<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, 1997

                                     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 $236,820 as of July 31, 1997.  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, 1997, there were no such carry-forward losses.
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.


                                      -3-


<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, 1997 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, 1997, there were 360 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, 1997.


                                      -6-


<PAGE>   7

<TABLE> 
<CAPTION>

                                                   
                                    Fiscal Year    Fiscal Year    Fiscal Year    Fiscal Year    Fiscal Year
                                       Ended          Ended          Ended          Ended          Ended
                                    July 31, 1997  July 31, 1996  July 31, 1995  July 31, 1994  July 31, 1993
                                    -------------  -------------  -------------  -------------  -------------
<S>                                <C>              <C>            <C>              <C>             <C>

Revenues:
Gain (loss) in trading of
  futures and
  forward contracts                 $2,428,543        $(148,660)     $(532,491)     $(1,445,324)    $4,517,519
Interest income                        104,045          133,072        314,556          269,873        311,376
Accretion of U.S. Treasury
  Strip Notes                          989,940          969,469      1,400,402        2,739,833      2,766,454   
Net realized and unrealized                                                                                      
 gain (loss) on U.S. Treasury                                                                                      
 Strip Notes                           182,440         (270,765)       829,359       (1,823,682)    (1,199,683)    
Realized gain on sale of                                                                                          
  U.S. Treasury Strip Notes                  0                0         45,157           88,837        371,154    
                                  ------------     ------------   ------------     ------------   ------------
Total revenue                        3,704,968          683,116      2,056,983         (170,463)     6,766,820    
                                                                                                                  
Expenses:                                                                                                         
Brokerage commissions                  661,043          726,631      1,068,370        1,918,393      1,961,745    
Profit Share to Trading                                                                                           
  Advisor                               99,843           19,306              0          (36,724)       391,253    
Other                                   54,501           83,898        155,159          324,678        278,722    
                                  ------------     ------------   ------------     ------------   ------------
  Total expenses                       815,387          829,835      1,223,529        2,206,347      2,631,720    
                                  ------------     ------------   ------------     ------------   ------------
                                                                                                                  
Net income (loss) before                                                                                          
  minority interest                  2,889,581         (146,719)       833,454       (2,376,810)     4,135,100    
Minority interest                      (57,975)          21,622         24,054           50,618        (30,344)   
                                  ------------     ------------   ------------     ------------   ------------
                                                                                                                  
Net income (loss)                   $2,831,606        $(125,907)      $857,508      $(2,326,192)    $4,104,756    
                                 =============    =============  =============    =============  =============             
Net income (loss) allocated to:                                                                                   
  General Partner                      $38,753            $(739)       $20,910         $(33,563)       $59,877    
                                 =============    =============  =============    =============  =============             
  Limited Partners                  $2,792,853        $(124,358)      $836,598      $(2,292,629)    $4,044,879    
                                 =============    =============  =============    =============  =============             
                                                                                                                  
Net income (loss) for a                                                                                           
  Unit of Partnership Interest                                                                                    
  (for a Unit outstanding                                                                                         
  throughout each year):                                                                                          
  General Partner                  $   $352.30           $(6.72)       $195.09          $(93.23)       $166.33    
                                 =============    =============  =============    =============  =============             
  Limited Partners                     $352.30           $(6.72)       $195.09          $(93.23)                  
                                 =============    =============  =============    =============  =============             

Total assets                        17,270,133      $16,069,074    $18,434,548      $37,604,209    $43,919,995    
                                 =============    =============  =============    =============  =============             
                                                                                                                  



</TABLE>                                   
 
<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 year ended July 31, 1997, a
loss for the fiscal year ended July 31, 1996 and a profit for the fiscal year
ended July 31, 1995.

     The Net Asset Value per Unit on a redemption value basis as of July 31,
1997 and July 31, 1996 was $2,048.19 and $1,721.38, 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


                                      -8-


<PAGE>   9



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.

     During the fiscal year ended July 31, 1995, the Trading Company's
profitable trading in the metals, energy and financial sectors more than offset
the Partnership's unprofitable trading in the softs and currencies sectors.
Significant profits were made during the second quarter in long S&P contracts
due to the decline in interest rates. Large losses were incurred in September
in long Japanese yen positions due to the increased strength of the U.S.
dollar.  In addition, the trend of market losses in the U.S. Treasury Strip
Notes ceased with the maturity of the original notes and the purchase of new
notes in December 1994. From December 1, 1994 through July 30, 1995, the new
notes resulted in market gain. As of October 31, 1994, January 31, 1995, April
30, 1995 and July 31, 1995, the Net Asset Value per Unit on a redemption value
basis was $1,522.59, $1,528.65, $1,641.58 and $1,696.73, respectively.

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




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.

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

     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, 1997, 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.
     

                                      -9-


<PAGE>   10


     

                                     
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 2,047.53 Units of Limited Partnership
Interest in the Partnership valued at $4,193,730.47 as of July 31, 1997, 25.97%
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
$236,820 as of July 31, 1997, 1.40% of the Partnership's total equity.

     (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


                                      -10-


<PAGE>   11



     (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.

     (b) Reports on Form 8-K

     The Partnership did not file any reports on Form 8-K during the quarter
ended July 31, 1997.

     (27)  Financial Data Schedule


                                      -11-


<PAGE>   12


                                   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 29th day of October, 1997.

                                     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 29, 1997
--------------------     officer) and Director
Thomas M. Harte     


/s/ Lee E. Meyer         Chief Financial Officer           October 29, 1997
--------------------     (principal accounting officer) 
Lee E. Meyer        


/s/ Mary T. Bergonia     Director                          October 29, 1997
--------------------
Mary T. Bergonia


/s/ Gary M. Rindner      Director                          October 29, 1997
--------------------
Gary M. Rindner


/s/ Ira Polk             Director                          October 29, 1997
--------------------
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 29, 1997
MANAGEMENT, INC.     Registrant


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






                                      -12-
<PAGE>   13








                        Combined Financial Statements

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

                  Years ended July 31, 1997, 1996, and 1995
                     with Report of Independent Auditors


<PAGE>   14


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

                        Combined Financial Statements

                  Years ended July 31, 1997, 1996, and 1995




                                    CONTENTS
<TABLE>
<CAPTION>


<S>                                                       <C>
Report of Independent Auditors............................1

Combined Financial Statements

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


</TABLE>



<PAGE>   15
                        [ERNST & YOUNG LLP LETTERHEAD]

                        Report of Independent Auditors

       
The Partners
The Four Seasons Limited Partnership

We have audited the accompanying combined statement of financial condition of
The Four Seasons Limited Partnership and E.D. & F. Man Asset Allocation Limited
Partnership, collectively, the Fund, as of July 31, 1997, and the related
combined statements of operations, changes in partners' equity, and cash flows
for the year 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 audit.  The combined
financial statements of the Fund at July 31, 1996 and for the two years then
ended were audited by other auditors whose report dated September 6, 1996,
expressed an unqualified opinion on those statements.

We conducted our audit 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 audit provides 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, 1997, and the results of their operations and their cash flows for
the year then ended in conformity with generally accepted accounting
principles.




Chicago, Illinois                      /s/Ernst & Young LLP
September 8, 1997                      --------------------------    

                                                                               1


<PAGE>   16


INDEPENDENT AUDITORS' REPORT


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

We have audited the accompanying combined statement of financial condition of
The Four Seasons Fund Limited Partnership and E.D. & F. Man Asset Allocation
Limited Partnership (collectively, the "Partnership") as of July 31, 1996, and
the related combined statements of operations, changes in partners' equity and
cash flows for each of the two years in the period ended July 31, 1996.  These
financial statements are the responsibility of the Partnership's General
Partner.  Our responsibility is to express an opinion on these financial
statements based on our audits.

We conducted our audits 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 audits provide a reasonable basis
for our opinion.

In our opinion, such combined statements present fairly, in all material
respects, the financial position of The Partnership as of July 31, 1996, and
the results of their operations and their cash flows for each of the two years
in the period ended July 31, 1996, in conformity with generally accepted
accounting principles.






Chicago, Illinois
September 6, 1996


<PAGE>   17

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

                   Combined Statements of Financial Condition

<TABLE> 
<CAPTION>

                                                                             
                                                                       JULY 31
                                                              1997                    1996
                                                         ----------------------------------------
<S>                                                        <C>                 <C> 
ASSETS                                                                           
Equity in commodity trading accounts:
  Net unrealized trading gain on open contracts            $ 1,489,012         $    250,897
  Due from affiliated broker                                 2,165,611            2,198,520
                                                      -----------------------------------------
                                                             3,654,623            2,449,417
                                                     
U.S. Treasury Strip Notes - At market value 
  (accreted cost:  $12,789,840 and $12,918,710 in 
  1997 and 1996,respectively)                               13,615,510           13,620,157
                                                      -----------------------------------------

Total assets                                               $17,270,133         $ 16,069,574
                                                      =========================================
                                                      
LIABILITIES, MINORITY INTEREST, AND PARTNERS' EQUITY
Liabilities:
  Brokerage commissions                                    $    52,556         $     54,064
  Incentive fees                                                99,843                    -
  Other                                                         17,741                7,182
Total liabilities                                     -----------------------------------------
                                                               170,140               61,246

Minority interest                                              125,341               67,366

Partners' equity:
  Limited partners (7,774.52 and 8,743.09 units 
  outstanding at July 31, 1997 and 1996,                    16,737,832           15,742,895
  respectively)                          
General Partner (110 unit equivalents outstanding              
  1997 and 1996) at July 31,                                   236,820              198,067
                                                      -----------------------------------------
Total partners' equity                                      16,974,652           15,940,962
                                                      ----------------------------------------- 
Total liabilities, minority interest,  
  and partners' equity                                     $17,270,133         $ 16,069,574
                                                      =========================================

Net asset value per outstanding unit of partnership
  interest                                                 $  2,152.91         $   1,800.61 
                                                      =========================================  
Net redemption value per outstanding unit of 
partnership interest                                       $  2,048.19         $   1,721.38                 
                                                      ========================================= 


</TABLE>                                              

See accompanying notes.

                                                                               2


                                       
<PAGE>   18




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

                       Combined Statements of Operations


<TABLE> 
<CAPTION>

                                                                  
                                                        YEAR ENDED JULY 31
                                                1997           1996           1995
                                            ----------------------------------------------
<S>                                            <C>            <C>             <C>
INCOME (LOSS)
Net realized trading gains (losses) on
  closed contracts                             $1,190,428     $ (306,794)     $ (206,224)
Change in net unrealized trading gain
  (loss) on open contracts                      1,238,115        158,134        (326,267)
Brokerage commissions                            (661,043)      (726,631)     (1,068,370)
                                            ----------------------------------------------
                                                1,767,500       (875,291)     (1,600,861)

Interest income                                   104,045        133,072         314,556
Accretion of U.S. Treasury Strip Notes            989,940        969,469       1,400,402
Net realized and unrealized gain (loss)
  on U.S. Treasury Strip Notes                    182,440       (270,765)        874,516
                                            ---------------------------------------------
                                                3,043,925        831,776       2,589,474

EXPENSES
Profit share to trading advisor                    99,843         19,306               -
Other                                              54,501         83,898         155,159
                                           ---------------------------------------------
                                                  154,344        103,204         155,159
                                            --------------------------------------------
Net income (loss) before minority interest      2,889,581       (146,719)        833,454
Minority interest                                (57,975)         21,622          24,054
                                            --------------------------------------------
Net income (loss)                              $2,831,606     $ (125,097)     $  857,508
                                            ============================================

Net income (loss) for a unit of
  partnership interest (for a unit
  outstanding throughout each year):           
    General Partner                            $   352.30     $    (6.72)     $   195.09
                                            ============================================
    Limited Partners                           $   352.30     $    (6.72)     $   195.09
                                            ============================================

Net income (loss) allocated to:
    General Partner                            $   38,753     $     (739)     $   20,910
    Limited Partners                            2,792,853       (124,358)        836,598
</TABLE>

See accompanying notes.

                                                                               3


<PAGE>   19




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

               Combined Statements of Changes in Partners' Equity

                   Years ended July 31, 1997, 1996, and 1995

<TABLE> 
<CAPTION>


                                      LIMITED          GENERAL
                                      PARTNERS         PARTNER      TOTAL
                                    ------------------------------------------
<S>                                   <C>              <C>          <C>  
Partners' equity at July 31, 1994     $36,757,513      $580,406     $37,337,919
Redemption of 12,798 units of
  limited partnership interests
  and 250 general partner units       (19,519,605)     (402,510)    (19,922,115)
Net income                                836,598        20,910         857,508
                                    -------------------------------------------
Partners' equity at July 31, 1995      18,074,506       198,806      18,273,312
Redemption of 1,258 units of
  limited partnership interests        (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 968.57 units of
  limited partnership interests        (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
                                    ===========================================

</TABLE> 
See accompanying notes.
        
                                                                              4
                                                
                                       
<PAGE>   20




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

                       Combined Statements of Cash Flows


<TABLE> 
<CAPTION>


                                                               YEAR ENDED JULY 31
                                                         1997              1996               1995
                                                  ---------------------------------------------------
<S>                                                  <C>               <C>                 <C> 
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss)                                    $2,831,606        $(125,097)          $  857,508
Adjustments to reconcile net income (loss)
  to net cash flows provided by operating
  activities:
    (Increase) decrease in equity in commodity
     trading accounts                                (1,205,206)       1,627,720            3,314,797
    Accretion of U.S. Treasury Strip Notes             (989,940)        (969,469)          (1,400,402)
    Net realized and unrealized (gain) loss on
      U.S. Treasury Strip Notes                        (182,440)         270,765             (874,516)
    Increase (decrease) in liabilities                  108,894          (11,001)             (81,000)
    Increase (decrease) in minority interest             57,975          (21,622)             (24,054)
                                                  ----------------------------------------------------
Net cash provided by operating activities               620,889          771,296            1,792,333
                                                           
CASH FLOWS FROM INVESTING ACTIVITIES
Sale of U.S. Treasury Strip Notes                     1,177,027        1,435,957           31,527,180
Purchase of U.S. Treasury Strip Notes                       -                 -           (13,397,398)
                                                  ----------------------------------------------------
Net cash provided by investing activities             1,177,027        1,435,957           18,129,782 
                                                      
CASH FLOWS FROM FINANCING ACTIVITIES
Redemption of limited partnership interests          (1,797,916)      (2,207,253)         (19,922,115)
                                                  ----------------------------------------------------
Net change in cash                                            -                -
Cash at beginning of year                                     -                -
                                                  ----------------------------------------------------
Cash at end of year                                  $        -        $       -           $        -


</TABLE>

See accompanying notes.

                                                                              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 E.D. & F. Man 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 E.D. & F.
Man 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.

                                                                              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 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.

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.

RECLASSIFICATIONS

Certain reclassifications have been made to prior year amounts to conform with
current year presentation.

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.

                                                                               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) 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, calculated by valuing the Partnership's investment in U.S. Treasury Strip
Notes at the lower of accreted cost or market value. 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 bears the expenses incurred in connection with its activities.
These expenses include brokerage commissions, trading advisor's incentive fees,
legal, audit, and income tax return preparation 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 calendar year.  This profit share is retained
by RXR even if such trading losses occur in

                                                                               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)

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 and 1995, Man was paid brokerage
commissions at annual rates equal to 4.45% and 4.75%, respectively.

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 values of the Trading Partnership's derivative financial instruments
at July 31, 1997 and 1996, were $1,489,012 and $250,897, respectively, and the
average fair values of these instruments for the years then ended, based on
month-end amounts, were $440,994 and $157,994, respectively.

The contract or notional values of derivative instruments to purchase and sell
at July 31, 1997 were $18,744,286 and $49,860,585, respectively.

Although contract or notional amounts may reflect the extent of the
Partnership's involvement in a particular class of financial instrument, they
are not indicative of potential loss.  Futures, options on futures, and forward
contracts are typically closed out by entering into offsetting contracts.  For
these contracts, the net unrealized gains or losses, rather than contract or
notional amounts, represent the approximate future cash requirements.


                                                                               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 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 statements of financial condition.  At
July 31, 1997, there were net unrealized gains of $57,585 on open forward
contracts.  The counterparty to all forward contracts is the Trading
Partnership's clearing broker, Man.  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.

                                                                             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