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                                                                    EXHIBIT 99.1

                       S&P MANAGED FUTURES INDEX FUND, LP
                           c/o RefcoFund Holdings, LLC
                           One World Financial Center
                          200 Liberty Street - Tower A
                            New York, New York 10281

October 17, 2005

Re:  CURRENT STATUS OF FUND OPERATIONS

Dear Investor:

I am writing to inform you of certain recent developments concerning your
investment in the S&P Managed Futures Index Fund, LP (the "Fund") and the
management activities of RefcoFund Holdings, LLC, the general partner of the
Fund (the "General Partner").

On October 10, 2005, Refco, Inc., the ultimate parent of the General Partner,
announced that it had discovered through an internal review a receivable owed to
Refco, Inc., by an entity controlled by Phillip R. Bennett, the then Chief
Executive Officer and Chairman of the Board of Directors of Refco, Inc., in the
amount of approximately $430 million. Mr. Bennett has been charged with
securities fraud in connection with this matter and various actions have been
filed against Refco, Inc. Thereafter, on October 13, 2005, Refco, Inc.,
announced that the liquidity within Refco Capital Markets, Ltd. ("RCM") was no
longer sufficient to continue operations, and that RCM had imposed a fifteen
(15) day moratorium on all of its activities in an attempt to protect the value
of that enterprise.

Although the Fund's assets are not held directly with Refco, Inc., one of Refco,
Inc.'s affiliated entities, Refco, LLC, did indirectly serve as the futures
commission merchant through the Fund's investment in the SPhinX Managed Futures
Fund SPC (the "SPhinX Fund"). In addition, a portion of the Fund's assets (less
than 3%, based upon current market value) was indirectly exposed to RCM through
a number of foreign currency contracts held within the portfolios of the SPhinX
Fund. The SPhinX Fund does not expect to be able to unwind such foreign currency
contracts with RCM during the moratorium described above.

In light of the events outlined herein, the SPhinX Fund is in the process of
moving all of the assets from Refco, LLC, and has engaged Lehman Brothers and
its affiliated entities to act in this capacity. The SPhinX Fund expects that by
the close of business on October 17, 2005, it will no longer have assets on
deposit with Refco, LLC and, pending the release of the portion of assets
currently subject to the moratorium, will no longer have assets on deposit with
RCM. The SPhinX Fund anticipates moving the remaining assets as soon as the
moratorium is lifted.

The General Partner does not believe that the moratorium will have a material
impact upon the operations of the Fund or the SPhinX Fund, or either's ability
to satisfy a request for redemption. In this regard, the operations of the Fund
and the SPhinX Fund, including the trading activities of the underlying asset
managers, have continued with minimal interruption. Investors are cautioned,
however, that there can be no assurances (i) that the moratorium will not be
extended, (ii) that the SPhinX Fund will have access to any or all of its assets
in accounts held at RCM
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after the moratorium is lifted, (iii) with respect to the amount or value of
those assets, when and if the SPhinX Fund obtains them, or (iv) the effect upon
the SPhinX Fund of future actions by RCM or others, any of which may ultimately
impact the SPhinX Fund's ability to value that portion of its assets held at RCM
and/or delay the payment of an investor's pro rata share of such assets upon
redemption. In particular, the SPhinX Fund has informed the Fund that, with
respect to redemptions made as of October 14, 2005, the SPhinX Fund intends to
make payment in the ordinary course with respect to 95% of the proceeds of such
redemptions, while reserving the payment of the remaining 5% of the proceeds
until such time as it may establish a reasonable valuation with respect to the
foreign currency contracts to which RCM is the counterparty. As such, the Fund
may reserve payment with respect to 5% of any redemption proceeds until these
monies are remitted to the Fund by the SPhinX Fund.

Generally, investors in the Fund may redeem units as of (i) the 15th day of any
calendar month (or the business day prior to the 15th day of the month if the
15th day of the month is not a business day), and (ii) the last business day of
any calendar month; provided, however, that, in either instance, the General
Partner receives 10 business days' prior written notice of an investor's intent
to redeem.

Effective October 13, 2005, the composition of the Managers and Officers of the
General Partner has changed as follows:

Mr. Philip R. Bennett is no longer a Manager of the General Partner.

Effective August 8, 2005, Mr. Philip Silverman resigned as the Secretary and
Chief Financial Officer of the General Partner. Mr. Silverman was replaced in
each capacity by Mr. Keith D. Kemp. Mr. Keith D. Kemp, age 44, is Chief
Financial Officer and Secretary of the General Partner. Mr. Kemp has been Vice
President of Operations for Refco Alternative Investments LLC since October
2003, where he is responsible for onshore and offshore product operations. Mr.
Kemp has also been the Chief Financial Officer/Accounting Officer for Refco
Commodities Management Inc. since September 1, 2005. Prior to joining Refco, Mr.
Kemp worked as an independent consultant from March 2003 to October 2003. Mr.
Kemp spent April 2002 to February 2003 traveling. From July 2000 to March 2002,
Mr. Kemp was Senior Vice President and Chief Operating Officer of Orbitex Fund
Services, Inc., where he was responsible for fund accounting, fund
administration and transfer agency. From February 1999 to July 2000, Mr. Kemp
was Vice President at Orbitex Management, Inc., where he was responsible for
onshore and offshore product operations. Mr. Kemp holds a B.S. in Accounting
from the State University of New York.

Mr. Richard C. Butt, President of the General Partner, was appointed a Manager
of the General Partner. Mr. Butt will serve on the audit committee of the
General Partner.

Ms. Annette A. Cazenave, age 49, was appointed a Manager of the General Partner,
pending her registration as a principal of the General Partner with the National
Futures Association. Ms. Cazenave will serve on the audit committee of the
General Partner. Ms. Cazenave joined Refco Commodities Management, Inc. on
September 1, 2005 in connection with its acquisition of the global brokerage
operations of Cargill Investor Services, Inc. She joined Cargill Investor
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Services, Inc. in March 2004 with over twenty-four years of comprehensive
experience in alternative asset management (futures, derivatives and hedge
funds) marketing and business management. Previously, Ms. Cazenave was Vice
President, Marketing and Product Development, for Horizon Cash Management, LLC
(January 2002- March 2004). Prior to this, she was President and Principal of
Skylark Partners, Inc. (March 1993 - December 2001) in New York, a financial
services consulting firm. During this time, Ms. Cazenave acted as a consultant
on behalf of Liberty Funds Group among others. Additionally, Ms. Cazenave held
senior level positions with ED&F Man Funds Division (now Man Investments) in New
York (March 1986-March 1993). Ms. Cazenave began her career in August 1979 as a
Sugar trader and holds a B.A. from Drew University and an M.B.A. from
Thunderbird, The American Graduate School of International Management.

If you have any questions regarding any of the aforementioned developments,
please do not hesitate to contact your financial adviser.

Sincerely,


/s/ Richard C. Butt
Richard C. Butt
President and Manager
RefcoFund Holdings, LLC