<PAGE>   1

                                   FORM 10-Q

                       SECURITIES AND EXCHANGE COMMISSION
                            Washington, D.C.  20549

          [X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
                        SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended January 31, 1997

                                       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 0-17590


                             THE FOUR SEASONS FUND
             (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.
One Financial Place
440 S. LaSalle - 20th Floor
Chicago, Illinois
(Address of principal executive offices)

60605
(Zip Code)

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

Same
(Former name, former address and former fiscal year, if changed since last
report)

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 X     No


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<PAGE>   2
                        PART 1. FINANCIAL INFORMATION

                         ITEM I. FINANCIAL STATEMENTS
                                       
                               FOUR SEASONS FUND
                       (An Illinois Limited Partnership)
                                 CONSOLIDATED
                       STATEMENTS OF FINANCIAL CONDITION
                                                                  
                                                                  
<TABLE>                                                           
<CAPTION>                                                         
                                                       JANUARY 31, 1997      JULY 31,
   ASSETS                                                (UNAUDITED)           1996
                                                       ---------------    ---------------
<S>                                                   <C>                <C>
    EQUITY IN FUTURES AND FORWARD TRADING ACCOUNTS:
     U.S. TREASURY SECURITIES, AT COST PLUS ACCRUED
      INTEREST WHICH APPROXIMATES MARKET VALUE        $         9,100    $             0
     NET UNREALIZED APPRECIATION ON OPEN
        FUTURES AND FORWARD CONTRACTS                         496,552            250,897
     AMOUNT DUE FROM (TO) BROKER                            2,237,755          2,198,520
                                                       ---------------    ---------------
                                                            2,743,407          2,449,417


    U.S TREASURY STRIP NOTES, AT MARKET VALUE              13,805,565         13,620,157
                                                       ---------------    ---------------
                   TOTAL ASSETS                       $    16,548,972    $    16,069,574
                                                       ===============    ===============
   LIABILITIES AND PARTNERS' CAPITAL
   LIABILITIES:
     ACCRUED BROKERAGE COMMISSIONS PAYABLE            $        50,827    $        54,064
     OTHER ACCRUED EXPENSES                                     4,999              7,182
     ACCRUED PROFIT SHARE                                           0                  0
                                                       ---------------    ---------------
                 TOTAL LIABILITIES                             55,826             61,246
                                                       ---------------    ---------------
   GENERAL PARTNER'S INTEREST IN TRADING COMPANY               81,792             67,366
                                                       ---------------    ---------------

   PARTNERS' CAPITAL:
     GENERAL PARTNER, 110 UNIT EQUIVALENTS
      OUTSTANDING AT JANUARY 31, 1997 AND JULY 31, 1996       212,724            198,067
     LIMITED PARTNERS, 8,376 AND 8,743 UNITS
      OUTSTANDING AT JANUARY 31, 1997
      AND JULY 31, 1996, RESPECTIVELY                      16,198,630         15,742,895
                                                       ---------------    ---------------
              TOTAL PARTNERS' CAPITAL                      16,411,354         15,940,962
                                                       ---------------    ---------------
                                                      $    16,548,972    $    16,069,574
                                                       ===============    ===============

   PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST:
     NET ASSET VALUE                                  $      1,933.85    $      1,800.61
                                                       ===============    ===============

</TABLE>


                    THE ACCOMPANYING NOTES ARE AN INTEGRAL
                       PART OF THE FINANCIAL STATEMENTS.
                                       
                                      -2-
<PAGE>   3
                               FOUR SEASONS FUND
                       (An Illinois Limited Partnership)
                                 CONSOLIDATED
                        STATEMENTS OF PARTNERS' CAPITAL
                                       
             FOR THE SIX MONTHS ENDED JANUARY 31, 1997 (UNAUDITED)


<TABLE>
<CAPTION>
                                       
                                            LIMITED          GENERAL                        
                                            PARTNERS         PARTNERS           TOTAL       
                                         --------------   --------------   --------------   
<S>                                     <C>              <C>              <C>
   FUND EQUITY AT JULY 31, 1996         $   15,742,895   $      198,067   $   15,940,962    
   (8,743 LIMITED PARTNERSHIP UNITS)                                                        
                                                                                            
                                                                                            
   ADD (DEDUCT):                                                                            
                                                                                            
                                                                                            
     REDEMPTION 0F 367 LIMITED                                                              
       PARTNERSHIP UNITS                      (664,185)                         (664,185)   
                                                                                            
                                                                                            
     NET INCOME (LOSS)                       1,119,920           14,657        1,134,577    
                                         --------------   --------------   --------------   
   FUND EQUITY AT JANUARY 31, 1997      $   16,198,630   $      212,724   $   16,411,354    
   (8,376 LIMITED PARTNERSHIP UNITS)     ==============   ==============   ==============   
                                                                                            
                                                                                            
                                                                                            
                                                                                            
                                                                                            
   NET ASSET VALUE PER UNIT AT                                                              
       JANUARY 31, 1997:                                                  $     1,933.85    
                                                                           ==============   

</TABLE>







                            THE ACCOMPANYING NOTES ARE AN INTEGRAL  
                               PART OF THE FINANCIAL STATEMENTS.    
                                                                    
                                           -3-                      
                                                                    
<PAGE>   4
                               FOUR SEASONS FUND
                       (An Illinois Limited Partnership)
                                 CONSOLIDATED
                           STATEMENTS OF OPERATIONS
                                       
        FOR THE SIX MONTHS ENDED JANUARY 31, 1997 AND 1996 (UNAUDITED)

<TABLE>
<CAPTION>
                                                                                             
   REVENUES:                                                1997               1996          
                                                       ---------------    ---------------    
<S>                                                   <C>                <C>
    NET REALIZED TRADING GAINS (LOSSES) ON CLOSED                                            
       FUTURES CONTRACTS                              $       582,188    $       364,498     
    INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION                                       
       ON OPEN FUTURES AND FORWARD CONTRACTS                  245,656            501,348     
    INTEREST INCOME                                            53,140             85,177     
    ACCRETION OF U.S TREASURY STRIP NOTES                     498,783            493,511     
    GAIN (LOSS) ON MARKET VALUE OF U.S. TREASURY                                             
       STRIP NOTES                                            130,511            626,157     
                                                       ---------------    ---------------    
                  TOTAL REVENUES                            1,510,278          2,070,691     
                                                                                             
                                                                                             
   EXPENSES:                                                                                 
     BROKERAGE COMMISSIONS                                    339,777            414,300     
     PROFIT SHARE ALLOWABLE TO JOINT VENTURE                                                 
      TRADING ADVISOR                                               0             22,620     
     OTHER EXPENSES                                            21,500             18,000     
                                                       ---------------    ---------------    
                  TOTAL EXPENSES                              361,277            454,920     
                                                       ---------------    ---------------    
   INCOME (LOSS) BEFORE GENERAL PARTNER'S INTEREST                                           
     IN TRADING COMPANY                                     1,149,001          1,615,771     
                                                                                             
   GENERAL PARTNER'S INTEREST IN TRADING COMPANY                                             
     OPERATING INCOME (LOSS)                                  (14,424)           (11,723)    
                                                       ---------------    ---------------    
                 NET INCOME (LOSS)                    $     1,134,577    $     1,604,048     
                                                       ===============    ===============    

   NET INCOME (LOSS) ALLOCATED TO:                                                           
     GENERAL PARTNER                                  $        14,657    $        18,799     
                                                       ===============    ===============    
   NET INCOME (LOSS) ALLOCATED TO:                                                           
     LIMITED PARTNERS                                 $     1,119,920    $     1,585,249     
                                                       ===============    ===============    

   INCREASE (DECREASE) IN NET ASSET VALUE FOR A                                              
     UNIT OUTSTANDING THROUGHOUT EACH PERIOD          $        133.24    $        170.89     
                                                       ===============    ===============    
</TABLE>



                    THE ACCOMPANYING NOTES ARE AN INTEGRAL
                       PART OF THE FINANCIAL STATEMENTS.

                                      -4-
<PAGE>   5
                                       
                               FOUR SEASONS FUND
                       (An Illinois Limited Partnership)
                                 CONSOLIDATED
                           STATEMENTS OF OPERATIONS
                                       
       FOR THE THREE MONTHS ENDED JANUARY 31, 1997 AND 1996 (UNAUDITED)

<TABLE>
<CAPTION>
                                                                                           
  REVENUES:                                                1997               1996         
                                                      ---------------    ---------------   
<S>                                                  <C>                <C>  
   NET REALIZED TRADING GAINS (LOSSES) ON CLOSED                                           
      FUTURES CONTRACTS                              $       509,994    $       431,900    
   INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION                                      
      ON OPEN FUTURES CONTRACTS                             (163,803)           366,848    
   INTEREST INCOME                                            29,665             46,431    
   ACCRETION OF U.S TREASURY STRIP NOTES                     253,838            243,326    
   GAIN (LOSS) ON MARKET VALUE OF U.S. TREASURY                                            
      STRIP NOTES                                           (120,896)           356,986    
                                                      ---------------    ---------------   
                                                             508,798          1,445,491    
                                                      ---------------    ---------------   
                                                                                           
  EXPENSES:                                                                                
    BROKERAGE COMMISSIONS                                    166,544            201,638    
    PROFIT SHARE ALLOCATION TO JOINT VENTURE                                               
     TRADING ADVISOR                                               0             22,620    
    OTHER ADMINISTRATIVE EXPENSES                             14,000             10,500    
                                                      ---------------    ---------------   
                                                             180,544            234,758    
                                                      ---------------    ---------------   
  INCOME (LOSS) BEFORE GENERAL PARTNER'S INTEREST                                          
    IN TRADING COMPANY                                       328,254          1,210,733    
                                                                                           
  GENERAL PARTNER'S INTEREST IN TRADING COMPANY                                            
    OPERATING INCOME (LOSS)                                   (5,274)           (14,292)   
                                                      ---------------    ---------------   
          NET INCOME (LOSS)                          $       322,980    $     1,196,441    
                                                      ===============    ===============   

  NET GAIN (LOSS) ALLOCATED TO
    GENERAL PARTNER                                  $         4,302    $        13,941
                                                      ===============    ===============
  NET GAIN (LOSS) ALLOCATED TO
    LIMITED PARTNERS                                 $       318,678    $     1,182,500
                                                      ===============    ===============

  INCREASE (DECREASE) IN NET ASSET VALUE FOR A
    UNIT OUTSTANDING THROUGHOUT EACH PERIOD          $         39.11    $        126.73
                                                      ===============    ===============

</TABLE>




                    THE ACCOMPANYING NOTES ARE AN INTEGRAL
                       PART OF THE FINANCIAL STATEMENTS.

                                      -5-
<PAGE>   6
                               FOUR SEASONS FUND
                       (An Illinois Limited Partnership)
                                 CONSOLIDATED
                           STATEMENTS OF CASH FLOWS
                                       
        FOR THE SIX MONTHS ENDED JANUARY 31, 1997 AND 1996 (UNAUDITED)



<TABLE>
<CAPTION>

                                                       1997              1996        
                                                  ---------------   ---------------  
<S>                                              <C>               <C>
   FUNDS PROVIDED BY:                                                                
     NET INCOME (LOSS)                           $     1,134,577   $     1,604,048   
     INCREASE IN OTHER LIABILITIES                                                   
     DECREASE IN EQUITY IN COMMODITY FUTURES                                         
      TRADING ACCOUNTS                                  (479,398)         (528,238)  
                                                  ---------------   ---------------  
   TOTAL FUNDS PROVIDED                                  655,179         1,075,810   
                                                  ---------------   ---------------  
                                                                                     
                                                                                     
                                                                                     
                                                                                     
   FUNDS APPLIED TO:                                                                 
     REDEMPTION OF LIMITED PARTNERSHIP UNITS             664,185         1,081,539   
     REDEMPTION OF GENERAL PARTNERSHIP UNITS                   0                 0   
     INCREASE IN EQUITY IN COMMODITY FUTURES                                         
      TRADING ACCOUNTS                                                               
     DECREASE IN OTHER LIABILITIES                        (9,006)           (5,729)  
                                                  ---------------   ---------------  
                                                         655,179         1,075,810   
                                                                                     
                                                                                     
                                                                                     
                                                                                     

   CHANGE IN CASH BALANCE                        $             0   $             0   
                                                  ---------------   ---------------  
                                                                                     

</TABLE>

                    THE ACCOMPANYING NOTES ARE AN INTEGRAL
                       PART OF THE FINANCIAL STATEMENTS

                                      -6-
<PAGE>   7
                             THE FOUR SEASONS FUND

                       (An Illinois Limited Partnership)


                    NOTES TO FORM 10-Q FINANCIAL STATEMENTS


1.  The financial information included herein, other than the condensed
Statement of Financial Condition as of July 31, 1996, has been prepared by
management without audit by Independent Certified Public Accountants.  The
condensed Statement of Financial Condition as of January 31, 1997 has been
derived from the audited financial statements as of July 31, 1996.  The interim
financial statements do not include all the disclosures contained in the annual
financial statements.  The information furnished includes all adjustments which
are, in the opinion of management, necessary for a fair statement of results
for the interim periods.  The results of operations as presented, however,
should not be considered indicative of the results to be expected for the
entire year.





                                      -7-
<PAGE>   8
                             THE FOUR SEASONS FUND

                       (An Illinois Limited Partnership)

                    NOTES TO FINANCIAL STATEMENTS, Continued

ITEM 2.  Management's Discussion and Analysis of Financial
         Condition and Operating Results for the six months
         ended January 31, 1997.

<TABLE>
<CAPTION>
                            January 31, 1997   July 31, 1996
<S>                           <C>               <C>
Ending Equity  (Note A)       $16,411,354       $15,940,962
</TABLE>

NOTE A:

     Ending equity at January 31, 1997 is higher than ending equity at July 31,
1996 due to profitable trading.
<TABLE>
<CAPTION>
                            Six months ended     Six months ended
                            January 31, 1997     January 31, 1996
<S>                           <C>                 <C>
Change in net unrealized
trading gains (losses) on
open futures and forward
contracts (Note B)            $245,656            $501,348
</TABLE>

NOTE B:

     Change in net unrealized trading gains (losses) on open futures and
forward contracts for the six months ended January 31, 1997 is lower than
change in net unrealized trading gains (losses) on open futures contracts for
the six months ended January 31, 1996 due to less profitable trading during the
period.

<TABLE>
<CAPTION>
                        Three months ended  Three months ended
                         January 31, 1997    January 31, 1996
<S>                         <C>                 <C>
Change in net unrealized
trading gains (losses) on
open futures and forward
contracts (Note C)          $(163,803)          $366,848
</TABLE>

NOTE C:

         Change in net unrealized trading gains (losses) on open futures and
forward contracts for the three months ended January 31, 1997 is lower than
change in net unrealized trading gains (losses) on open futures and forward
contracts for the three months ended January 31, 1996 due to less profitable
trading during the period.


                                      -8-
<PAGE>   9

                                    EXHIBITS



None

                                    PART II

None

                                   SIGNATURES


Pursuant to the requirements 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 FOUR SEASONS FUND
                                  (Registrant)

                                        By  Heinold Asset Management, Inc.
                                            (General Partner)



                                        By
                                            Lee E. Meyer
                                            Chief Financial Officer





                                        -9-