<PAGE>
                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
 
                                   FORM 10-K
(Mark One)
 
/X/ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
    OF 1934
 
For the fiscal year ended December 31, 1998
 
                                       OR
 
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934
 
For the transition period from _______________________ to ______________________
 
Commission file number 0-18417
 
               PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
--------------------------------------------------------------------------------
             (Exact name of registrant as specified in its charter)
 
Delaware                                               13-3516796
--------------------------------------------------------------------------------
(State or other jurisdiction of            (I.R.S. Employer Identification No.)
 incorporation or organization)
 
One New York Plaza, 13th Floor, New York, New York                10292
--------------------------------------------------------------------------------
(Address of principal executive offices)                         (Zip Code)
 
Registrant's telephone number, including area code (212) 778-7866
 
Securities registered pursuant to Section 12(b) of the Act:

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

                       Units of Limited Partnership Interest
-------------------------------------------------------------------------------
                                  (Title of class)
 
   Indicate by check mark whether the registrant (1) has 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 CK 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 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. [  ]
 
                      DOCUMENTS INCORPORATED BY REFERENCE
 
   Agreement of Limited Partnership of the Registrant, dated January 26, 1989,
included as part of the Registration Statement on Form S-1 (File No. 33-26777)
filed with the Securities and Exchange Commission on January 31, 1989 pursuant
to Rule 424(b) of the Securities Act of 1933, and amended and restated as of
March 15, 1989, is incorporated by reference into Part IV of this Annual Report
on Form 10-K
 
   Registrant's Annual Report to Limited Partners for the year ended December
31, 1998 is incorporated by reference into Parts II and IV of this Annual Report
on Form 10-K
 
                                Index to exhibits can be found on pages 7 and 8.
<PAGE>
               PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P.
                            (a limited partnership)
 
                               TABLE OF CONTENTS
<TABLE>
<CAPTION>
PART I                                                                                         PAGE
<S>        <C>                                                                                <C>
Item  1    Business.........................................................................     3
Item  2    Properties.......................................................................     3
Item  3    Legal Proceedings................................................................     3
Item  4    Submission of Matters to a Vote of Limited Partners..............................     3
 
PART II
Item  5    Market for the Registrant's Units and Related Limited Partner Matters............     4
Item  6    Selected Financial Data..........................................................     4
Item  7    Management's Discussion and Analysis of Financial Condition and Results of
             Operations.....................................................................     4
Item 7A    Quantitative and Qualitative Disclosures About Market Risk.......................     4
Item  8    Financial Statements and Supplementary Data......................................     4
Item  9    Changes in and Disagreements with Accountants on Accounting and Financial
             Disclosure.....................................................................     4
 
PART III
Item 10    Directors and Executive Officers of the Registrant...............................     5
Item 11    Executive Compensation...........................................................     6
Item 12    Security Ownership of Certain Beneficial Owners and Management...................     6
Item 13    Certain Relationships and Related Transactions...................................     6
 
PART IV
Item 14    Exhibits, Financial Statement Schedules and Reports on Form 8-K..................     7
           Financial Statements and Financial Statement Schedules...........................     7
           Exhibits.........................................................................     7
           Reports on Form 8-K..............................................................     8
SIGNATURES .................................................................................     9
</TABLE>
 
                                       2

<PAGE>
                                     PART I
 
Item 1. Business
 
General
 
   Prudential-Bache Capital Return Futures Fund L.P. (the 'Registrant'), a
Delaware limited partnership, was formed on January 26, 1989 and will terminate
on December 31, 2009 unless terminated sooner under the provisions of the
Amended and Restated Agreement of Limited Partnership (the 'Partnership
Agreement'). The Registrant was formed to engage in the speculative trading of a
portfolio consisting primarily of commodity futures, forward and options
contracts. On May 12, 1989, the Registrant completed its offering and raised
$139,151,000 from the sale of 1,377,053 units of limited partnership interest
and 14,457 units of general partnership interest (collectively, the 'Units')
which resulted in net proceeds to the Registrant of $137,151,000. The
Registrant's fiscal year for book and tax purposes ends on December 31.
 
   Since July 1994, all trading decisions for the Registrant have been made by
John W. Henry & Company, Inc. (the 'Trading Manager'), an independent
commodities trading manager. The general partner retains the authority to
override trading instructions that violate the Registrant's trading policies.
 
   The Registrant is engaged solely in the business of commodity futures,
forward and options trading; therefore, presentation of industry segment
information is not applicable.
 
General Partner
 
   The general partner of the Registrant is Seaport Futures Management, Inc.
(the 'General Partner') which is an affiliate of Prudential Securities
Incorporated ('PSI'), the Registrant's commodity broker. Both the General
Partner and PSI are wholly owned subsidiaries of Prudential Securities Group
Inc. ('PSGI'). The General Partner is required to maintain at least a 1%
interest in the Registrant as long as it is acting as the Registrant's general
partner.
 
Competition
 
   The General Partner and its affiliates have formed and may continue to form
various entities to engage in the speculative trading of futures, forward and
options contracts which, in part, have certain of the same investment policies
as the Registrant.
 
   The Registrant is a closed-end fund which does not currently, and does not
intend in the future to, solicit the sale of additional Units. As such, the
Registrant does not compete with other entities to attract new fund
participants. However, to the extent that the Trading Manager recommends similar
or identical trades to the Registrant and other accounts which it manages, the
Registrant may compete with those accounts for the execution of the same or
similar trades.
 
Employees
 
   The Registrant has no employees. Management and administrative services for
the Registrant are performed by the General Partner and its affiliates pursuant
to the Partnership Agreement as further discussed in Notes A, C and D to the
Registrant's annual report to limited partners for the year ended December 31,
1998 ('Registrant's 1998 Annual Report') which is filed as an exhibit hereto.
 
Item 2. Properties
 
   The Registrant does not own or lease any property.
 
Item 3. Legal Proceedings
 
   There are no material legal proceedings pending by or against the Registrant
or the General Partner.
 
Item 4. Submission of Matters to a Vote of Limited Partners
 
   None
 
                                       3
<PAGE>
                                    PART II
 
Item 5. Market for the Registrant's Units and Related Limited Partner Matters
 
   Information with respect to the offering of Units is incorporated by
reference to Note A to the Registrant's 1998 Annual Report, which is filed as an
exhibit hereto.
 
   A significant secondary market for the Units has not developed, and it is not
expected that one will develop in the future. There are also certain
restrictions set forth in the Partnership Agreement limiting the ability of a
partner to transfer Units. The Partnership Agreement does, however, provide that
a partner may redeem its Units as of the last business day of any full
calendar quarter at the then current net asset value per Unit. Consequently,
holders of Units may not be able to liquidate their investments in the event of
an emergency or for any other reason.
 
   There are no material restrictions upon the Registrant's present or future
ability to make distributions in accordance with the provisions of the
Partnership Agreement. No distributions have been made since inception and no
distributions are anticipated in the future.
 
   As of March 4, 1999, there were 1,233 holders of record owning 100,751 Units,
including 1,008 units of general partnership interest.
 
Item 6. Selected Financial Data
 
   The following table presents selected financial data of the Registrant. This
data should be read in conjunction with the financial statements of the
Registrant and the notes thereto on pages 2 through 9 of the Registrant's 1998
Annual Report which is filed as an exhibit hereto.
 
<TABLE>
<CAPTION>
                                                        Year ended December 31,
                                -----------------------------------------------------------------------
<S>                             <C>            <C>            <C>            <C>            <C>
                                   1998           1997           1996           1995           1994
                                -----------    -----------    -----------    -----------    -----------
Total revenues (including
  interest)                     $ 1,704,817    $ 3,513,055    $ 3,624,267    $ 8,187,598    $(4,538,405)
                                -----------    -----------    -----------    -----------    -----------
                                -----------    -----------    -----------    -----------    -----------
Net income (loss)               $  (258,576)   $ 1,278,585    $ 1,330,842    $ 4,963,090    $(7,333,588)
                                -----------    -----------    -----------    -----------    -----------
                                -----------    -----------    -----------    -----------    -----------
Net income (loss) per
  weighted average Unit         $     (2.39)   $     10.34    $      9.23    $     28.30    $    (27.40)
                                -----------    -----------    -----------    -----------    -----------
                                -----------    -----------    -----------    -----------    -----------
Total assets                    $15,267,009    $17,444,499    $18,703,847    $20,553,690    $21,732,249
                                -----------    -----------    -----------    -----------    -----------
                                -----------    -----------    -----------    -----------    -----------
Net asset value per Unit        $    146.27    $    147.88    $    137.02    $    126.19    $    101.79
                                -----------    -----------    -----------    -----------    -----------
                                -----------    -----------    -----------    -----------    -----------
</TABLE>
 
Item 7. Management's Discussion and Analysis of Financial Condition and Results
        of Operations
 
   This information is incorporated by reference to pages 10 through 12 of the
Registrant's 1998 Annual Report which is filed as an exhibit hereto.
 
Item 7A. Quantitative and Qualitative Disclosures About Market Risk
 
   Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.
 
Item 8. Financial Statements and Supplementary Data
 
   The financial statements are incorporated by reference to pages 2 through 9
of the Registrant's 1998 Annual Report which is filed as an exhibit hereto.
 
   Supplementary data specified by Item 302 of Regulation S-K (selected
quarterly financial data) is not applicable.
 
Item 9. Changes in and Disagreements with Accountants on Accounting and
        Financial Disclosure
 
   None
 
                                       4
<PAGE>
                                    PART III
 
Item 10. Directors and Executive Officers of the Registrant
 
   There are no directors or executive officers of the Registrant. The
Registrant is managed by the General Partner.
 
   The General Partner's directors and executive officers and any persons
holding more than ten percent of the Registrant's Units ('Ten Percent Owners')
are required to report their initial ownership of such Units and any subsequent
changes in that ownership to the Securities and Exchange Commission on Forms 3,
4 or 5. Such executive officers, directors and Ten Percent Owners are required
by Securities and Exchange Commission regulations to furnish the Registrant with
copies of all Forms 3, 4 and 5 they file. All of these filing requirements were
satisfied on a timely basis (other than Tamara B. Wright who did not file Form 3
in a timely manner upon becoming a Director but subsequently filed and is now
current in all filings). In making these disclosures, the Registrant has relied
solely on written representations of the General Partner's directors and
executive officers and Ten Percent Owners or copies of the reports that they
have filed with the Securities and Exchange Commission during and with respect
to its most recent fiscal year.
 
   The directors and executive officers of Seaport Futures Management, Inc. and
their positions with respect to the Registrant are as follows:
 
          Name                                      Position
-------------------------    -------------------------------------------------
Eleanor L. Thomas            First Vice President
Barbara J. Brooks            Chief Financial Officer
Steven Carlino               Vice President, Chief Accounting Officer and 
                                 Treasurer
A. Laurence Norton, Jr.      Director
Guy S. Scarpaci              Director
Tamara B. Wright             Senior Vice President and Director
 
ELEANOR L. THOMAS, age 44, has been a Vice President of Seaport Futures
Management, Inc. and Prudential Securities Futures Management Inc. since April
1993 and a First Vice President since October 1998. She is primarily responsible
for origination, asset allocation, and due diligence for the managed futures
group within PSI. She is also a First Vice President of PSI. Prior to joining
PSI in March 1993, she was with MC Baldwin Financial Company from June 1990
through February 1993 and Arthur Andersen & Co. from 1986 through May 1990. Ms.
Thomas is a certified public accountant.
 
BARBARA J. BROOKS, age 50, is the Chief Financial Officer of Seaport Futures
Management, Inc. She is a Senior Vice President of PSI. She is also the Chief
Financial Officer of Prudential Securities Futures Management Inc. and serves in
various capacities for other affiliated companies. She has held several
positions within PSI since April 1983. Ms. Brooks is a certified public
accountant.
 
STEVEN CARLINO, age 35, is a Vice President and Treasurer of Seaport Futures
Management, Inc. He is a First Vice President of PSI. He is also a Vice
President and Treasurer of Prudential Securities Futures Management Inc. and
serves in various capacities for other affiliated companies. Prior to joining
PSI in October 1992, he was with Ernst & Young for six years. Mr. Carlino is a
certified public accountant.
 
A. LAURENCE NORTON, JR., age 60, is a Director of Seaport Futures Management,
Inc. He is an Executive Vice President of PSI and, since March 1994, has been
the head of the International and Futures Divisions of PSI. He is also a
Director of Prudential Securities Futures Management Inc. From October 1991 to
March 1994, he held the position of Executive Director of Retail Development and
Retail Strategies at PSI. Prior to joining PSI in 1991, Mr. Norton was a Senior
Vice President and Branch Manager of Shearson Lehman Brothers.
 
GUY S. SCARPACI, age 52, is a Director of Seaport Futures Management, Inc. He is
a First Vice President of the Futures Division of PSI. He is also a Director of
Prudential Securities Futures Management Inc. Mr. Scarpaci has been employed by
PSI in positions of increasing responsibility since August 1974.
 
                                       5
<PAGE>
TAMARA B. WRIGHT, age 40, is a Senior Vice President and Director of Seaport
Futures Management, Inc. She is a Senior Vice President and Chief Administrative
Officer for the International and Futures Divisions of PSI. She is also a Senior
Vice President and Director of Prudential Securities Futures Management Inc. and
serves in various capacities for other affiliated companies. Prior to joining
PSI in July 1988, she was a manager with Price Waterhouse.
 
   During the fourth quarter of 1998, Steven Carlino replaced Barbara J. Brooks
as Treasurer of Seaport Futures Management, Inc. and Prudential Securities
Futures Management Inc. Additionally, during December 1998, Tamara B. Wright was
elected as a Senior Vice President and Director of Seaport Futures Management,
Inc. and Prudential Securities Futures Management Inc. On March 26, 1999, Thomas
M. Lane, Jr. resigned as President and Director of Seaport Futures Management,
Inc. and Prudential Securities Futures Management Inc.
 
   There are no family relationships among any of the foregoing directors or
executive officers. All of the foregoing directors and/or executive officers
have indefinite terms.
 
Item 11. Executive Compensation
 
   The Registrant does not pay or accrue any fees, salaries or any other form of
compensation to directors and officers of the General Partner for their
services. Certain officers and directors of the General Partner receive
compensation from affiliates of the General Partner, not from the Registrant,
for services performed for various affiliated entities, which may include
services performed for the Registrant; however, the General Partner believes
that any compensation attributable to services performed for the Registrant is
immaterial. (See also Item 13, Certain Relationships and Related Transactions,
for information regarding compensation to the General Partner.)
 
Item 12. Security Ownership of Certain Beneficial Owners and Management
 
   As of March 4, 1999, no director or officer of the General Partner owns
directly or beneficially any interest in the voting securities of the General
Partner.
 
   As of March 4, 1999, no director or officer of the General Partner owns
directly or beneficially any of the Units issued by the Registrant.
 
   As of March 4, 1999, the following owner of limited partnership units
beneficially owns more than five percent (5%) of the limited partnership units
issued by the Registrant.
 
<TABLE>
<CAPTION>
      Title               Name and Address of            Amount and Nature of        Percent of
     of Class              Beneficial Owner              Beneficial Ownership          Class
------------------    ---------------------------    ----------------------------    ----------
<S>                   <C>                            <C>                             <C>
Units of              Eugene Ramos                   5,000 Units of limited                  5%
limited               FBO Julia Ramos                partnership interest
partnership           7035 Gleneagle Drive
interest              Miami Lakes, FL 33014-6509
</TABLE>
 
Item 13. Certain Relationships and Related Transactions
 
   The Registrant has and will continue to have certain relationships with the
General Partner and its affiliates. However, there have been no direct financial
transactions between the Registrant and the directors or officers of the General
Partner.
 
   Reference is made to Notes A, C and D to the financial statements in the
Registrant's 1998 Annual Report which is filed as an exhibit hereto, which
identify the related parties and discuss the services provided by these parties
and the amounts paid or payable for their services.
 
                                       6
<PAGE>
                                    PART IV
 
<TABLE>
<CAPTION>
                                                                                         Page in
                                                                                      Annual Report
<S>      <C>                                                                          <C>
Item 14. Exhibits, Financial Statement Schedules and Reports on Form 8-K
 
(a)        1.  Financial Statements and Report of Independent
               Accountants--incorporated by reference to the Registrant's 1998
               Annual Report which is filed as an exhibit hereto
 
               Report of Independent Accountants                                            2
 
               Financial Statements:
 
               Statements of Financial Condition--December 31, 1998 and 1997                3
 
               Statements of Operations--Three years ended December 31, 1998                4
 
               Statements of Changes in Partners' Capital--Three years ended
               December 31, 1998                                                            4
 
               Notes to Financial Statements                                                5
 
           2.  Financial Statement Schedules
 
               All schedules have been omitted because they are not applicable or
               the required information is included in the financial statements or
               the notes thereto.
 
           3.  Exhibits:
 
          3.1  Agreement of Limited Partnership of the Registrant, dated as of
          and  January 26, 1989 as amended and restated as of March 15, 1989
          4.1  (incorporated by reference to Exhibits 3.1 and 4.1 to the
               Registrant's Annual Report on Form 10-K for the period ended
               December 31, 1989)
 
          4.2  Subscription Agreement (incorporated by reference to Exhibit 4.2 to
               the Registrant's Annual Report on Form 10-K for the period ended
               December 31, 1989)
 
          4.3  Request for Redemption (incorporated by reference to Exhibit 4.3 to
               the Registrant's Annual Report on Form 10-K for the period ended
               December 31, 1989)
 
         10.1  Escrow Agreement, dated March 17, 1989 among the Registrant, Seaport
               Futures Management, Inc., Prudential-Bache Securities Inc. and
               Bankers Trust Company (incorporated by reference to Exhibit 10.1 to
               the Registrant's Annual Report on Form 10-K for the period ended
               December 31, 1989)
 
         10.2  Brokerage Agreement dated May 12, 1989 between the Registrant and
               Prudential-Bache Securities Inc. (incorporated by reference to
               Exhibit 10.2 to the Registrant's Annual Report on Form 10-K for the
               period ended December 31, 1989)
 
         10.4  Advisory Agreement, dated September 1, 1990 between the Registrant,
               Seaport Futures Management, Inc. and John W. Henry & Co., Inc.
               (incorporated by reference to Exhibit 10.4 to the Registrant's
               Annual Report on Form 10-K for the year ended December 31, 1990)
 
         10.6  Net Worth Agreement, dated as of March 17, 1989 between Seaport
               Futures Management, Inc. and Prudential Securities Group Inc.
               (incorporated by reference to Exhibit 10.6 to the Registrant's
               Annual Report on Form 10-K for the period ended December 31, 1989)
</TABLE>
                                       7
<PAGE>
<TABLE>
<S>      <C>                                                                          <C>
         10.7  Promissory Note issued by Prudential Securities Group Inc. to
               Seaport Futures Management, Inc., dated May 12, 1989 (incorporated
               by reference to Exhibit 10.7 to the Registrant's Annual Report on
               Form 10-K for the period ended December 31, 1989)
 
         10.9  Secured Demand Note Collateral Agreement dated February 15, 1991
               between Seaport Futures Management, Inc. and Prudential Securities
               Group Inc. (incorporated by reference to Exhibit 28.2 to the
               Registrant's Quarterly Report on Form 10-Q for the period ended
               March 31, 1991)
 
        10.16  Amendment to Advisory Agreement dated June 30, 1994 among the
               Registrant, Seaport Futures Management, Inc. and John W. Henry &
               Company, Inc. (incorporated by reference to Exhibit 10.16 to the
               Registrant's Quarterly Report on Form 10-Q for the period ended June
               30, 1994)
 
        10.17  Addendum to Brokerage Agreement dated July 1, 1994 among the
               Registrant, Seaport Futures Management, Inc. and Prudential
               Securities Incorporated (incorporated by reference to Exhibit 10.17
               to the Registrant's Quarterly Report on Form 10-Q for the period
               ended September 30, 1994)
 
        10.18  Form of Foreign Currency Addendum to Brokerage Agreement between the
               Registrant and Prudential Securities Incorporated (incorporated by
               reference to Exhibit 10.18 of the Registrant's Quarterly Report on
               Form 10-Q for the period ended March 31, 1996)
 
         13.1  Registrant's 1998 Annual Report (with the exception of the
               information and data incorporated by reference in Items 5, 7 and 8
               of this Annual Report on Form 10-K, no other information or data
               appearing in the Registrant's 1998 Annual Report is to be deemed
               filed as part of this report) (filed herewith)
 
         27.1  Financial Data Schedule (filed herewith)
 
(b)            Reports on Form 8-K
 
               No reports on Form 8-K were filed during the last quarter of the
               period covered by this report
</TABLE>
                                       8
<PAGE>
                                   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.
 
Prudential-Bache Capital Return Futures Fund L.P.
 
By: Seaport Futures Management, Inc.
    A Delaware corporation, General Partner
 
    By: /s/ Steven Carlino                                Date: March 31, 1999
    ----------------------------------------------
    Steven Carlino
    Vice President, Chief Accounting Officer 
    and Treasurer
 
   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
Registrant and in the capacities (with respect to the General Partner) and on
the dates indicated.
 
By: Seaport Futures Management, Inc.
    A Delaware corporation, General Partner
 
     By: /s/ Eleanor L. Thomas                           Date: March 31, 1999
     ------------------------------------------------
     Eleanor L. Thomas
     First Vice President

     By: /s/ Barbara J. Brooks                           Date: March 31, 1999
     -------------------------------------------------
     Barbara J. Brooks
     Chief Financial Officer

     By: /s/ Steven Carlino                              Date: March 31, 1999
     -------------------------------------------------
     Steven Carlino
     Vice President and Treasurer

     By:                                                 Date:
     -------------------------------------------------
     A. Laurence Norton, Jr.
     Director

     By: /s/ Guy S. Scarpaci                             Date: March 31, 1999
     -------------------------------------------------
     Guy S. Scarpaci
     Director

     By: /s/ Tamara B. Wright                            Date: March 31, 1999
     -------------------------------------------------
     Tamara B. Wright
     Senior Vice President and Director
 
                                       9