<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 1998                            
                                                                           
 TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE                  
          SECURITIES EXCHANGE ACT OF 1934                                  
                                                                           
 For the transition period from                                            
 Commission file number 0-17590                                            
                                                                           
                            THE FOUR SEASONS FUND
            (Exact name of registrant as specified in its charter)
                                                                           
 State of jurisdiction or incorporation (Illinois)                         
                                                                           
 IRS EMPLOYER ID NO. #36-3586810                                           
                                                                           
 C/O HEINOLD ASSET MANAGEMENT. INC.                                        
 ONE FINANCIAL PLACE                                                       
 440 S. LASALLE ST-21 FLOOR                                                
 CHICAGO ILLINOIS 60605                                                    
 PHONE NUMBER 663-7500                                                     
                                                                           
 SAME                                                                      
 ( Former name, former address and former fiscal year, if changed)         
                                                                           
 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 shortened 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                                                     
                                                                             



<PAGE>   2

                        PART I. FINANCIAL INFORMATION
                                                                            
                         ITEM I. FINANCIAL STATEMENTS
                                                                            
                              FOUR SEASONS FUND
                      (An Illinois Limited Partnership)
                                 CONSOLIDATED
                      STATEMENTS OF FINANCIAL CONDITION

<TABLE>
<CAPTION>
                                                                            
                                                                        JAN 31, 1998         JULY 31,            
ASSETS                                                                  (UNAUDITED)            1997              
                                                                      ----------------    ---------------        
<S>                                                                     <C>                 <C>
EQUITY IN FUTURES TRADING ACCOUNTS:                                                                              
  U.S. GOVERNMENT TREASURY SECURITIES, AT COST PLUS                                                              
   ACCRUED INTEREST WHICH APPROXIMATES MARKET                                       0                  0         
  NET UNREALIZED APPRECIATION ON OPEN FUTURES                                                                    
     CONTRACTS                                                                429,920          1,489,012         
  AMOUNT DUE FROM (TO) BROKER                                               2,775,644          2,165,611         
                                                                      ----------------    ---------------        
                                                                            3,205,564          3,654,623         
                                                                                                                 
 U.S. TREASURY STRIP NOTES, AT MARKET VALUE                                14,052,761         13,615,510         
                                                                      ---------------     ---------------        
                                                                           17,258,326         17,270,133         
                                                                      ================    ===============        
LIABILITIES:                                                                                                     
                                                                                                                 
  ACCRUED BROKERAGE COMMISSIONS PAYABLE                                        52,246             52,556         
  OTHER ACCRUED EXPENSES                                                       15,288             17,741         
  ACCRUED PROFIT SHARE                                                         26,010             99,843         
  REDEMPTION PAYABLE                                                                0                  0         
                                                                      ----------------    ---------------        
     TOTAL LIABILITIES                                                         93,544            170,140         
                                                                      ----------------    ---------------        
GENERAL PARTNER'S INTEREST IN TRADING COMPANY                                 115,252            125,341         
                                                                      ----------------    ---------------        
PARTNERS' CAPITAL:                                                                                               
  GENERAL PARTNER, 110 UNIT EQUIVALENTS                                                                          
     OUTSTANDING AT JANUARY 31, 1998 AND                                                                         
     JULY 31, 1997 RESPECTIVELY                                               240,976            236,820         
  LIMITED PARTNERS, 7,673 AND 7,732 UNIT                                                                         
    EQUIVALENTS OUTSTANDING AT JANUARY 31, 1998                                                                  
    AND JULY 31, 1997 RESPECTIVELY                                         16,808,553         16,737,832         
                                                                      ----------------    ---------------        
       TOTAL PARTNERS' CAPITAL                                             17,049,529         16,974,652         
                                                                      ----------------    ---------------        
                                                                           17,258,326         17,270,133         
                                                                      ================    ===============        
                                                                                                                 
NET ASSET VALUE PER OUTSTANDING UNIT OF                                                                          
  PARTNERSHIP INTEREST                                                       2,190.69           2,152.91         
                                                                      ================    ===============        
</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 OPERATIONS
                                                                            
       FOR THE THREE MONTHS ENDED JANUARY 31, 1998 AND 1997 (UNAUDITED)

<TABLE>
<CAPTION>
                                                                            
REVENUES:                                                                   1998               1997                        
                                                                      ----------------    ---------------               
 <S>                                                                      <C>                <C>
  NET REALIZED TRADING GAINS (LOSSES) ON CLOSED                                                                            
    FUTURES CONTRACTS                                                         259,505            509,994                   
  INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION                                                                       
    ON OPEN FUTURES CONTRACTS                                                 196,344           (163,803)                  
  INTEREST INCOME                                                              27,304             29,665                   
  ACCRETION OF U.S. TREASURY STRIP NOTES                                      243,610            253,838                   
  GAIN (LOSS) ON MARKET VALUE OF U.S.                                                                                      
      TREASURY STRIP NOTES                                                     85,290           (120,896)                  
                                                                      ----------------    ---------------                  
                                                                              812,054            508,798                   
                                                                      ----------------    ---------------                  
                                                                                                                           
EXPENSES:                                                                                                                  
  BROKERAGE COMMISSIONS                                                       163,421            166,544                   
  PROFIT SHARE ALLOCABLE TO JOINT VENTURE                                                                                  
   TRADING ADVISOR                                                             26,947                  0                   
  OTHER ADMINISTRATIVE EXPENSES                                                 6,000             14,000                   
                                                                      ----------------    ---------------                  
                                                                              196,368            180,544                   
                                                                      ----------------    ---------------                  
 INCOME BEFORE GENERAL PARTNER'S INTEREST                                                                                  
     IN TRADING COMPANY                                                       615,686            328,254                   
 GENERAL PARTNER'S INTEREST IN TRADING COMPANY                                                                             
     OPERATING (INCOME) LOSS                                                  (10,539)            (5,274)                  
                                                                      ----------------    ---------------                  
        NET INCOME (LOSS)                                                     605,147            322,980                   
                                                                      ================    ===============                  
                                                                                                                           
                                                                                                                           
NET GAIN (LOSS) ALLOCATED TO                                                                                               
  GENERAL PARTNER                                                              28,252              4,302                   
                                                                      ================    ===============                  
NET GAIN (LOSS) ALLOCATED TO                                                                                               
  LIMITED PARTNERS                                                            576,895            318,678                   
                                                                      ================    ===============                  
NET INCOME (LOSS) PER UNIT OF                                                                                              
  PARTNERSHIP INTEREST (FOR A UNIT                                                                                         
  OUTSTANDING THROUGHOUT EACH PERIOD)                                           77.58              39.11                   
                                                                      ================    ===============                  
</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, 1998 AND 1997 (UNAUDITED)

<TABLE>
<CAPTION>

REVENUES:                                                                   1998               1997
                                                                      ----------------    ---------------
 <S>                                                                    <C>                 <C>
  NET REALIZED TRADING GAINS (LOSSES) ON CLOSED
    FUTURES CONTRACTS                                                       1,024,621            582,188
  INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION
    ON OPEN FUTURES CONTRACTS                                              (1,059,092)           245,656
  INTEREST INCOME                                                              63,465             53,140
  ACCRETION OF U.S. TREASURY STRIP NOTES                                      487,160            498,783
  GAIN (LOSS) ON MARKET VALUE OF U.S.
      TREASURY STRIP NOTES                                                     79,070            130,511
                                                                      ----------------    ---------------
                                                                              595,224          1,510,278
                                                                      ----------------    ---------------

EXPENSES:
  BROKERAGE COMMISSIONS                                                       317,601            339,777
  PROFIT SHARE ALLOCABLE TO JOINT VENTURE
   TRADING ADVISOR                                                            (26,059)                 0
  OTHER ADMINISTRATIVE EXPENSES                                                20,580             21,500
                                                                      ----------------    ---------------
                                                                              312,122            361,277
                                                                      ----------------    ---------------
 INCOME BEFORE GENERAL PARTNER'S INTEREST
     IN TRADING COMPANY                                                       283,102          1,149,001
 GENERAL PARTNER'S INTEREST IN TRADING COMPANY
     OPERATING (INCOME) LOSS                                                   10,089            (14,424)
                                                                      ----------------    ---------------
        NET INCOME (LOSS)                                                     293,191          1,134,577
                                                                      ================    ===============


NET GAIN (LOSS) ALLOCATED TO
  GENERAL PARTNER                                                               4,156             14,657
                                                                      ================    ===============
NET GAIN (LOSS) ALLOCATED TO
  LIMITED PARTNERS                                                            289,035          1,119,920
                                                                      ================    ===============
NET INCOME (LOSS) PER UNIT OF
  PARTNERSHIP INTEREST (FOR A UNIT
  OUTSTANDING THROUGHOUT EACH PERIOD)                                           37.78             133.24
                                                                      ================    ===============
</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 PARTNERS' CAPITAL
                                                                            
              FOR SIX MONTHS ENDED JANUARY 31, 1998 (UNAUDITED)

<TABLE>
<CAPTION>
                                                                            
                                                                            
                                          LIMITED            GENERAL                          
                                          PARTNERS           PARTNERS           TOTAL         
                                       ---------------    --------------   ----------------   
 <S>                                    <C>                 <C>               <C>
 FUND EQUITY AT JULY 31, 1997              16,737,832           236,820         16,974,652    
  (7,732 LIMITED PARTNERSHIP UNITS)                                                           
                                                                                              
 ADD (DEDUCT):                                                                                
                                                                                              
   REDEMPTION 0F 59 LIMITED                                                                   
     PARTNERSHIP UNITS                       (218,313)                            (218,313)   
                                                                                              
   NET INCOME (LOSS)                          289,035             4,156            293,191    
                                       ---------------    --------------   ----------------   
 FUND EQUITY AT JANUARY 31, 1998           16,808,553           240,976         17,049,529    
  (7,673 LIMITED PARTNERSHIP UNITS)    ===============    ==============   ================   
                                                                                              
                                                                                              
                                                                                              
                                                                                              
 NET ASSET VALUE PER UNIT AT                                                                  
     JANUARY 31, 1998:                                                            2,190.69    
                                                                           ================   
</TABLE>                                                                    
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                                                                            
                    THE ACCOMPANYING NOTES ARE AN INTEGRAL
                       PART OF THE FINANCIAL STATEMENTS.

                                      -5-
                                                                            

<PAGE>   6

                              FOUR SEASONS FUND
                      (An Illinois Limited Partnership)
                                                                            
                                 CONSOLIDATED
                           STATEMENT OF CASH FLOWS
                                                                            
        FOR THE SIX MONTHS ENDED JANUARY 31, 1998 AND 1997 (UNAUDITED)

<TABLE>
<CAPTION>
                                                                            
                                                                            
                                                                    1998              1997                                   
                                                               ---------------   ---------------                             
<S>                                                              <C>               <C>
FUNDS PROVIDED BY:                                                                                                           
  NET INCOME (LOSS)                                                   293,191         1,134,577                              
  INCREASE IN OTHER LIABILITIES                                             0                 0                              
  (INCREASE) DECREASE IN EQUITY IN COMMODITY FUTURES                                                                         
   TRADING ACCOUNTS AND U.S. TREASURE STRIP NOTES                      11,807          (479,398)                             
                                                               ---------------   ---------------                             
                                                                      304,998           655,179                              
                                                               ---------------   ---------------                             
                                                                                                                             
                                                                                                                             
                                                                                                                             
                                                                                                                             
FUNDS APPLIED TO:                                                                                                            
  REDEMPTION OF LIMITED PARTNERSHIP UNITS                             218,313           664,185                              
  INCREASE IN EQUITY IN COMMODITY FUTURES TRADING ACCOUNTS                  0                 0                              
  DECREASE IN OTHER LIABILITIES                                        86,685            (9,006)                             
                                                               ---------------   ---------------                             
                                                                      304,998           655,179                              
                                                                                                                             
                                                                                                                             
                                                                                                                             
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                             
                                                                    
The financial information included herein, other than               
the condensed Statement of Financial Condition as of                
July 31,1997, has been prepared by management without               
audit by Independent Certified Public Accountants. The              
condensed Statement of Financial Condition as of                    
January 31,1998 has been derived from the audited financial         
as of July 31, 1997. The interim financial statements               
do not include all the disclosures contained in the annual          
financial statement. The information furnished includes             
all adjustments which are in the opinion of management,             
necessary for fair statements 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.                                       
                                                                    


<PAGE>   8

The Four Seasons Fund                                                       
(An Illinois Limited Partnership)                                           
                                                                            
Notes to Form 10-Q Financial Statements, Continued                          
                                                                            
Item 2, Management's discussion and analysis of Financial Condition,        
and operating results for the six months ended Jan 31, 1998               
                                                                          
<TABLE>
<CAPTION>
                                      31-Oct-98          31-Jul-97  
        
<S>                                   <C>                <C>    
Ending Equity(Note A)                 17,049,529           16,974,652       
</TABLE>
                                                                            
NOTE A:                                                                     
                                                                            
Ending equity at January 31,1998 is higher than ending equity at July       
31, 1997 due to profitable trading during the period.                       
                                                                            
                                                                            
                                                                            
NOTE B:                                                                     
                                                                            
Increase (decrease) in net unrealized appreciation on open futures and forward  
contracts for the six months ended 1/31/98 is less than net unrealized 
appreciation on open futures contracts for the six months ended 1/31/97 due to 
less profitable trading during the period.                                

<TABLE>
<CAPTION>
                                      Six months         Six months         
                                     ended 1/31/98      ended 1/31/97       
                                     <S>                 <C>
                                      (1,059,092)         245,656           
</TABLE>   
                                                                           
                                                                           
                                                                           
NOTE C:                                                                    
                                                                           
Increase (decrease) in net unrealized appreciation on open futures and forward 
contracts for the three months ended 1/31/98 is more than net unrealized 
appreciation on open futures contracts for the three months ended 1/31/97 due 
to more profitable trading during the period.                             

<TABLE>
<CAPTION>
                                   Three months       Three months         
                                   ended 1/31/98      ended 1/31/97        
                                   <S>                 <C>
                                      196,344           (163,803)          

</TABLE>

                                      8