<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 APRIL, 30 1999

            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/0 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





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<PAGE>   2

                             PART I. FINANCIAL INFORMATION

                             ITEM I. FINANCIAL STATEMENTS

                                   FOUR SEASONS FUND
                           (An Illinois Limited Partnership)
                                      CONSOLIDATED
                           STATEMENTS OF FINANCIAL CONDITION

<TABLE>
<CAPTION>
                                                                       APRIL 30, 1999         JULY 31,
ASSETS                                                                  (UNAUDITED)             1998
                                                                      ----------------     ---------------
<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                                                                289,269             (27,581)
  AMOUNT DUE FROM (TO) BROKER                                               2,132,622           2,591,526
                                                                      ----------------     ---------------
                                                                            2,421,891           2,563,945

 U.S. TREASURY STRIP NOTES, AT MARKET VALUE                                12,859,404          13,361,199
                                                                      ---------------      ---------------
                                                                     $     15,281,295    $     15,925,144
                                                                      ================     ===============
LIABILITIES:

  ACCRUED BROKERAGE COMMISSIONS PAYABLE                              $         47,067    $         48,898
  OTHER ACCRUED EXPENSES                                                       10,179              11,459
  ACCRUED PROFIT SHARE                                                              0              65,422
  REDEMPTION PAYABLE                                                                0                   0
                                                                      ----------------     ---------------
     TOTAL LIABILITIES                                                         57,246             125,779
                                                                      ----------------     ---------------
GENERAL PARTNER'S INTEREST IN TRADING COMPANY                                 143,473             111,371
                                                                      ----------------     ---------------
PARTNERS' CAPITAL:
  GENERAL PARTNER, 110 UNIT EQUIVALENTS
     OUTSTANDING AT APRIL 30, 1999 AND
     JULY 31, 1998 RESPECTIVELY                                               267,094             246,032
  LIMITED PARTNERS, 6,101 AND 6,904 UNIT
    EQUIVALENTS OUTSTANDING AT APRIL 30, 1999
    AND JULY 31, 1998 RESPECTIVELY                                         14,813,482          15,441,962
                                                                      ----------------     ---------------
       TOTAL PARTNERS' CAPITAL                                             15,080,576          15,687,994
                                                                      ----------------     ---------------
                                                                     $     15,281,295    $     15,925,144
                                                                      ================     ===============

NET ASSET VALUE PER OUTSTANDING UNIT OF
  PARTNERSHIP INTEREST                                               $       2,428.13    $       2,236.69
                                                                      ================     ===============
</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 APRIL 30, 1999 AND 1998 (UNAUDITED)
<TABLE>
<CAPTION>

REVENUES:                                                                   1999                1998
                                                                      ----------------     ---------------
<S>                                                                  <C>                 <C>
  NET REALIZED TRADING GAINS (LOSSES) ON CLOSED
    FUTURES CONTRACTS                                                $        234,800    $        494,857
  INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION
    ON OPEN FUTURES CONTRACTS                                                (158,822)           (131,951)
  INTEREST INCOME                                                              27,531              31,838
  ACCRETION OF U.S. TREASURY STRIP NOTES                                      266,290             241,801
  GAIN (LOSS) ON MARKET VALUE OF U.S.
      TREASURY STRIP NOTES                                                   (197,744)           (166,146)
                                                                      ----------------     ---------------
                                                                              172,054             470,399
                                                                      ----------------     ---------------

EXPENSES:
  BROKERAGE COMMISSIONS                                                       158,083             168,909
  PROFIT SHARE ALLOCABLE TO JOINT VENTURE
   TRADING ADVISOR                                                                  0              38,608
  OTHER ADMINISTRATIVE EXPENSES                                                10,000               6,000
                                                                      ----------------     ---------------
                                                                              168,083             213,516
                                                                      ----------------     ---------------
 INCOME BEFORE GENERAL PARTNER'S INTEREST
     IN TRADING COMPANY                                                         3,971             256,883
 GENERAL PARTNER'S INTEREST IN TRADING COMPANY
     OPERATING (INCOME) LOSS                                                      822              (6,462)
                                                                      ----------------     ---------------
        NET INCOME (LOSS)                                            $          4,793    $        250,421
                                                                      ================     ===============


NET GAIN (LOSS) ALLOCATED TO
  GENERAL PARTNER                                                    $          1,232    $          7,782
                                                                      ================     ===============
NET GAIN (LOSS) ALLOCATED TO
  LIMITED PARTNERS                                                   $          3,561    $        242,639
                                                                      ================     ===============
NET INCOME (LOSS) PER UNIT OF
  PARTNERSHIP INTEREST (FOR A UNIT
  OUTSTANDING THROUGHOUT EACH PERIOD)                                $          11.20    $          32.96
                                                                      ================     ===============
</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 NINE MONTHS ENDED APRIL 30, 1999 AND 1998 (UNAUDITED)

<TABLE>
<CAPTION>

REVENUES:                                                                   1999                1998
                                                                      ----------------     ---------------
<S>                                                                  <C>                 <C>
  NET REALIZED TRADING GAINS (LOSSES) ON CLOSED
    FUTURES CONTRACTS                                                $        816,677    $      1,519,478
  INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION
    ON OPEN FUTURES CONTRACTS                                                 316,850          (1,191,043)
  INTEREST INCOME                                                              73,165              95,303
  ACCRETION OF U.S. TREASURY STRIP NOTES                                      760,936             728,961
  GAIN (LOSS) ON MARKET VALUE OF U.S.
      TREASURY STRIP NOTES                                                   (129,588)            (87,076)
                                                                      ----------------     ---------------
                                                                            1,838,042           1,065,623
                                                                      ----------------     ---------------

EXPENSES:
  BROKERAGE COMMISSIONS                                                       468,664             486,510
  PROFIT SHARE ALLOCABLE TO JOINT VENTURE                                      61,821              12,549
   TRADING ADVISOR                                                             29,113              26,580
  OTHER ADMINISTRATIVE EXPENSES                                       ----------------     ---------------
                                                                              559,598             525,639
                                                                      ----------------     ---------------

 INCOME BEFORE GENERAL PARTNER'S INTEREST                                   1,278,444             539,984
     IN TRADING COMPANY
 GENERAL PARTNER'S INTEREST IN TRADING COMPANY                                (32,103)              3,627
     OPERATING (INCOME) LOSS                                          ----------------     ---------------
                                                                            1,246,341    $        543,611
        NET INCOME (LOSS)                                            $================     ===============



NET GAIN (LOSS) ALLOCATED TO                                                   21,062    $         11,937
  GENERAL PARTNER                                                    $================     ===============

NET GAIN (LOSS) ALLOCATED TO                                                1,225,278    $        531,674
  LIMITED PARTNERS                                                   $================     ===============

NET INCOME (LOSS) PER UNIT OF
  PARTNERSHIP INTEREST (FOR A UNIT                                             191.44    $          70.74
  OUTSTANDING THROUGHOUT EACH PERIOD)                                $================     ===============
</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 NINE MONTHS ENDED APRIL 30, 1999 (UNAUDITED)

<TABLE>
<CAPTION>
                                         LIMITED            GENERAL
                                         PARTNERS           PARTNERS           TOTAL
                                      ---------------    --------------   ----------------
<S>                                  <C>               <C>               <C>
FUND EQUITY AT JULY 31, 1998         $    15,441,962   $       246,032   $     15,687,994
 (6,904 LIMITED PARTNERSHIP UNITS)

ADD (DEDUCT):

  REDEMPTION 0F 803 LIMITED
    PARTNERSHIP UNITS                     (1,853,759)                          (1,853,759)

  NET INCOME (LOSS)                        1,225,278            21,062          1,246,341
                                      ---------------    --------------   ----------------
FUND EQUITY AT APRIL 30, 1999        $    14,813,482   $       267,094   $     15,080,576
 (6,101 LIMITED PARTNERSHIP UNITS)    ===============    ==============   ================




NET ASSET VALUE PER UNIT AT
    APRIL 30, 1999:                                                      $       2,428.13
                                                                          ================
</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 NINE MONTHS ENDED APRIL 30, 1999 AND 1998 (UNAUDITED)

<TABLE>
<CAPTION>
                                                                    1999              1998
                                                               ---------------   ---------------
<S>                                                           <C>               <C>
FUNDS PROVIDED BY:
  NET INCOME (LOSS)                                           $     1,246,341   $       543,611
  INCREASE IN OTHER LIABILITIES                                             0                 0
  (INCREASE) DECREASE IN EQUITY IN COMMODITY FUTURES
   TRADING ACCOUNTS AND U.S. TREASURE STRIP NOTES                     643,849            20,488
                                                               ---------------   ---------------
                                                                    1,890,190           564,099
                                                               ---------------   ---------------




FUNDS APPLIED TO:
  REDEMPTION OF LIMITED PARTNERSHIP UNITS                           1,853,759           522,184
  INCREASE IN EQUITY IN COMMODITY FUTURES TRADING ACCOUNTS                                    0
  DECREASE IN OTHER LIABILITIES                                        36,431            41,914
                                                               ---------------   ---------------
                                                                    1,890,190           564,098



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 31,1998, has been prepared by management without
audit by Independent Certified Public Accountants. The condensed Statement of
Financial Condition as of April 30, 1999 has been derived from the audited
financial as of July 31, 1998. 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.




                          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 nine months ended April 30, 1998

<TABLE>
<CAPTION>
                                                                           30-Apr-99            31-Jul-98
<S>                                                                        <C>                  <C>
Ending Equity(Note A)                                                      15,080,576           15,687,994
</TABLE>

NOTE A:

Ending equity at April 30, 1999 is lower than ending equity at July 31, 1998 due
to redemption of limited partnership units during the period.



NOTE B:

Increase (decrease) in net unrealized appreciation on open futures and forward
contracts for the nine months ended 4/30/99 is more than net unrealized
appreciation on open futures and forward contracts for the nine months ended
4/30/98 due to more profitable trading during the period.

<TABLE>
<CAPTION>
                                                                        Nine months        Nine months
                                                                       ended 4/30/99      ended 4/30/98
  <S>                                                                  <C>                <C>
  INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION                      316,850          (1,191,043)
</TABLE>




NOTE C:

Net realized trading gains losses on closed futures contracts for the three
months ended 4/30/99 is less than net realized trading gains on closed futures
contracts for the three months ended 4/30/98 due to less profitable trading
during the period.

<TABLE>
<CAPTION>
                                                                       Three months       Three months
                                                                       ended 4/30/99      ended 4/30/98
<S>                                                                    <C>                <C>
Net Realized Trading Gains Losses on Closed Futures Contracts             234,800           (494,857)
</TABLE>











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