     Other than as expressly stated above, we express no opinion on any issue
relating to the Partnership or any investment therein. This opinion speaks as of
the date hereof and we assume no obligation to update this opinion as of any
future date. This opinion shall not be used for any purpose without our written
consent.

     We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement and to the use of the name of our firm therein under the
caption "FEDERAL INCOME TAX ASPECTS" in the Registration Statement.

Sincerely,


Mayer, Brown, Rowe & Maw LLP