<Page> Filed pursuant to rule 424(b)(3) Registration No. 333-107357 S&P MANAGED FUTURES INDEX FUND, LP Specifically designed to track the S&P Managed Futures Index(TM), before expenses of the Fund This monthly report supplements the Fund's Prospectus dated July 1, 2005. S&P MANAGED FUTURES INDEX FUND, LP - PERFORMANCE SUMMARY - JUNE 2005 <Table> <Caption> CLASS A CLASS B Units $(M) Units $(M) -------------------------------------------------- Net Asset Value, May 31, 2005 48,905 38.9 10,611 8.6 Subscriptions 897 0.7 239 0.2 Redemptions (615) (0.5) (902) (0.7) Net Income (Loss) 0.6 0.1 -------------------------------------------------- Net Asset Value, June 30, 2005* 49,188 39.7 9,948 8.2 ================================================== June 2005 Performance 1.45% 1.62% Year-to Date Performance (10.66%) (9.76%) </Table> * Differences may occur due to rounding FUND'S STATEMENT OF OPERATIONS FOR THE MONTH ENDED JUNE 30, 2005 <Table> <Caption> EXPENSES Management fees Class A $ (139,621) Class B (16,102) Administrative fees Class A (16,770) Class B (3,754) Professional fees (12,917) Other (1,578) ------------- Total expenses (190,742) Less reimbursement of expenses by General Partner 2,113 ------------- Net investment profit (loss) for the month (188,629) Increase (decrease) in equity SPC 908,074 ------------- Net increase (decrease) in net assets $ 719,445 ============= </Table> The Fund is not charged any brokerage or performance fees. I hereby affirm that to the best of my knowledge and belief, the information contained in this statement is accurate and complete. /s/ Richard C. Butt Richard C. Butt President, RefcoFund Holdings, LLC, the Fund's General Partner Commodity Pool Operator: RefcoFund Holdings, LLC Commodity Pool: S&P Managed Futures Index Fund, LP