<PAGE>   1

                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                    FORM 10-K


                /X/ Annual Report Pursuant to Section 13 or 15(d)
              of the Securities Exchange Act of 1934 [Fee Required]

                    For the Fiscal Year Ended: July 31, 1998

                                       OR

                  / / Transition Report Pursuant to Section 13
        or 15(d) of the Securities Exchange Act of 1934 [No Fee Required]

                         Commission File Number: 0-17590

                    THE FOUR SEASONS FUND LIMITED PARTNERSHIP
                    -----------------------------------------
             (Exact name of registrant as specified in its charter)

          Illinois                                36-3586810
          --------                                ----------
   (State or other jurisdiction of              (I.R.S. Employer
    incorporation or organization)              Identification No.)

                       c/o HEINOLD ASSET MANAGEMENT, INC.
                                440 South LaSalle
                                   20th Floor
                             Chicago, Illinois 60605
                             -----------------------
                    (Address of principal executive offices)

Registrant's telephone number, including area code:
(312) 663-7500

Securities registered pursuant to Section 12(b) of the Act:
None

Securities registered pursuant to Section 12(g) of the Act: Limited Partnership
Units

Indicate by check mark whether the registrant (1) filed all reports required to
be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.

               Yes   X                           No 
                    ---                              ---

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of the registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or any
amendment to this Form 10-K.

The registrant is a limited partnership and, accordingly, has no voting stock
held by nonaffiliates or otherwise.


<PAGE>   2


                                     PART I

Item 1.  Business 

         (a)      General development of business

                  The Four Seasons Fund Limited Partnership (the "Partnership")
is a limited partnership organized on February 10, 1988 pursuant to an Agreement
of Limited Partnership (the "Limited Partnership Agreement") and under the
Revised Uniform Limited Partnership Act of the State of Illinois. The
Partnership was funded through an offering of Units of Limited Partnership
Interest ("Units"). Limited Partners of Units are referred to herein as
"Unitholders." The Partnership implements asset allocation strategies by trading
approximately 20% of its original assets in the futures markets through an
affiliated limited partnership (the "Trading Company") of which the Partnership
is the sole limited partner, while maintaining its remaining assets in a
"guaranteed yield pool". The guaranteed yield pool was established at the
commencement of operations, and approximately 80% of the Partnership's assets
were invested in zero coupon U.S. Treasury Strip Notes (the "Notes"), so as to
yield $1,000 per unit, plus 5% compound annual yield, on November 15, 1994. On
November 15, 1994, the Notes expired and in December 1994, approximately 80% of
the Partnership's assets were invested in new Notes so as to yield $1,515.85 per
unit, plus a minimum of 3% compound annual yield, on November 15, 2000.

                  The public offering of Units began on approximately October 1,
1988 and was completed on February 23, 1989. The offering was registered under
the Securities Act of 1933, as amended, and Geldermann Securities, Inc. acted as
selling agent and selected numerous broker/dealers to act as additional selling
agents on a best efforts basis. A total of 41,409 Units were sold to the public
during the public offering.

                  Heinold Asset Management, Inc. (the "General Partner"), a
Delaware corporation, is the General Partner of the Partnership and, in that
capacity, performs various administrative services. The General Partner was
organized in 1982 to serve as the general partner and pool operator for public
and private commodity pools sponsored by Heinold Commodities, Inc., an
affiliate. Until March 31, 1996, the General Partner was a wholly owned
subsidiary of Geldermann, Inc., an Illinois corporation ("Geldermann"). On March
31, 1996, the General Partner became a wholly owned subsidiary of E.D. & F. Man
Inc., a Delaware corporation with headquarters in New York, New York.

                  Until June 1, 1995, Geldermann acted as the Partnership's
futures commission merchant or commodity broker. On that date, E.D. & F. Man
International Inc. (the "Commodity Broker") replaced Geldermann as the
Partnership's commodity broker. The General Partner and the Commodity Broker
perform various services related to the Partnership's trading pursuant to the
Partnership's Limited Partnership Agreement and the Partnership's customer
agreement with the Commodity Broker. The General Partner's investment in the
Partnership at the outset of trading was $410,620, which, after the redemptions
set forth below, was worth $246,032 as of July 31, 1998. On October 1, 1991 and
March 31, 1995, the General Partner redeemed 59 Units and 250 Units for $73,625
and $402,510, respectively.

                  RXR, Inc., a New York corporation (the "Trading Advisor"), is
the Partnership's Trading Advisor. RXR is not an affiliate of the Partnership or
of the General Partner.

                  The Trading Advisor directs the Partnership's futures and
options trading in stock index, bond and managed futures and short-term interest
rate instruments and forward trading, pursuant to a Joint Venture Agreement with
the Partnership's Trading Company. The Trading Advisor receives a quarterly

                                       2
<PAGE>   3

profit share from the Partnership of 15% of New Trading Profits provided that
the joint venture has taxable income in a calendar year. This profit share is
retained by the Trading Advisor even if trading losses occur in subsequent
quarters; however, no further profit share is payable until any such trading
losses (other than losses attributable to redeemed units) are recouped by the
Partnership. As of July 31, 1998, there was a carry-forward loss of $383,201.
Reference is made to Note (5) of the Financial Statements. In addition, the
Trading Advisor receives a monthly consulting fee paid by the Commodity Broker
of 0.0417 of 1% (0.5% per annum) of the Partnership's month-end Net Assets. New
Trading Profits and Net Assets are each determined pursuant to formulas set
forth in the Joint Venture Agreement between the Partnership's Trading Company
and the Trading Advisor and the Consulting Agreement between the Commodity
Broker and the Trading Advisor.

                  At the commencement of trading, the Partnership's assets were
deposited in the following proportions: approximately 20% with the Partnership's
Trading Company and approximately 80% which the General Partner, on the
Partnership's behalf, invested in zero-coupon United States Treasury strip notes
as the Partnership's guaranteed yield pool.

                  The Trading Company has a brokerage contract with the
Commodity Broker, which provides that the Commodity Broker will be paid a rate
of 4.00% of Net Assets per annum, plus floor brokerage, National Futures
Association, exchange and clearing fees. This rate was reduced from 4.75% to
4.45% on December 1, 1995 and further reduced to 4.00% on December 1, 1996.

                  The Trading Advisor's trading method is highly systematic and
technical. The objectives of the trading method are to maintain an optimum asset
mix in a fully diversified portfolio, while integrating a 20% to 30% managed
futures component to achieve significant capital gains through speculative
trading in the futures and forward market.

Regulation

                  Under the Commodity Exchange Act, as amended (the "Act"),
commodity exchanges and futures trading are subject to regulation by the
Commodity Futures Trading Commission (the "CFTC"). The National Futures
Association ("NFA"), a "registered futures association" under the Act, is the
only non-exchange self-regulatory organization for futures industry
professionals. The CFTC has delegated to the NFA responsibility for the
registration of "commodity trading advisors," "commodity pool operators,"
"futures commission merchants," "introducing brokers" and their respective
associated persons and "floor brokers" and "floor traders". The Act requires
"commodity pool operators," such as the General Partner, "commodity trading
advisors," such as the Trading Advisor, and commodity brokers or "futures
commission merchants," such as the Commodity Broker, to be registered and to
comply with various reporting and recordkeeping requirements. The General
Partner, the Trading Advisor and the Commodity Broker are all members of NFA.
The CFTC may suspend a commodity pool operator's or a trading advisor's
registration if the CFTC finds that its trading practices tend to disrupt
orderly market conditions or in certain other situations. In the event that the
registration of the General Partner as a commodity pool operator or the Trading
Advisor's registration as a commodity trading advisor was terminated or
suspended, the General Partner and the Trading Advisor, respectively, would be
unable to continue to manage the business of the Partnership. Should the General
Partner's registration be suspended, termination of the Partnership might
result.

                  As members of NFA, the General Partner, the Trading Advisor
and the Commodity Broker are subject to NFA standards relating to fair trade
practices, financial condition and customer protection. 

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<PAGE>   4

As the self-regulatory body of the futures industry, the NFA promulgates rules
governing the conduct of futures industry professionals and disciplines those
professionals which do not comply with such standards.

                  In addition to such registration requirements, the CFTC and
certain futures exchanges have established limits on the maximum net long or net
short position which any person may hold or control in particular futures. The
CFTC has adopted a rule requiring all domestic futures exchanges to submit for
approval speculative position limits for all futures contracts traded on such
exchanges. Many exchanges also limit the changes in futures contract prices that
may occur during a single trading day. The Partnership may trade on foreign
commodity exchanges which are not subject to regulation by any United States
Government agency.

                  The Trading Advisor engages in trading on most major
non-United States exchanges and markets on behalf of the Partnership. Trading on
such exchanges and markets involves certain risks not applicable to trading on
United States exchanges and is frequently less regulated. For example, certain
of such exchanges may not provide the same assurances of the integrity
(financial and otherwise) of the marketplace and its participants as do United
States exchanges. Some non-United States exchanges, in contrast to United States
exchanges, are "principals' markets" in which performance is the responsibility
only of the individual member with whom the trader has dealt and is not the
responsibility of an exchange or clearing association. Furthermore, trading on
certain non-United States exchanges may be conducted in such a manner that all
participants are not afforded an equal opportunity to execute certain trades and
may also be subject to a variety of political influences and the possibility of
direct government intervention. The Partnership also would be subject to the
risk of fluctuations in the exchange rate between the local currency and the
United States dollar and to the possibility of exchange controls. Finally,
futures contracts traded on non-United States exchanges (other than foreign
currency contracts) might not be considered to be "regulated futures contracts"
for Federal income tax purposes.

         (b)      Financial information about industry segments

                  The Partnership's business constitutes only one segment,
speculative trading of forward contracts and futures and options on futures
contracts, for financial reporting purposes. The Partnership does not engage in
sales of goods and services. The Partnership's revenue, operating results and
total assets for the five fiscal years ended July 31, 1998 are set forth under
"Item 6. Selected Financial Data."

         (c)      Narrative description of business

                  (1)      See Items 1(a) and (b) above.

                           (i) through (xii) - not applicable.

                           (xiii) - the Partnership has no employees.

         (d)      Financial information about foreign and domestic operations 
and export sales

                  The Partnership does not engage in sales of goods or services.
See "Item 1(b). Financial information about industry segments."

                                       4

<PAGE>   5

Item 2.  Properties

                  The Partnership does not own any properties. Under the terms
of the Limited Partnership Agreement, the General Partner performs the following
services for the Partnership:

                  (1) Manages the business of the Partnership. Pursuant to this
authority, the General Partner through its Trading Company, has entered into a
Joint Venture Agreement with the Trading Advisor (under which the Trading
Advisor has complete discretion with respect to determination of the
Partnership's trading decisions with respect to that portion of the
Partnership's assets which the Trading Advisor manages) and a Customer Agreement
with the Commodity Broker (pursuant to which the Commodity Broker executes all
trades on behalf of the Partnership based on the instructions of the Trading
Advisor).

                  (2) Maintains the Partnership's books and records which
Unitholders or their duly authorized representatives may inspect during normal
business hours for any proper purpose upon reasonable written notice to the
General Partner.

                  (3) Furnishes each Unitholder with a monthly statement
describing the performance of the Partnership which sets forth the brokerage
commissions and other expenses incurred or accrued and any profit share
allocable to the Trading Advisor by the Partnership for the month.

                  (4) Forwards annual audited financial statements (including a
statement of financial condition and statement of operations) to each
Unitholder.

                  (5) Provides to each Unitholder tax information necessary for
the preparation of his annual federal income tax return and such other
information as the CFTC may by regulation require.

                  (6) Performs secretarial and other clerical duties and
furnishes office space, equipment and supplies as may be necessary for
supervising the affairs of the Partnership.

                  (7) Administers the redemption of Units.

Item 3.  Legal Proceedings

         The General Partner is not aware of any pending legal proceedings to
which the Partnership is a party or to which any of its assets are subject. In
addition, there are no pending material proceedings involving the General
Partner or the Commodity Broker.

Item 4.  Submission of Matters to a Vote of Security Holders

                  None.

                                     PART II

Item 5.  Market for the Registrant's Common Equity and Related Stockholder 
Matters

                  (a) Market Information. There is no trading market for the
Units, and none is likely to develop. They are transferable only after written
notice has been given to and approved by the General 

                                       5
<PAGE>   6

Partner. Units may be redeemed effective as of the close of business on the last
business day of any calendar quarter, and then only in whole Units, at the Net
Asset Value per Unit calculated as of the close of business (as determined by
the General Partner) on the effective date of redemption. The Net Asset Value is
calculated by valuing the Partnership's investment in U.S. Treasury Strip Notes
at the lower of accreted costs or market value. Units redeemed on or prior to
the end of the fourth and after the end of the fourth but on or prior to the end
of the eighth full calendar quarter of the Partnership's operations were subject
to a 4% and 3% redemption charge, respectfully. This charge was paid to the
General Partner. Requests for redemption must be received by the General Partner
ten days before the redemption date. During the period August 1, 1990 through
March 1991 (the last quarter during which redemption penalties were charged)
there were redemption charges of $83,805 paid to the General Partner.

                  (b) Holders. As of July 31, 1998, there were 316 holders of
Units.

                  (c) Dividends. No distributions or dividends have been made on
the Units, and the General Partner presently has no intention to make any.

Item 6. Selected Financial Data

                  The following is a summary of operations and total assets of
the Partnership for the five fiscal years ended July 31, 1998.



                                       6

<PAGE>   7


<TABLE>
<CAPTION>
                                     Fiscal Year      Fiscal Year        Fiscal Year      Fiscal Year       Fiscal Year
                                        Ended            Ended              Ended            Ended             Ended
                                    July 31, 1998    July 31, 1997      July 31, 1996    July 31, 1995     July 31, 1994
                                    -------------    -------------      -------------    -------------     -------------
<S>                                 <C>               <C>               <C>               <C>               <C>          
Revenues:
Gain (loss) on trading of
  futures and
  forward contracts                 $    227,175      $  2,428,543      $   (148,660)     $   (532,491)     $ (1,445,324)
Interest income                          126,262           104,045           133,072           314,556           269,873
Accretion of U.S. Treasury
  Strip Notes                            974,132           989,940           969,469         1,400,402         2,739,833
Net realized and unrealized
  gain (loss) on U.S. Treasury
  Strip Notes                            (58,872)          182,440          (270,765)          829,359        (1,823,682)
Realized gain on sale of
  U.S. Treasury Strip Notes                    0                 0                 0            45,157            88,837
                                    ------------      ------------      ------------      ------------      ------------

Total revenue                          1,268,697         3,704,968           683,116         2,056,983          (170,463)

Expenses:
Brokerage commissions                    658,592           661,043           726,631         1,068,370         1,918,393
Profit Share to Trading
  Advisor                                 13,352            99,843            19,306                 0           (36,724)
Other                                     23,000            54,501            83,898           155,159           324,678
                                    ------------      ------------      ------------      ------------      ------------

Total expenses                           694,944           815,387           829,835         1,223,529         2,206,347
                                    ------------      ------------      ------------      ------------      ------------
Net income (loss) before
  minority interest                      573,753         2,889,581          (146,719)          833,454        (2,376,810)
Minority interest                         13,970           (57,975)           21,622            24,054            50,618
                                    ------------      ------------      ------------      ------------      ------------
Net income (loss)                   $    587,723      $  2,831,606      $   (125,907)     $    857,508      $ (2,326,192)
                                    ============      ============      ============      ============      ============

Net income (loss) allocated to:
  General Partner                   $      9,212      $     38,753      $       (739)     $     20,910      $    (33,563)
                                    ============      ============      ============      ============      ============

  Limited Partners                  $    578,511      $  2,792,853      $   (124,358)     $    836,598      $ (2,292,629)
                                    ============      ============      ============      ============      ============

Net income (loss) for a
  Unit of Partnership Interest
  (for a Unit outstanding
  throughout each year):
  General Partner                   $      83.78      $     352.30      $      (6.72)     $     195.09      $     (93.23)
                                    ============      ============      ============      ============      ============
  Limited Partners                  $      83.78      $     352.30      $      (6.72)     $     195.09      $     (93.23)
                                    ============      ============      ============      ============      ============

Total assets                        $ 15,925,144      $ 17,270,133      $ 16,069,074      $ 18,434,548      $ 37,604,209
                                    ============      ============      ============      ============      ============
</TABLE>


                                       7
<PAGE>   8


Item 7.  Management's Discussion and Analysis of Financial Condition and Results
of Operations

                  Reference is made to "Item 6. Selected Financial Data" and
"Item 8. Financial Statements and Supplementary Data." The information contained
therein is essential to, and should be read in conjunction with, the following
analysis.

Capital Resources

                  The Partnership does not intend to raise any additional
capital through borrowing and, because it is a closed-end fund, it cannot sell
any more Units unless it undertakes a new public offering, which would require
another registration with the Securities and Exchange Commission. Due to the
nature of the Partnership's business, it will make no significant capital
expenditures and substantially all of its assets are and will be represented by
U.S. Treasury Strip Notes and investments in futures and options on futures.

Liquidity

                  Many United States commodity exchanges limit fluctuations in
futures contract prices during a single day by regulations referred to as "daily
price fluctuation limits" or "daily limits." During a single trading day, no
trades may be executed at prices beyond the daily limit. Once the price of a
futures contract has reached the daily limit for that day, positions in that
contract can neither be taken nor liquidated. Futures prices have occasionally
moved the daily limit for several consecutive days with little or no trading.
Similar occurrences could prevent the Partnership from promptly liquidating
unfavorable positions and subject the Partnership to substantial losses which
could exceed the margin initially committed to such trades. In addition, even if
futures prices have not moved the daily limit, the Partnership may not be able
to execute futures trades at favorable prices if little trading in such
contracts is taking place. Other than these limitations on liquidity, which are
inherent in the Partnership's futures trading operations, the Partnership's
assets are highly liquid and are expected to remain so.

Results of Operations

                  The significant components of revenue generated by the
Partnership include: any net realized trading gains on closed futures and
forward contracts, any change in net unrealized appreciation/depreciation on
open futures and forward contracts, interest income earned on U.S. Treasury
securities, accretion of U.S. Treasury Strip Notes, any unrealized gain on
market value of U.S. Treasury Strip Notes and any realized gain on sale of U.S.
Treasury Strip Notes. Partnership expenses include brokerage commissions, profit
shares and other administrative expenses.

                  Operating results show a profit for the fiscal years ended
July 31, 1998 and July 31, 1997 and a loss for the fiscal year ended July 31,
1996.

                  The Net Asset Value per Unit on a redemption value basis as of
July 31, 1998 and July 31, 1997 was $2,140.56 and $2,048.19, respectively.

                  The Partnership realized a profit for the fiscal year ended
July 31, 1998. This profit was due in large part to the accretion of the U.S.
Treasury Strip Notes. Slight trading gains were realized by the Trading Advisor
from long IMM S&P contracts as well as long positions in U.S. fixed income
markets. These positions were profitable due to subdued inflation, the continued
strength of the U.S. economy and declining interest rates. The Partnership
incurred some losses in agricultural, energy and currency 

                                       8
<PAGE>   9

contracts, however, such losses did not offset trading gains. As of October 31,
1997, January 31, 1998, April 30, 1998 and July 31, 1998, the Net Asset Value
per Unit on a redemption value basis was $2,009.36, $2,075.77, $2,128.37 and
$2,140.56, respectively.

                  The Partnership realized a profit for the fiscal year ended
July 31, 1997. Profitable trading occurred in long U.S. dollar positions against
the Swiss franc, German mark, Japanese yen, and the New Zealand dollar.
Profitable trading also occurred from long positions in U.S. equity and fixed
income markets. These positions were profitable due to declining interest rates
and subdued inflation. The Partnership incurred some losses in agricultural,
sugar and cotton positions, however, such losses did not offset trading gains.
As of October 31, 1996, January 31, 1997, April 30, 1997 and July 31, 1997, the
Net Asset Value per Unit on a redemption value basis was $1,786.69, $1,838.66,
$1,847.70 and $2,048.19, respectively.

                  The Partnership showed slight overall trading losses for the
fiscal year ended July 31, 1996. The Partnership experienced profitable trading
in short U.S. and foreign financial positions which occurred due to an increase
in U.S. interest rates. Profitable positions were also held in the agricultural
and currency markets. The Fund's profitable trading, however, was offset by
unprofitable short positions held in currencies, primarily in the third quarter.
Additional losses were incurred in the financial and precious metals markets. As
of October 31, 1995, January 31, 1996, April 30, 1996 and July 31, 1996, the Net
Asset Value per Unit on a redemption value basis was $1,713.35, $1,802.86,
$1,727.99 and $1,721.38, respectively.

                  Inflation is not a significant factor in the Partnership's
profitability.

Impact of Year 2000

                  Like other financial and business organizations and
individuals around the world, the Partnership could be adversely affected if its
computer systems and those of its service providers, including affiliates of the
General Partner, do not properly process and calculate date-related information
relating to the year 2000. The General Partner is taking steps that it believes
are reasonably designed to address any problems with respect to the computer
systems that it uses and to obtain satisfactory assurances that comparable steps
are being taken by its service providers. At this time, however, there can be no
assurance that these steps will be sufficient to avoid any adverse impact to the
Partnership.


Item 8.  Financial Statements and Supplementary Data

                  Financial statements are listed on page F-1 of this report.

                  The supplementary financial information specified by Item 302
of Regulation S-K is not applicable.

                                       9
<PAGE>   10

Item 9.  Changes in and Disagreements with Accountants  on Accounting and 
Financial Disclosure

                  Not applicable.

                  The Partnership filed a Form 8-K on January 17, 1997,
indicating a change in accountants for the fiscal year ended July 31, 1997. Such
Form 8-K is herein incorporated by reference. A report from Deloitte & Touche
LLP dated September 6, 1996, is filed as part of the financial statements to
this report.

                                    PART III

Item 10.  Directors and Executive Officers of the Registrant

                  The Partnership has no directors or executive officers. The
Partnership is managed by its General Partner. There are no "significant
employees" of the Partnership. Trading decisions for the Partnership are made by
the Trading Advisor.

                  The General Partner is a commodity pool operator registered
with the National Futures Association. The Trading Advisor and its respective
principals have been trading commodities accounts for investors pursuant to
their respective trading methods for several years.

Item 11.  Executive Compensation

                  The Partnership has no directors or officers. The General
Partner performs the services described in "Item 2. Properties" herein. E.D. &
F. Man International Inc. acts as the Partnership's commodity broker pursuant to
the Customer Agreement described in "Item 1(a). General development of
business."

                  The General Partner participates in any appreciation in the
net assets of the Partnership in proportion to its investment.

Item 12.          Security Ownership of Certain Beneficial Owners and Management

         (a)      Security ownership of certain beneficial owners

                  The Echlin Inc. Pension Trust owned 2,057.95 Units of Limited
Partnership Interest in the Partnership valued at $4,405,158.00 as of July 31,
1998, 29.34% of the Partnership's total equity.

         (b)      Security ownership of management

                  Under the terms of the Limited Partnership Agreement, the
Partnership's affairs are managed by the General Partner and the Trading Advisor
has discretionary authority over the Partnership's futures and options on
futures contract trading. The General Partner owned 110 Unit-equivalents valued
at $246,032 as of July 31, 1998, 1.57% of the Partnership's total equity.

                                       10
<PAGE>   11

         (c)      Changes in control

                  None.

Item 13.          Certain Relationships and Related Transactions

                  See "Item 11.  Executive Compensation" and "Item 12.
Security Ownership of Certain Beneficial Owners and Management."


                                     PART IV

Item 14.          Exhibits, Financial Statement Schedules, and Reports on 
                  Form 8-K

         (a)(1)  Financial Statements

                  See Index to Financial Statements, infra.

         (a)(2)  Financial Statement Schedules

                  All Schedules are omitted for the reason that they are not
required, are not applicable, or because equivalent information has been
included in the financial statements or the notes thereto.

         (a)(3)  Exhibits as required by Item 601 of Regulation S-K

                  (3)  Articles of Incorporation and By-laws

                  a. Limited Partnership Agreement dated as of February 10,
1988, amended and restated as of August 18, 1988.

                  The above exhibit is incorporated by reference from the
Registration Statement Amendment No. 1 filed by the Partnership on Form S-1
(File No. 33-20264) and declared effective as of September 28, 1988.

                  (10)  Material Contracts

                  a. Joint Venture Agreement between the Partnership and RXR, 
Inc.

                  b. Customer Agreement between the Partnership and Geldermann,
Inc.

                  The above exhibit is incorporated herein by reference from the
Registration Statement filed by the Partnership on Form S-1 (Reg. No. 33-20264)
and declared effective as of September 28, 1988.

                  c. Back Office Service Agreement dated November 1, 1996 among
Managed Asset Service Corp., the General Partner and the Partnership.

                  The above exhibit is filed herewith.


                                       11
<PAGE>   12


         (b)      Reports on Form 8-K

                  The Partnership did not file any reports on Form 8-K during
the quarter ended July 31, 1998.

                  (27)  Financial Data Schedule



                                       12



<PAGE>   13
                                                   Combined Financial Statements

                                       The Four Seasons Fund Limited Partnership
                                               (An Illinois Limited Partnership)

                                       Years ended July 31, 1998, 1997, and 1996
                                             with Report of Independent Auditors


<PAGE>   14


                    The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

                          Combined Financial Statements

                    Years ended July 31, 1998, 1997, and 1996




                                    CONTENTS

Report of Independent Auditors............................................F-1

Combined Financial Statements

Combined Statements of Financial Condition................................F-2
Combined Statements of Operations.........................................F-3
Combined Statements of Changes in Partners' Equity........................F-4
Combined Statements of Cash Flows.........................................F-5
Notes to Combined Financial Statements....................................F-6


<PAGE>   15

INDEPENDENT AUDITORS' REPORT


To the General Partner and
Limited Partners of
The Four Seasons Fund Limited Partnership:

We have audited the accompanying combined statements of operations, changes in
partners' equity and cash flows of The Four Seasons Fund Limited Partnership and
Geldermann Asset Allocation Limited Partnership (collectively, the
"Partnerships") for the year ended July 31, 1996. These financial statements are
the responsibility of the Partnerships' General Partner. Our responsibility is
to express an opinion on these financial statements based on our audit.

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

In our opinion, such combined statements present fairly, in all material
respects, the results of the Partnerships' operations and their cash flows for
the year ended July 31, 1996, in conformity with generally accepted accounting
principles.



Deloitte & Touche LLP

September 6, 1996
Chicago, Illinois


<PAGE>   16

                         [ERNST & YOUNG LLP LETTERHEAD]




                         Report of Independent Auditors

The Partners
The Four Seasons Fund Limited Partnership

We have audited the accompanying combined statements of financial condition of
The Four Seasons Fund Limited Partnership and Geldermann Asset Allocation
Management Limited Partnership, collectively, the Fund, as of July 31, 1998 and
1997, and the related combined statements of operations, changes in partners'
equity, and cash flows for the years then ended. These combined financial
statements are the responsibility of the Fund's General Partner. Our
responsibility is to express an opinion on these financial statements based on
our audits. The combined statements of operations, changes in partner's equity
and cash flows for the year then ended July 31, 1996, were audited by other
auditors whose report dated September 6, 1996, expressed an unqualified opinion
on those statements.

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

In our opinion, the combined financial statements referred to above present
fairly, in all material respects, the combined financial position of the Fund at
July 31, 1998 and 1997, and the combined results of their operations and their
cash flows for the years then ended in conformity with generally accepted
accounting principles.


                                                           Ernst & Young LLP

Chicago, Illinois
September 4, 1998


                                      F-1
<PAGE>   17


                    The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

                   Combined Statements of Financial Condition

<TABLE>
<CAPTION>

                                                                                    JULY 31
                                                                             1998             1997
                                                                       ------------------------------------
<S>                                                                      <C>                <C>         
ASSETS
Equity in commodity trading accounts:
   Net unrealized trading gain (loss) on open contracts                  $      (27,581)   $   1,489,012
   Due from affiliated broker                                                 2,591,526        2,165,611
                                                                       ------------------------------------
                                                                              2,563,945        3,654,623

U.S. Treasury Strip Notes - at market value (accreted cost:
   $12,686,941 and $12,789,840 in 1998 and 1997, respectively)               13,361,199       13,615,510
                                                                       ------------------------------------
Total assets                                                                $15,925,144    $  17,270,133
                                                                       ====================================

LIABILITIES, MINORITY INTEREST, AND PARTNERS' EQUITY 
Liabilities:
   Brokerage commissions                                                 $       48,898    $      52,556
   Incentive fees                                                                65,422           99,843
   Other                                                                         11,459           17,741
                                                                       ------------------------------------
Total liabilities                                                               125,779          170,140

Minority interest                                                               111,371          125,341

Partners' equity:
   Limited partners (6,904 and 7,775 units outstanding at 
     July 31, 1998 and 1997, respectively)                                   15,441,962       16,737,832
   General Partner (110 unit equivalents outstanding at 
     July 31, 1998 and 1997)                                                    246,032          236,820
                                                                       ------------------------------------
Total partners' equity                                                       15,687,994       16,974,652
                                                                       ------------------------------------
Total liabilities, minority interest, and partners' equity               $   15,925,144    $  17,270,133
                                                                       ====================================

Net asset value per outstanding unit of partnership interest
                                                                         $     2,236.69    $    2,152.91
                                                                       ====================================

Net redemption value per outstanding unit of partnership
   interest                                                              $     2,140.56    $    2,048.19
                                                                       ====================================

</TABLE>


See accompanying notes.


                                      F-2
<PAGE>   18


                    The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

                        Combined Statements of Operations

<TABLE>
<CAPTION>

                                                                      YEAR ENDED JULY 31
                                                               1998            1997              1996
                                                     ------------------------------------------------------
<S>                                                        <C>               <C>              <C>       
INCOME (LOSS)
Net realized trading gains (losses) on closed
   contracts                                           $    1,743,768     $   1,190,428   $    (306,794)
Change in net unrealized trading gain (loss) on
   open contracts                                          (1,516,593)        1,238,115         158,134
Brokerage commissions                                        (658,592)         (661,043)       (726,631)
                                                     ------------------------------------------------------
                                                             (431,417)        1,767,500        (875,291)

Interest income                                               126,262           104,045         133,072
Accretion of U.S. Treasury Strip Notes                        974,132           989,940         969,469
Net realized and unrealized gain (loss) on U.S.
   Treasury Strip Notes                                       (58,872)          182,440        (270,765)
                                                     ------------------------------------------------------
                                                              610,105         3,043,925         (43,515)

EXPENSES
Profit share to trading advisor                                13,352            99,843          19,306
Other                                                          23,000            54,501          83,898
                                                     ------------------------------------------------------
                                                               36,352           154,344         103,204
                                                     ------------------------------------------------------
Net income (loss) before minority interest                    573,753         2,889,581        (146,719)
Minority interest                                              13,970           (57,975)         21,622
                                                     ------------------------------------------------------
Net income (loss)                                      $      587,723     $   2,831,606   $    (125,097)
                                                     ======================================================

Net income (loss) for a unit of 
 partnership interest (for a unit 
 outstanding throughout each year):
     General Partner                                   $        83.78     $      352.30   $      (6.72)
                                                     ======================================================
     Limited Partners                                  $        83.78     $      352.30   $      (6.72)
                                                     ======================================================

Net income (loss) allocated to:
   General Partner                                     $        9,212     $      38,753   $       (739)
   Limited Partners                                           578,511         2,792,853       (124,358)

</TABLE>


See accompanying notes.


                                      F-3
<PAGE>   19


                    The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

               Combined Statements of Changes in Partners' Equity

                    Years ended July 31, 1998, 1997, and 1996


<TABLE>
<CAPTION>

                                                            LIMITED           GENERAL
                                                            PARTNERS          PARTNER           TOTAL
                                                     ------------------------------------------------------
<S>                                                    <C>                   <C>            <C>
Partners' equity at July 31, 1995                         $18,074,506         $198,806       $18,273,312
Redemption of 1,258 units of limited
   partnership interest                                    (2,207,253)               -        (2,207,253)
Net loss                                                     (124,358)            (739)         (125,097)
                                                     ------------------------------------------------------
Partners' equity at July 31, 1996                          15,742,895          198,067        15,940,962
Redemption of 969 units of limited 
   partnership interest                                    (1,797,916)               -        (1,797,916)
Net income                                                  2,792,853           38,753         2,831,606
                                                     ------------------------------------------------------
Partners' equity at July 31, 1997                          16,737,832          236,820        16,974,652
Redemption of 871 units of limited 
   partnership interest                                    (1,874,381)               -        (1,874,381)
Net income                                                    578,511            9,212           587,723
                                                     ------------------------------------------------------
Partners' equity at July 31, 1998                         $15,441,962         $246,032       $15,687,994
                                                     ======================================================

</TABLE>



See accompanying notes.


                                      F-4
<PAGE>   20


                    The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

                        Combined Statements of Cash Flows

<TABLE>
<CAPTION>

                                                                      YEAR ENDED JULY 31
                                                            1998             1997              1996
                                                     ------------------------------------------------------
<S>                                                      <C>                <C>              <C>         
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss)                                        $    587,723       $ 2,831,606      $  (125,097)
                                                              
Adjustments to reconcile net income 
   (loss) to net cash provided by 
   operating activities:
     (Increase) decrease in equity in 
       commodity trading accounts                           1,090,678        (1,205,206)       1,627,720
     Accretion of U.S. Treasury Strip Notes                  (974,132)         (989,940)        (969,469)
     Net realized and unrealized (gain) 
       loss on U.S. Treasury Strip Notes                       58,872          (182,440)         270,765
     Increase (decrease) in liabilities                       (44,361)          108,894          (11,001)
     Increase (decrease) in minority 
       interest                                               (13,970)           57,975          (21,622)
                                                     ------------------------------------------------------
Net cash provided by operating activities                     704,810           620,889          771,296

CASH FLOWS FROM INVESTING ACTIVITIES
 Sale of U.S. Treasury Strip Notes                          1,169,571         1,177,027        1,435,957
                                                     ------------------------------------------------------
Net cash provided by investing activities                   1,169,571         1,177,027        1,435,957

CASH FLOWS FROM FINANCING ACTIVITIES
Redemption of limited partnership 
       interests                                           (1,874,381)       (1,797,916)      (2,207,253)
                                                     ------------------------------------------------------
Net change in cash                                                  -                 -                -
Cash at beginning of year                                           -                 -                -
                                                     ======================================================
Cash at end of year                                      $          -       $         -      $         -
                                                     ======================================================

</TABLE>




See accompanying notes.


                                      F-5
<PAGE>   21


                    The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

                     Notes to Combined Financial Statements



1.  ORGANIZATION OF THE PARTNERSHIP

The Four Seasons Fund Limited Partnership (Partnership) was organized in
February 1988, under the Illinois Uniform Limited Partnership Act for the
purpose of engaging in the speculative trading of futures and forward contracts,
and options thereon. Heinold Asset Management, Inc. (HAMI), a wholly owned
subsidiary of E.D. & F. Man, Inc., is the general partner of the Partnership
(General Partner).

The Partnership was formed to enable its limited partners to participate in the
Balanced Portfolio Program offered by RXR Capital Management, Inc. (RXR). Under
this trading program, a substantial portion of the limited partner's
contribution is invested in the form of zero coupon U.S. Treasury Strip Notes
which are held by an independent custodian. The balance of the assets have been
invested in Geldermann Asset Allocation Management Limited Partnership (Trading
Partnership), and are being used to trade futures and forward contracts, and
options thereon. The Partnership is the sole limited partner of the Trading
Partnership. The general partner of the Trading Partnership is HAMI.

2.  SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

BASIS OF PRESENTATION

The accompanying financial statements are prepared on a combined basis and
include the accounts of The Four Seasons Fund Limited Partnership and Geldermann
Asset Allocation Management Limited Partnership, collectively, the Fund. All
significant intercompany balances and transactions have been eliminated in the
accompanying combined financial statements.

DUE FROM AFFILIATED BROKER

Due from affiliated broker consists of balances, including interest receivable,
due from E.D. & F. Man International, Inc. (Man), a registered broker-dealer and
an affiliate of the General Partner.

INCOME RECOGNITION

Realized and unrealized trading gains and losses on futures and forward
contracts, which represent the difference between cost and selling price or
quoted market value, are recognized currently. All trading activities are
accounted for on a trade-date basis.


                                      F-6
<PAGE>   22


                    The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

               Notes to Combined Financial Statements (continued)




2.  SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

FOREIGN CURRENCY TRANSLATION

Assets, liabilities, gains, and losses denominated in foreign currencies are
translated at end-of-period exchange rates. The resulting net realized and
unrealized foreign exchange gains and losses are not material and are recorded
in trading gains (losses) in the combined statements of operations.

INCOME TAXES

Income taxes are not provided for by the Fund and the Partnership because
taxable income (loss) of the Fund and the Partnership is includable in the
income tax returns of the partners.

NET INCOME (LOSS) PER UNIT

Net income (loss) per unit of Partnership interest is equal to the change in net
asset value per unit from the beginning of the year to the end of the year. Unit
amounts are rounded to whole numbers for financial statement presentation.

USE OF ESTIMATES

The preparation of financial statements in conformity with generally accepted
accounting principles requires the General Partner to make estimates and
assumptions that affect the reported amounts in the combined financial
statements and accompanying notes. Actual results could differ from those
estimates.

3.  LIMITED PARTNERSHIP AGREEMENT

The limited partners and the General Partner share in the profits and losses of
the Partnership in proportion to the number of units or unit equivalents held by
each partner. However, no limited partner is liable for obligations of the
Partnership in excess of its capital contribution and profits, if any.


                                      F-7
<PAGE>   23


                    The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

               Notes to Combined Financial Statements (continued)


3.  LIMITED PARTNERSHIP AGREEMENT (CONTINUED)

Responsibility for managing the Partnership is vested solely in the General
Partner; however, the General Partner has delegated complete trading authority
to an unrelated party (see Note 5).

Distributions (other than redemption of units), if any, are made on a pro rata
basis at the sole discretion of the General Partner.

Limited partners may redeem any or all of their units as of the end of any
calendar quarter following 10 days' prior written notice to the General Partner.
Redemption is at net asset value of the Partnership as of quarter end. The
Partnership will be dissolved on December 31, 2007, or upon the occurrence of
certain events, as specified in the limited partnership agreement. The
Partnership is closed to new subscriptions.

The Partnership bears the expenses incurred in connection with its activities.
These expenses include brokerage commissions, trading advisor's incentive fees,
legal, audit, and tax return preparation fees and filing fees.
The General Partner bears all other operating expenses.

4.  U.S. TREASURY STRIP NOTES

Upon commencement of operations, the Partnership invested in zero coupon U.S.
Treasury Strip Notes (Strip Notes) at a cost of $32,863,272, so as to yield
$1,000 per unit, plus a 5% compound annual yield, approximately 5 1/2 years
after commencement of operations. These Strip Notes matured on November 15,
1994, and approximately $29,231,000 of proceeds was received at the maturity
date. In December of 1994, approximately 80% of the Partnership's assets were
invested in new strip notes so as to yield $1,515.85 per unit, plus a minimum of
3% compound annual yield, on November 15, 2000.

5.  ADVISORY AND BROKERAGE AGREEMENTS

The Trading Partnership's sole trading advisor is RXR, Inc. (RXR). RXR directs
the Partnership's futures, forwards and options trading pursuant to a Joint
Venture Agreement with the Trading Partnership. RXR receives a quarterly profit
share of 15% of new trading profits, as defined, provided that the joint venture
has taxable income in a

                                      F-8
<PAGE>   24


                   The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

               Notes to Combined Financial Statements (continued)


5.  ADVISORY AND BROKERAGE AGREEMENTS (CONTINUED)

calendar year. This profit share is retained by RXR even if such trading losses
occur in subsequent quarters; however, no further profit share is payable until
any such trading losses (other than losses attributable to redeemed units) are
recouped by the Trading Partnership.

The Partnership has a brokerage contract with Man, which provides that Man will
be paid an annual rate equal to 4.0% of the month-end net assets of the
Partnership, as defined, plus related floor brokerage, NFA, exchange and
clearing fees. Prior to December 1, 1996, Man was paid brokerage commissions at
annual rates equal to 4.45%.

6.  DERIVATIVE FINANCIAL INSTRUMENTS AND FINANCIAL INSTRUMENTS
    WITH OFF-BALANCE-SHEET RISK OR CONCENTRATION OF CREDIT RISK

The Trading Partnership invests in futures, options on futures, and forward
contracts that involve varying degrees of market and credit risk. Market risks
may arise from unfavorable changes in interest rates, foreign exchange rates, or
the market values of the instruments underlying the contracts. All contracts are
stated at fair value, and changes in those values are reflected currently in
trading gains (losses) in the combined statements of operations.

The fair value of the Trading Partnership's derivative financial instruments at
July 31, 1998 and 1997, and the average fair value of these instruments, based
on month-end amounts, were as follows:


<TABLE>
<CAPTION>
                                                          ASSET (LIABILITY)
                                                    ----------------------------------
                                                                        AVERAGE FAIR 
                                                     FAIR VALUE            VALUE
                                                    ----------------------------------
<S>                                                 <C>                   <C>     
1998
Commodity futures contracts                         $     99,864          $254,831
Commodity options contracts                                    -           (30,750)
Commodity forward contracts                             (127,445)            5,678
1997
Commodity futures contracts                            1,343,514           440,705
Commodity options contracts                                    -                 -
Commodity forward contracts                              145,498            28,318

</TABLE>


                                      F-9
<PAGE>   25

                   The Four Seasons Fund Limited Partnership
                        (An Illinois Limited Partnership)

               Notes to Combined Financial Statements (continued)



6.  DERIVATIVE FINANCIAL INSTRUMENTS AND FINANCIAL INSTRUMENTS WITH
    OFF-BALANCE-SHEET RISK OR CONCENTRATION OF CREDIT RISK (CONTINUED)

The contract or notional amounts of the Partnership's derivatives financial
instruments at July 31, 1998 and 1997, were as follows:

<TABLE>
<CAPTION>
                                                                                  JULY 31
                                                                         1998                 1997
                                                                 --------------------- --------------------
<S>                                                                    <C>                   <C>        
Commodity futures contracts:
  To purchase                                                          $180,451,755          $62,364,627
  To sell                                                                (2,135,161)         (47,133,813)
Commodity forward contracts:
  To purchase                                                            $1,503,986            3,513,472
  To sell                                                                (1,530,018)          (2,726,772)

</TABLE>

Although contract or notional amount may reflect the extent of the Partnership's
involvement in a particular class of financial instrument, they are not
indicative of potential loss.

The Trading Partnership is exposed to credit risk in the event of nonperformance
by counterparties to financial instruments. The credit risk from counterparty
nonperformance associated with these instruments is the net unrealized gain, if
any, included on the combined statements of financial condition. The
counterparty to all forward contracts is E.D. & F. Man Capital, Inc., an
affiliate of the General Partner. For exchange-traded contracts, the clearing
organization acts as the counterparty of specific transactions and, therefore,
bears the risk of delivery to and from counterparties to specific positions.

The Partnership's and Trading Partnership's assets held at Man are in segregated
accounts as required by the Commodity Futures Trading Commission.


                                    * * * * *



                                      F-10
<PAGE>   26




                         Oath of Commodity Pool Operator



To the best of my knowledge and belief, the information contained herein is
accurate and complete.




Heinold Asset Management, Inc.
(Pool Operator)




/s/ Lee E. Meyer
-------------------------------
Lee E. Meyer
Chief Financial Officer

<PAGE>   27

                                   SIGNATURES

                  Pursuant to the requirements of Section 13 or 15(d) of the
Securities Exchange Act of 1934, the Registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized, in the
City of Chicago and State of Illinois on the 28th day of October, 1998.

                                           THE FOUR SEASONS FUND LIMITED
                                             PARTNERSHIP

                                           By HEINOLD ASSET MANAGEMENT, INC.
                                                General Partner

                                           By /s/ Thomas M. Harte
                                              -------------------
                                                Thomas M. Harte
                                                President

                  Pursuant to the requirements of the Securities Exchange Act of
1934, this report has been signed below by the following persons on behalf of
the General Partner of the Registrant in the capacities and on the date
indicated.

<TABLE>
<CAPTION>
                                   Title with
Signature                          General Partner                     Date
---------                          ---------------                     ----
<S>                                <C>                                 <C> 
/s/ Thomas M. Harte                President (chief operating          October 28, 1998
---------------------------        officer) and Director
    Thomas M. Harte               

/s/ Lee E. Meyer                   Chief Financial Officer             October 28, 1998
---------------------------        (principal accounting officer)
    Lee E. Meyer                  

/s/ Mary T. Bergonia               Director                            October 28, 1998
---------------------------
    Mary T. Bergonia

/s/ Gary M. Rindner                Director                            October 28, 1998
---------------------------
    Gary M. Rindner

/s/ Ira Polk                       Director                            October 28,1998
---------------------------
    Ira Polk
</TABLE>

                  (Being the principal executive officer, the principal
financial and accounting officer, and a majority of the directors of Heinold
Asset Management, Inc.)

HEINOLD ASSET              General Partner of                   October 28, 1998
  MANAGEMENT, INC.         Registrant

By /s/ Thomas M. Harte
   -------------------
       Thomas M. Harte
       President