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 JUNE 30,
     1998

                                      or

[ ]  TRANSITION REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES
     EXCHANGE ACT OF 1934 (NO FEE REQUIRED) FOR THE TRANSITION PERIOD FROM  
     _________ to _________

                        Commission file number 2-73692

              THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP-
-----------------------------------------------------------------------------
            (Exact name of Registrant as specified in its charter)

          Illinois                                36-3655854                   
- --------------------------------         ----------------------------        
 (State or other jurisdiction of                 (I.R.S. Employer              
  incorporation or organization)                 Identification No.)           
  

233 South Wacker Drive, Suite 4500, Chicago, Illinois              60606   
-----------------------------------------------------            --------  
Address of principal executive offices                           Zip Code 

Registrant's telephone number,     (312) 526-2000                              
                                --------------------

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

Securities registered pursuant to Section 12(g) of the Act: 50,000 Units of
Limited Partnership Interest

     Indicate by a 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 [X]   NO [ ]

     Indicate by a 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. [ ]

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

     As of June 30, 1998, there were 1,432.9663 Units outstanding.<PAGE>



DOCUMENTS INCORPORATED BY REFERENCE- -----------------------------------
** Exhibit 1  June 30, 1998 Audited Financial Statement

                       TOTAL PAGES IN THIS REPORT   24                         
                        ------<PAGE>



<PAGE>   2
                                    PART I

ITEM 1.    BUSINESS

     The Balanced Opportunity Fund Limited Partnership (the "Fund" or the   
"Partnership"), an Illinois limited partnership organized in July 1989,
commenced trading on March 23, 1990.  The Fund conducts speculative trading of
commodity interests.  The general partner of the Fund is Rodman & Renshaw
Futures Management, Inc. (the "General Partner").  Rosenthal Collins Group,
L.P. ("Rosenthal Collins"), an affiliate of the General Partner, is the
Partnership's commodity broker and selling agent. From inception through April
1998, the General Partner was a wholly owned subsidiary of Rodman & Renshaw
Capital Group, Inc.  The General Partner has retained RXR, Inc. ("RXR") as the
Trading Manager.

     On April 13, 1998, Rosenthal Collins purchased all of the outstanding
shares of stock of the General Partner.  Accordingly, effective April 13, 1998,
Rodman & Renshaw Futures Management, Inc. became a wholly-owned subsidiary of
Rosenthal Collins and remained as General Partner of the Fund.

     Approximately 80 percent of the Fund's assets at the commencement of
trading was invested in zero coupon United States Government Treasury
securities ("Stripped Notes") so as to yield (i) $1,000 per unit, plus (ii) a
five percent compound annual yield approximately six and one-half years after
the commencement of trading (the "Guaranteed Yield Pool").  Due to the interest
rate sensitivity of the market value of the Stripped Notes, persons who redeem
prior to the end of the approximate six and one-half year period noted above
have no such assured return.  The Guaranteed Yield Pool note matured in
February 1997 and in accordance with the Fund's limited partnership agreement a
special redemption at the Fund's net asset market value was offered to
investors on February 28, 1997.  A new Stripped Note was purchased after the
special redemption offer expired. As of June 30, 1998 and 1997, the maturity
value of the Stripped Notes amounted to $3,350,000 and $3,900,000,
respectively. The remainder of the Fund assets were invested in  the Trading
Company, in which the Fund is the sole limited partner and possessor of
substantially all of the beneficial interest.

     The two tier structure of the Fund and the Trading Company insulates the
Guaranteed Yield Pool against any liability for losses which might be incurred
by the Trading Company.

     The Fund will terminate on December 31, 2009.

     The consolidated financial statements include the Trading Company and the
Guaranteed Yield Pool (collectively, the "Fund" or the "Partnership").

     Since July, 1995, the Partnership's broker has utilized an unrelated
clearing broker for clearing activities related to its commodity trading.
Margin requirements are satisfied by cash on deposit with such clearing broker
in segregated interest bearing accounts.

     The Trading Company pays Rosenthal Collins an annual brokerage fee which 
                                      2 <PAGE>



<PAGE>   3
is equal to an annual rate of four percent of the average month-end net assets
as a whole, as defined, during the year.  Transaction fees and costs are
accrued on a round-turn basis.

     The General Partner administers the business and affairs of the Fund,
other than the selection of commodity transactions.  The Trading Manager
selects all commodities transactions and is not affiliated with the General
Partner within the meaning of the rules promulgated by the Securities and
Exchange Commission.

     RXR serves as the Trading Manager of the Trading Company.  Compensation to
RXR for this service consists of a monthly consulting fee and a quarterly
incentive fee as follows:

     Consulting Fee - The Trading Company pays a consulting fee equal to one   
percent of the month-end net assets annually (before reduction for any     
brokerage commissions or other charges as of such month-end) of the Fund     as
a whole.

     Incentive Fee - The Trading Company pays an incentive fee to RXR equal to
15 percent of any new trading profit (which includes interest income) achieved
by the Trading Company in each calendar quarter.  Such incentive fee is accrued
in each month in which "New Appreciation" occurs.  In those months in which
"New Appreciation" is negative, previous accruals, if any, during the incentive
period are reduced.  In those instances in which a limited partner redeems an
investment, the incentive fee is to be paid to RXR through the calendar year
quarter.

     The Trading Company incurs ongoing legal, accounting and administrative
costs.

     The Fund has no employees.

     The Fund does not engage in operations in foreign countries.

Regulation
----------
     Under the Commodity Exchange Act, as amended (the "Act"), commodity
exchanges and commodity futures trading are subject to regulation by the
Commodity Futures Trading Commission (the "CFTC").  The National Futures
Association (the "NFA"), a "registered futures association" under the Act, is
the only non-exchange self-regulatory organization for commodity 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".  The Act requires "commodity pool
operators", such as the General Partner, "commodity trading advisors", such as
the Trading Manager, and "commodity brokers" or "futures commission merchants",
                                      3 <PAGE>



<PAGE>   4
such as Rosenthal Collins, to be registered and to comply with various
reporting and record keeping requirements.  The General Partner, the  Trading
Manager and Rosenthal Collins are all members of the NFA.  The CFTC may suspend
a commodity pool operator's or trading advisor's registration if it finds that
its trading practices tend to disrupt orderly market conditions or in certain
other situations.  In the event that the General Partner's registration as a
commodity pool operator or the Trading Manager's registration as a commodity
trading advisor were terminated or suspended, the General Partner and the
Trading Manager, respectively, would be unable to continue to manage the
business of the Fund.  Should the General Partner's registration be suspended,
termination of the Fund might result.  The Act also requires Rosenthal Collins,
in its capacity as a commodity broker, to be registered as a "futures
commission merchant."

     As members of the NFA, the General Partner, the Trading Manager and
Rosenthal Collins are subject to NFA standards relating to fair trade
practices, financial condition and customer protection.  As the self regulatory
body of the futures industry, the NFA promulgates rules governing the conduct
of commodity professionals and disciplines those professionals which do not
comply with such standards.

     In addition to such registration requirements, the CFTC and  certain
commodity exchanges have established limits on the maximum net long and net
short positions which any person may hold or control in particular commodities.
The CFTC has adopted a rule requiring all domestic commodity exchanges to
submit speculative positions limits for all futures contracts traded on such
exchanges.  Most exchanges also limit the changes in commodity 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.

ITEM 2.   PROPERTIES

     The Partnership does not own or lease any real property.  The General
Partner uses its offices to perform administrative services for the Fund at no
cost to the Fund.

ITEM 3.   LEGAL PROCEEDINGS

     The General Partner is not aware of any legal proceedings to which the
Fund or the General Partner is a party or to which any of their assets are
subject.

ITEM 4.   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

     No matters were submitted during the quarter ending June 30, 1998 to a
vote of the holders of units of limited partnership interest ("Units") through
the solicitation of proxies or otherwise.

                                      4 <PAGE>



<PAGE>   5
                                   PART II

ITEM 5.    MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED           
STOCKHOLDER MATTERS

     There is no established public trading market for the Units, nor will one
develop.  Units may be transferred or redeemed subject to the conditions
imposed by the Agreement of Limited Partnership.  As of June 30, 1998, a total
of 1,432.9663 Units were outstanding held by 141 Unit Holders, including
111.1143 Units of General Partnership interest.

     The General Partner has sole discretion in determining what distributions,
if any, the Partnership will make to its Unit Holders.  The General Partner has
not made any distributions as of the date hereof.

ITEM 6.    SELECTED FINANCIAL DATA

     On the following page is a summary of selected consolidated financial data
for the Partnership for the fiscal years ended June 30, 1998, 1997, 1996, 1995,
and 1994.
                                      5 <PAGE>



   <PAGE>   6
   <TABLE> <CAPTION>
   THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP                            SELEC


                                       June 30         June 30        June 30        
                                        1998            1997          1996           
   <S>                                   <C>             <C>            <C>          

   REVENUES:
   Trading profit (loss) 
    Realized                       $  440,000     $  335,000     $  (42,000)    $  57
    Unrealized                       (103,000)       100,000        (84,000)      (38
    Foreign currency gain (loss)       (4,000)                      (15,000)         
                                   ----------     ----------     ----------     -----
    Total trading profit and
      foreign currency gain           334,000        435,000       (141,000)       18
                                   ----------     ----------     ----------     -----
   Guaranteed Yield Pool:
    Accrued interest                  166,000         37,000        568,000        46
    Unrealized market value
      gain (loss)                     139,000         54,000       (168,000)        5
   Interest received                                 497,000
    Realized gain (loss)               19,000       (322,000)
      Total guaranteed yield       ----------     ----------     ----------     -----
         pool revenue                 324,000        266,000        400,000        51
                                   ----------     ----------     ----------     -----
   Interest income                     34,000         45,000         35,000         3
   Illinois replace tax refund                                                       
                                   ----------     ----------     ----------     -----
      Total revenues                  692,000        746,000        294,000        74

   EXPENSES:

    Commissions and fees              135,000        205,000        261,000        20
    Consulting fees                    30,000         49,000         61,000         6
    Administrative expenses            96,000         54,000         64,000         6
                                   ----------     ----------     ----------     -----
      Total expenses                  261,000        308,000        386,000        33
                                   ----------     ----------     ----------     -----
   NET INCOME (LOSS)               $  431,000     $  438,000     $  (92,000)    $  40
                                   ==========     ==========     ==========     =====<PAGE>



   TOTAL ASSETS                    $2,934,000     $3,605,000     $5,557,000     $6,77
                                   ----------     ==========     ==========     =====
   TOTAL LIABILITIES               $  140,000     $   44,000     $   78,000     $   5
                                   ----------     ----------     ----------     -----
   PARTNERS' CAPITAL:
    Limited partners (1,321.8557, 
      1,967.852, 3,392.4502, 
      4,106.4502, and 4,985.7857
      units outstanding in 1998,
      1997, 1996, 1995, and 1994
      respectively)                $2,578,000     $3,371,000     $5,305,000     $6,54

    General partner
      (111.1143 units)                216,000        190,000        174,000        17
                                   ----------     ----------     ----------     -----
   TOTAL PARTNERS' CAPITAL         $2,794,000     $3,561,000     $5,479,000     $6,72
                                   ----------     ----------     ----------     -----
   TOTAL LIABILITIES AND
    PARTNERS' CAPITAL              $2,934,000     $3,605,000     $5,557,000     $6,77
                                   ----------     ==========     ==========     =====
   NET ASSET VALUE PER UNIT
     Limited Partners              $1,950,288     $1,713,035     $1,563.767
     General Partner                1,943,944      1,709,951     $1,563.955

   NET INCOME (LOSS)
     Per Limited Partner Unit         237,253        149,269     (29.823)
     Per General Partner Unit         239,993        143,996     (26.999)
    </TABLE>
                   See notes to consolidated financial statements.   <PAGE>



<PAGE>   7
ITEM 7.   MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND      
    RESULTS OF OPERATIONS 

CAPITAL RESOURCES

     The purpose of the Fund is to trade commodity interests; as such, the Fund
does not have, nor does it expect to have, any capital assets and has no
material commitments for capital expenditures.  The Fund's use of assets is
solely to provide necessary margin, and to pay any losses incurred in
connection with its trading activity.

Liquidity
---------
     Most United States commodity exchanges limit fluctuations in commodity
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 a price 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.  Commodity futures prices
have occasionally moved the daily limit for several consecutive days with
little or no trading.  Similar occurrences could prevent the Fund from promptly
liquidating unfavorable positions and subject the Fund to substantial losses
that could exceed the margin initially committed to such trades.  In addition,
even if commodity futures prices have not moved the daily limit, the Fund 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 Fund's commodity interest trading operations, the
Fund's assets are highly liquid and are expected to remain so.

Results of Operations
---------------------
     Trading operations posted a gain of $334,000 for the year ended June 30,
1998, as compared to a net gain of $435,000 in 1997 and a net loss of $141,000
in 1996. The majority of profits were made in long positions in stock market
indexes as well as long-term bond instruments, both foreign and domestic.
   
     The guaranteed yield pool experienced an unrealized gain of $139,000 in
fiscal 1998 compared to a $54,000 unrealized gain in 1997 and a loss of
$168,000 in 1996.  Notes were sold in October 1997 and January 1998 resulting
in a realized gain of $19,000 for fiscal 1998.

     The Fund permits units to be redeemed on a quarterly basis.  During the
fiscal years ended June 30, 1998 , 1997 and 1996, a total of 646, 1,425 and 714
units were redeemed by Limited Partners for an aggregate redemption value of
$1,198,000 $2,356,000, and $1,150,000, respectively.



                                      7 <PAGE>



<PAGE>   8


Year 2000 Issues

     Presently, management's assessment of the Fund's Year 2000 issues is not
complete as it has not completed its assessment as to whether third parties
with whom it has material relationships are Year 2000 compliant.

     The Fund will complete its assessment before the end of calendar 1998 and,
if necessary, make alternative arrangement with other third parties.

     The Fund has not spent any monies on Year 2000 issues to date and does not
anticipate projected costs to be material.     

ITEM 8.    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

     The information required by this item is submitted as a separate section
of this report.  (See Index on page number 13).

ITEM 9.    CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND     
     FINANCIAL DISCLOSURE
   
     There were no disagreements with accountants on accounting and financial
disclosures during the fiscal years ended June 30, 1998, 1997 and 1996.  On
February 6, 1998, the Fund, upon the recommendation of the General Partner,
dismissed PricewaterhouseCoopers LLP and appointed McGladrey & Pullen, LLP as
the Fund's certifying accountant, The change in independent certified
accountants was approved by the Board of Directors.  The report of
PricewaterhouseCoopers LLP on the financial statements for the Fund for the
years ended June 30, 1997 and 1996 contained no adverse opinion or disclaimer
of opinion, nor were they qualified or modified as to uncertainty, audit scope,
or accounting principles.  During the years ended June 30, 1997 and 1996, and
during the period from July 1, 1997 through February 6, 1998, the Fund had no
disagreements with PricewaterhouseCoopers LLP on any matter of accounting
principles or practices, financial statement disclosure or auditing scope or
procedure.  Further, during the years ended June 30, 1997 and 1996, and during
the period from July 1, 1997 through February 6, 1998, neither the Fund nor
anyone on the Fund's behalf consulted McGladrey & Pullen LLP regarding either
the application of accounting principles to a specified transaction or the type
of audit opinion that might be rendered on the Fund's financial statements.
    

                                      8 <PAGE>



<PAGE>   9
                                   PART III

ITEM 10.   DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

     The Fund has no directors or executive officers.  The Fund is managed by
the General Partner.  There are no employees of the Fund.

     The Fund's General Partner is Rodman & Renshaw Futures Management, Inc., a
Delaware corporation.  The General Partner is a wholly-owned subsidiary of
Rosenthal Collins.  The address of the General Partner is 216 West Jackson
Blvd., Chicago, Illinois 60606.  The telephone number is (312) 460-9200.

     The principals of the General Partner are as follows:

     J. Robert Collins is the sole officer of the General Partner and the
managing general partner of Rosenthal Collins Group, L.P., the Fund's commodity
broker. Mr. Collins is an associated person and principal of First United
Nationwide, L.L.C. which has been a registered Introducing Broker since January
16, 1996.  Mr. Collins has acted as a co-managing General Partner of the
Rosenthal Collins Group, L.P. since its inception up to and including the last
five years.

 ITEM 11.   EXECUTIVE COMPENSATION

     The Fund is managed by its General Partner.  Neither the General Partner
nor its executives or employees receive direct compensation from the Fund.
There are no compensation plans or arrangements relating to a change in control
of either the Fund or the General Partner.

ITEM 12.   SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

     As of June 30, 1998, (a) there were 141 partners in The Balanced
Opportunity Fund Limited Partnership, of which one partner, Bass Oil Co., Inc.
Profit Sharing Plan, with 89.85 units, was known to be the beneficial owner of
more than five percent of the units of Limited Partnership.
                                       9 <PAGE>



<PAGE>   10
interest, (b) the General Partner, Rodman & Renshaw Futures Management, Inc.,
was the beneficial owner of approximately 7.75% of the Fund, and (c) there were
no arrangements, known to the Fund, the operation of which may on a subsequent
date result in a change in control of the Fund.

ITEM 13.   CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

     Refer to Item 11.

     The Fund pays the following compensation to the firms that provide  
services to it:

     The brokerage rate paid by the Fund is approximately $50 per contract on a
round-turn basis adjusted to equal 4% of the Net Assets of the Fund annually.
For the fiscal year ended June 30, 1998, the Fund paid Rosenthal Collins, an
affiliated Futures Commission Merchant of the General Partner, $4,546 in
brokerage commissions and fees.  In July, 1995, the Fund began to utilize an
unrelated clearing broker for clearing activities related to its commodity
trading.

     RXR, Inc. acts as the Fund's commodity trading manager.  During the fiscal
year ended June 30, 1998, no incentive fees were paid.


                                   PART IV

ITEM 14.   EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

   (a)     (1)  Financial Statements
      See "Index to Financial Statements" on page F-1 hereof.

      (2)    Financial Statement Schedules

      Schedule I - Marketable Securities - Other Investments

      Schedules for which provision is made in the applicable accounting      
regulations of the Securities and Exchange Commission are not required      
under the related instructions or are inapplicable, and therefore have      
been omitted.

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

           (3)  Articles of Incorporation and By-Laws

               3.1 Limited Partnership Agreement

           (10) Material Contracts                                      10 <PAGE>



<PAGE>   11
                10.1  Form of Brokerage Agreement between the Partnership and  
              Rodman & Renshaw, Inc.

                10.2  Advisory Contract between the Partnership and RXR, Inc.

   (b) Reports on Form 8-K

                No reports were filed on Form 8-K during the quarter ended     
            June 30, 1998.

                                      11 <PAGE>



<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.

          THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP                    
                                                                               
                                                                               
By:  ________________________________________                              
J. Robert Collins
President of Rodman & Renshaw Futures  Management, Inc.,         
General Partner                                                  
Date:   September 22, 1998


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 and on the dates indicated.

<TABLE> <CAPTION>
Signature                    Title                              Date-
---------------              -----                              ----
<S>                          <C>                            <C>


-------------------------     President of Rodman & Renshaw  September 29, 1997
J. Robert Collins             Futures Management, Inc.
                              General Partner




</TABLE>                                      12 <PAGE>



<PAGE>   13
              THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP

         Report on FORM 10-K for the Fiscal Year ended June 30, 1998

                   FINANCIAL STATEMENTS AND SCHEDULE INDEX
<TABLE> 
<CAPTION>
                                                          Sequential Page
                                                          --------------
<S>                                                             <C>            
                                                     
Independent Auditors' Reports............................        14
Statements of Financial Condition as of 
June 30, 1998 and 1997 ..................................        15
Statements of Operations for the Years ended 
June 30, 1998, 1997, and 1996............................        16
Statements of Changes in Partners' Capital 
for the years ended June 30, 1998, 1997, and 1996........        17
Notes to Financial Statements............................        18 
</TABLE>

                                      13 <PAGE>



<PAGE>   14
                    [LETTERHEAD OF McGLADREY & PULLEN, LLP]


                         INDEPENDENT AUDITOR'S REPORT

The Partners of The Balanced Opportunity 
  Fund Limited Partnership


We have  audited  the accompanying  statement  of financial  condition  of  The
Balanced Opportunity Fund  Limited Partnership  as of  June 30,  1998, and  the
related statements of operations and changes in partners' capital for the  year
then ended.  These financial statements are the responsibility of the Company's
management.  Our  responsibility is to  express an opinion  on these  financial
statements based on our audit.

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

In our opinion, the financial statements  referred to above present fairly,  in
all material respects, the financial position of The Balanced Opportunity  Fund
Limited Partnership as of June 30, 1998, and the results of its operations  and
its cash flows for  the year then ended  in conformity with generally  accepted
accounting principles.


/s/ McGLADREY & PULLEN, L.L.P.


Chicago, Illinois
September 18, 1998<PAGE>



<PAGE>   15
THE BALANCED OPPORTUNITY FUND  LIMITED PARTNERSHIP
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION  
June 30, 1998 and 1997
<TABLE> 
<CAPTION>
             ASSETS                                       1998          1997
<S>                                                        <C>           <C> 

Equity in commodity futures trading accounts:
 Cash                                                  $  273,000   $  714,000
 Net unrealized gain on open contracts                      1,000      103,000
                                                       ----------   ----------
     Total equity in commodity futures trading accounts   274,000      817,000
                                                       ----------   ----------
Guaranteed yield pool - at market                       2,657,000    2,783,000

Other receivables                                           3,000        5,000
                                                       ----------   ----------
         Total assets                                  $2,934,000   $3,605,000
                                                       ==========   ==========

               LIABILITIES AND PARTNERS' CAPITAL 
Liabilities:
   Accrued administrative expenses                     $   31,000   $   20,000
   Accrued commissions and fees                             6,000       24,000
   Accrued management fees                                  5,000           -
   Redemptions payable                                     98,000           -
                                                       ----------   ----------
         Total liabilities                                140,000       44,000
                                                       ----------    ---------
Partners' capital:
   Limited partners (units outstanding:
     1998 - 1,321.8520; 1997 - 1,967.8520)              2,578,000    3,371,000
   General partner (units outstanding: 111.1143)          216,000      190,000
                                                       ----------   ----------
            Total partners' capital                     2,794,000    3,561,000
                                                       ----------   ----------
         Total liabilities and partners' capital       $2,934,000   $3,605,000
                                                       ==========   ==========
Net asset value per unit:
  Limited Partners                                     $1,950.288   $1,713.035
  General Partners                                     $1,943.944   $1,709.951
                                                       ==========   ==========
</TABLE>


The accompanying notes are an integral part of the consolidated financial  
statements. 
                                      2 <PAGE>



<PAGE>   16
THE BALANCED OPPORTUNITY FUND  LIMITED PARTNERSHIP
CONSOLIDATED STATEMENTS OF OPERATIONS  
for the years ended June 30, 1998, 1997 and 1996
<TABLE> 
<CAPTION>
                                                 1998        1997       1996
<S>                                              <C>          <C>       <C>

Revenues:
  Trading profit (loss):
    Realized                                 $  440,000  $  335,000  $ (42,000)
    Unrealized                                 (102,000)    100,000    (99,000)
  Foreign currency gain (loss)                   (4,000)         -          -
                                             ----------  ----------  ---------
           Total trading profit and foreign
                 currency gain (loss)           334,000     435,000   (141,000)
                                             ----------  ----------   --------
Guaranteed yield pool:
  Accrued interest                              166,000      37,000    568,000 
  Interest received                                  -      497,000         -  
  Unrealized market value gain (loss)           139,000      54,000   (168,000)
  Realized gain (loss)                           19,000    (322,000)        -  
                                             ----------  ----------  ---------
           Total guaranteed yield pool revenue  324,000     266,000    400,000 
                                             ----------  ----------  ---------
Interest income                                  34,000      45,000     35,000 
                                             ----------  ----------  ---------
           Total revenues                       692,000     746,000    294,000 
                                             ----------  ----------  ---------
Expenses:
  Brokerage commissions and fees                135,000     205,000    261,000 
  Consulting fees                                30,000      49,000     61,000 
  Administrative expenses                        96,000      54,000     64,000 
                                             ----------  ----------  ---------
           Total expenses                       261,000     308,000    386,000 
                                             ----------  ----------  ---------
           Net income (loss)                 $  431,000  $  438,000  $ (92,000)
                                             ==========  ==========  =========
Net income (loss) allocated to:
  General partner                            $   26,000  $   16,000  $  (3,000)
                                             ==========  ==========  =========
  Limited partners                           $  405,000  $  422,000  $ (89,000)
                                             ==========  ==========  =========
Increase (decrease) in net asset value per Limited Partner
  unit outstanding throughout each period    $  237.253  $  149.269  $ (29.823)
                                             ==========  ==========  =========
Increase (decrease) in net asset value per General Partner
  unit outstanding throughout each period    $  239.993  $  143.996  $ (26.999)
                                             ==========  ==========  =========
</TABLE>
        The accompanying notes are an integral part of the consolidated        
                     financial statements.                                     
                                                                               
                                        3<PAGE>



<PAGE>   17 
THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL 
for the years ended June 30, 1998, 1997 and 1996
<TABLE> 
<CAPTION>
                                       TOTAL
                                    UNITS OF
                                 PARTNERSHIP     LIMITED   GENERAL
                                    INTEREST    PARTNERS   PARTNER        TOTAL
<S>                                    <C>          <C>        <C>         <C> 

Partners' capital, June 30, 1995$4,217.5645  $6,544,000 $ 177,000   $6,721,000 

  Redemptions                     (714.0000) (1,150,000)            (1,150,000)
  Net loss                                      (89,000)   (3,000)     (92,000)
                                 -----------  ---------- ---------   ----------
Partners' capital, June 30, 1996 3,503.5645   5,305,000   174,000    5,479,000 

  Redemptions                   (1,424.5982) (2,356,000)        -   (2,356,000)
  Net income                            -       422,000    16,000      438,000 
                                 -----------  --------------------- ---------- 
Partners' capital, June 30, 1997 2,078.9663  $3,371,000  $190,000   $3,561,000 

  Redemptions                     (646.0000) (1,198,000)        -   (1,198,000)
  Net income                            -       405,000    26,000      431,000 
                                 -----------  --------------------- ---------- 
Partners' capital, June 30, 1998 1,432.9663  $2,578,000  $216,000   $2,794,000 
                                 ===========  ====================  ========== 
  </TABLE>                                                  


See Notes to Financial Statements.

                                      4<PAGE>



<PAGE>   18
THE BALANCED OPPORTUNITY FUND LIMITED PARTNERSHIP NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS

1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

The Balanced Opportunity Fund Limited Partnership (The Fund or the
Partnership), an Illinois limited partnership organized in July 1989, commenced
trading on March 23, 1990.  All of the Fund's trading takes place through
Rodman Asset Allocation Management Limited Partnership (the Trading Company),
an Illinois limited partnership, of which the Fund is the sole limited partner.
The Fund controls all of the Trading Company's activities through its
investment therein.  The general partner for the Fund is Rodman & Renshaw
Futures Management, Inc. (the General Partner).  For the fiscal years ended
June 30, 1996 and 1997, the General Partner was a wholly-owned subsidiary of
Rodman & Renshaw Capital Group, Inc.  Effective April 1998, the General Partner
was a wholly-owned subsidiary of Rosenthal Collins Group, L.P. (Rosenthal
Collins). The General Partner has retained RXR, Inc. (RXR) as the trading
manager.  In fiscal years 1996 and 1997, the commodity broker was Rodman &
Renshaw, Inc. (Rodman).  At June 30, 1998, the commodity broker was Rosenthal
Collins.

Approximately 80 percent of the Fund's assets at the commencement of trading
was invested in zero coupon United States Government Treasury Securities
(Stripped Notes) so as to yield (i) $1,000 per unit, plus (ii) a five percent
compound annual yield approximately six and one-half years after the
commencement of trading (the Guaranteed Yield Pool).  Due to the interest rate
sensitivity of the market value of the Stripped Notes, persons who redeem prior
to the dissolution date have no such assured return.  The Guaranteed Yield Pool
note matured in February 1997 and in accordance with the Fund's limited
partnership agreement, a special redemption at the Fund's net asset market
value was offered to investors on February 28, 1997.  A new Stripped Note was
purchased after the special redemption offer expired.  As of June 30, 1998 and
1997, the maturity value of the Stripped Notes amounted to $3,350,000 and
$3,900,000, respectively.  The remainder of the Fund assets was invested in the
Trading Company, in which the Fund is the sole limited partner and possessor of
substantially all the beneficial interest.

The two-tier structure of the Fund and the Trading Company insulates the
Guaranteed Yield Pool against any liability for losses which might be incurred
by the Trading Company.  Consequently, the Fund controls all of the substantive
activities of the Trading Company and, as such, has consolidated its results
for financial reporting purposes.

The consolidated financial statements include the Trading Company and the
Guaranteed Yield Pool (collectively, the Fund or the Partnership).

The Fund has elected not to provide statements of cash flows as permitted by
Statement of Financial Accounting Standards No. 102, Statements of Cash Flows -
Exemption of Certain Enterprises and Classification of Cash Flows from Certain
Securities Acquired for Resale."

The Fund will terminate on December 31, 2009.


                                  5<PAGE>



<PAGE>   19
THE BALANCED OPPORTUNITY FUND  LIMITED PARTNERSHIP
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES, CONTINUED

Significant accounting policies are as follows:

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

Revenue recognition:  Futures contracts are recorded on trade date and are
reflected in the accompanying statements of financial condition at the
difference between the original contract amount and the market value on the
last business day of the reporting period.  The difference between the original
contract amount (or the market value as of the last reporting date) and the
current value is reflected as the change in net unrealized gain on open
contracts.  Market value of futures contracts are based upon exchange
settlement prices.

Translation gains and losses:  The Partnership trades in foreign denominated
contracts.  The assets and liabilities related to these activities are
translated at the end-of-period exchange rates with the associated profits and
losses translated at monthly average exchange rates.  The resulting translation
gains and losses are immaterial and are recorded in unrealized trading profit
(loss).

Transaction fees and costs:  Transaction fees and costs are accrued at
approximately $50 per contract on a round-turn basis adjusted to equal 4
percent of the annual net assets of the Partnership.

Allocation of profits and losses:  All the profits and losses, income and
expenses relating to the operation of the Fund and the Trading Company are
allocated to each limited partner and the General Partner based on the monthly
increase or decrease in their respective net asset value per unit, as defined.

Redemptions:  Investors are entitled to redeem their units (including
fractional units in $100 increments) as of any calendar quarter-end upon ten
days' written notice to the General Partner.  No redemption charges are
assessed.

Distributions:  The General Partner does not presently intend to make any
distributions to limited partners although it may, if doing so, would not
reduce the Partnership's asset base to a level which would impair the
Partnership's objective.  Accordingly, the limited partners may incur current
income tax liabilities in excess of any distributions received from the
Partnership.

Income taxes:  No provision for federal income taxes has been made in the
accompanying financial statements as the partners are individually responsible
for reporting income or loss based upon their respective shares of the
Partnership's income and expenses for income tax purposes. <PAGE>



The Partnership is required to pay an Illinois replacement tax of 1.5% of net
income related to those limited partners who are not otherwise subject to the
tax.
                                      6<PAGE>



<PAGE>   20
THE BALANCED OPPORTUNITY FUND  LIMITED PARTNERSHIP
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES, CONTINUED

Right of setoff of certain amounts:  Pursuant to the Trading Company's
agreement with its futures clearing broker, all balances placed on deposit with
such broker, whether used for trading purposes or not, are available to be used
for margin purposes on any exchange and for any contract in which the Trading
Company trades.  The Trading Company conducts all of its exchange-traded
activity through a single account with its futures clearing broker.  The
Trading Company cleared all of its activity through an unrelated clearing
broker during fiscal 1996 and through April 1997. Effective during April 1997,
the Trading Company commenced clearing its activities through a different
unrelated clearing broker. In May 1998, the Trading Company commenced clearing
its activities through Rosenthal Collins. The Trading Company has similar
agreements with a financial institution for its over-the-counter contracts.  As
a result, the consolidated financial statements only present the net asset or
liability relating to such trading activities.


2.   RELATED PARTY TRANSACTIONS

     The Partnership pays the commodity broker .333 of 1% (a 4% annual rate) of
the Partnership' s month-end assets for brokerage and other services.
Furthermore, the Partnership pays all execution and exchange fees.  For the
periods ended June 30, 1998, 1997 and 1996, brokerage commission and fee
expenses totaled $135,000, $205,000 and $261,000, respectively.  At June 30,
1998, brokerage commissions payable to Rosenthal Collins totaled $6,000.  At
June 30, 1997, brokerage commissions payable to Rodman totaled $24,000.

3.  TRADING MANAGER

     RXR serves as the trading manager for the assets of the Trading Company.
Compensation to RXR for their services is as follows:

Consulting fee:  The Trading Company pays a consulting fee at a one percent
annual rate based upon the average month-end net assets of the Partnership
before reduction for any brokerage commissions or other charges as of such
month-end.

Incentive fee:  The Trading Company pays an incentive fee to RXR equal to 15
percent of any new trading profit (which includes interest income) achieved by
the Trading Company in each calendar quarter.  Such incentive fee is accrued in
each month in which "New Appreciation" occurs.  In those months in which New
Appreciation is negative, previous accruals, if any, during the incentive
period will be reduced.  In those instances in which a limited partner redeems
an investment, the incentive fee is to be paid to RXR through the calendar year
quarter. No incentive fees have been paid during the three years ended June 30,
1998.
                                      7<PAGE>



<PAGE>   21
THE BALANCED OPPORTUNITY FUND  LIMITED PARTNERSHIP
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

4.   FAIR VALUE OF FINANCIAL INSTRUMENTS

     The Partnership believes that the carrying value of its financial
instruments is a reasonable estimate of fair value.  Equity in commodity
futures trading accounts and the guaranteed yield pool are recorded at market
using market quotations from the Partnership's futures broker.  The fair value
of all other financial instruments reflected in the statement of financial
condition (primarily other receivables and accrued expenses) approximate the
recorded value due to their short-term nature.

5.   NET INCOME (LOSS) PER PARTNERSHIP UNIT

     The net income (loss) per limited partnership unit outstanding for the
entire period is the difference between the net asset value per unit at the
beginning and end of the period.

6.   FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK

     The fund trades various derivative financial instruments, principally
futures and forward contracts.

Market risk:  Derivative financial instruments involve varying degrees of
off-balance-sheet market risk whereby changes in the level or volatility of
interest rates, foreign currency exchange rates or market values of the
underlying financial instruments or commodities may result in cash settlements
in excess of the amounts recognized in the statements of financial condition.
The Partnership's exposure to market risk is directly influenced by a number of
factors, including the volatility of the markets in which the financial
instruments are traded and the liquidity of those markets.

The General partner has procedures in place to control market risk, although
there can be no assurance that they will, in fact, succeed in doing so.  The
procedures focus primarily on monitoring the trading activity of the advisors
from time to time by the Partnership, daily review of the outstanding positions
to consider possible over concentration of an individual Advisor and overall
partnership basis and calculating the Partnerships Net Asset Value every day.
While the General Partner will, itself, not intervene in the markets to hedge
or diversify the Partnership's market exposure, the General Partner may urge
the advisors to reallocate positions, or itself reallocate Partnerships assets
among Advisors.  However, such interventions are unusual and the General
Partner's basic control procedures consist simply of the ongoing process of
advisors selection and monitoring, with market risk controls being applied by
the advisors themselves.


                                        8<PAGE>



<PAGE>   22
THE BALANCED OPPORTUNITY FUND  LIMITED PARTNERSHIP
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED


The notional contract values as of June 30, 1998 and 1997, were as follows:

                                                        1998        1997  

Financial futures and forwards contracts:
  Commitments to purchase                          $91,889,000  39,572,000
  Commitments to sell                               24,978,000   8,881,000

Fair value:  The derivative instruments used in the Partnership's trading
activities are marked to market daily with the resulting unrealized gains or
losses recorded in the statement of financial condition and the related income
or loss reflected in trading revenues.

The fair value of derivative instruments at June 30, 1998 and 1997, as well as
the average fair value for the year then ended is presented in the table that
follows.  Assets represent unrealized gains and liabilities unrealized losses.
<TABLE> 
<CAPTION>
                                      1998                      1997
                         --------------------------   -----------------------
                            Year End       Average      Year End   Average  
                           Fair Value     Fair Value   Fair Value Fair Value
 <S>                          <C>            <C>            <C>         <C> 

Assets (Liabilities):
  Futures                   $  22,000       $(7,000)     $106,000   $123,000
  Forwards                   (21,000)        (2,000)      (3,000)      7,000
                            ---------      ---------    ---------  ---------
                            $   1,000       $(9,000)     $103,000   $130,000
                            =========      =========    =========  =========
</TABLE>

Credit risk:  During 1996, the Partnership's broker, Rodman & Renshaw, Inc.
began utilizing an unrelated clearing broker for all execution and clearing
activities related to the Partnership's commodity trading.  Margin requirements
are satisfied by cash and securities on deposit with such clearing broker in
segregated and non segregated interest-bearing accounts.  At June 30, 1997 and
1996, all of the equity in commodity futures trading accounts reflected on the
statements of financial condition are due principally from the respective
unrelated clearing broker, each of whom is a member of nationally recognized
futures exchanges. At June 30, 1998, the Partnership utilized Rosenthal
Collins. In the event that a clearing broker becomes insolvent, recovery of
segregated funds may be limited to a pro rata share of all customer segregated
funds available.  In such an instance, the Partnership could incur losses to
the extent that the recovered amount is less than the total cash and other
property deposited with the respective clearing broker.



                                      9                                      <PAGE>



<PAGE>   23
THE BALANCED OPPORTUNITY FUND  LIMITED PARTNERSHIP
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS, CONTINUED

6.   FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK, CONTINUED

The Partnership conducts its trading with its futures commission merchant on
commodity futures exchanges that are located in Chicago, New York, London,
Paris, Singapore, Sydney and other major financial markets.  The General
Partner monitors the creditworthiness of its futures commission merchant with
whom it conducts business.

The Partnership also engages in trading of forward delivery foreign currency
contracts.  Trading in such contracts is done through a New York Branch of a
major European bank and involves a variety of cross-currency forward positions
in the major European and Far East currencies.

The risks associated with exchange-traded contracts are typically perceived to
be less than those associated with over-the-counter transactions, because
exchanges typically (but not universally) provide clearinghouse arrangements in
which the collective credit (in some cases limited in amount, in some cases
not) of the members of the exchange is pledged to support the financial
integrity of the exchange, whereas in over-the-counter transactions, traders
must rely solely on the credit of their respective individual counterparties.
Margins, which may be subject to loss in the event of default, are generally
required in exchange  trading, and counterparties may require margin in
over-the-counter markets.  

                                     10<PAGE>






   
Independent Auditor's Report


The Partners of The Balanced Opportunity 
  Fund Limited Partnership

We have audited the accompanying consolidated statements of financial condition
of The Balanced Opportunity Fund Limited Partnership (the "Partnership") as of
June 30, 1997 and 1996, and the related consolidated statements of operations
and changes in partners' capital for the years ended June 30, 1997, 1996 and
1995.  These consolidated financial statements are the responsibility of the
Partnership's General Partner.  Our responsibility is to express an opinion on
these consolidated 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 consolidated financial statements
are free of material misstatement.  An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the consolidated
financial statements.  An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall consolidated financial statement presentation.  We
believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements referred to above present
fairly, in all material respects, the consolidated financial position of The
Balanced Opportunity Fund Limited Partnership as of June 30, 1997 and 1996, and
the results of its operations for the years ended June 30, 1997, 1996 and 1995
in conformity with generally accepted accounting principles.



/s/ PricewaterhouseCoopers LLP

September 22, 1997
    <PAGE>