<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 October 31, 1996

                                       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) 663-7900
(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 I. FINANCIAL INFORMATION

                      ITEM I. FINANCIAL STATEMENTS

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

<TABLE>
<CAPTION>

                                                            OCTOBER 31, 1996          JULY 31,
ASSETS                                                        (UNAUDITED)               1996
                                                            -----------------        -----------
<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                                                    660,357                 250,897
  AMOUNT DUE FROM (TO) BROKER                                  2,000,737               2,198,520
                                                              ----------              ----------
                                                               2,661,094               2,449,417
                                                                
U.S. TREASURY STRIP NOTES, AT MARKET VALUE                    13,874,176              13,620,157
                                                              ----------              ----------
                                                             $16,535,270             $16,069,574
                                                              ==========              ==========
LIABILITIES:                                                    
  ACCRUED BROKERAGE COMMISSIONS PAYABLE                      $    54,862             $    54,064
  OTHER ACCRUED EXPENSES                                          10,653                   7,182
  ACCRUED PROFIT SHARE                                                 0                       0
                                                              ----------              ----------
        TOTAL LIABILITIES                                         65,515                  61,246
                                                              ----------              ----------
GENERAL PARTNER'S INTEREST IN TRADING COMPANY                     76,517                  67,366
                                                              ----------              ----------
PARTNERS' CAPITAL:                                              
  GENERAL PARTNER, 110 UNIT EQUIVALENTS                         
    OUTSTANDING AT OCTOBER 31, 1996 AND                         
    JULY 31, 1996 RESPECTIVELY                                   208,422                 198,067
  LIMITED PARTNERS, 8,542 AND 8,743 UNIT                        
   EQUIVALENTS OUTSTANDING AT OCTOBER 31, 1996                  
   AND JULY 31, 1996 RESPECTIVELY                             16,184,816              15,742,895
                                                              ----------              ----------
         TOTAL PARTNERS' CAPITAL                              16,393,238              15,940,962
                                                              ----------              ----------
                                                             $16,535,270             $16,069,574
                                                              ==========              ==========
NET ASSET VALUE PER OUTSTANDING UNIT OF                         
  PARTNERSHIP INTEREST                                       $  1,894.74             $  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 THREE MONTHS ENDED OCTOBER 31, 1996 (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 201 LIMITED
      PARTNERSHIP UNITS                                (359,321)                  (359,321)

    NET INCOME (LOSS)                                   801,242      10,355        811,597
                                                    -----------    --------    -----------
FUND EQUITY AT OCTOBER 31, 1996                     $16,184,816    $208,422    $16,393,238
(8,542 LIMITED PARTNERSHIP UNITS)                   ===========    ========    ===========

NET ASSET VALUE PER UNIT AT
  OCTOBER 31, 1996:                                                              $1,894.74
                                                                                 =========        

</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 THREE MONTHS ENDED OCTOBER 31, 1996 AND 1995 (UNAUDITED)


<TABLE>
<CAPTION>

   REVENUES:                                                    1996               1995            
                                                          ----------------    ---------------      

     <S>                                                  <C>                 <C> 
     NET REALIZED TRADING GAINS (LOSSES) ON CLOSED                                                 
       FUTURES CONTRACTS                                  $        72,194     $      (67,402)      
     INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION                                            
       ON OPEN FUTURES CONTRACTS                                  409,459            134,500       
     INTEREST INCOME                                               23,475             38,746       
     ACCRETION OF U.S TREASURY STRIP NOTES                        244,945            250,185       
     GAIN (LOSS) ON MARKET VALUE OF U.S                                                            
         TREASURY STRIP NOTES                                     251,407            269,171       
                                                          ----------------    ---------------      
                                                                1,001,480            625,200       
                                                          ----------------    ---------------      
                                                                                                   
   EXPENSES:                                                                                       
     BROKERAGE COMMISSIONS                                        173,233            212,662       
     PROFIT SHARE ALLOCABLE TO JOINT VENTURE                                                       
      TRADING ADVISOR                                                   0                  0       
     OTHER ADMINISTRATIVE EXPENSES                                  7,500              7,500       
                                                          ----------------    ---------------      
                                                                  180,733            220,162       
                                                          ----------------    ---------------      
    INCOME BEFORE GENERAL PARTNER'S INTEREST                                                       
        IN TRADING COMPANY                                        820,747            405,038       
    GENERAL PARTNER'S INTEREST IN TRADING COMPANY                                                  
        OPERATING (INCOME) LOSS                                    (9,150)             2,569       
                                                          ----------------    ---------------      
           NET INCOME (LOSS)                              $       811,597     $      407,607       
                                                          ================    ===============      
                                                                                                   
                                                                                                   
   NET GAIN (LOSS) ALLOCATED TO                                                                    
     GENERAL PARTNER                                      $        10,355     $        4,858       
                                                          ================    ===============      
   NET GAIN (LOSS) ALLOCATED TO                                                                    
     LIMITED PARTNERS                                     $       801,242     $      402,749       
                                                          ================    ===============      
   NET INCOME (LOSS) PER UNIT OF                                                                   
     PARTNERSHIP INTEREST (FOR A UNIT                                                              
     OUTSTANDING THROUGHOUT EACH PERIOD)                  $         94.13     $        44.16       
                                                          ================    ===============      
                                                                        
</TABLE>


                            THE ACCOMPANYING NOTES ARE AN INTEGRAL
                              PART OF THE FINANCIAL STATEMENTS.
                                            -4-

<PAGE>   5

                           FOUR SEASONS FUND
                   (An Illinois Limited Partnership)

                              CONSOLIDATED
                        STATEMENT OF CASH FLOWS

    FOR THE THREE MONTHS ENDED OCTOBER 31, 1996 AND 1995 (UNAUDITED)

<TABLE>
<CAPTION>
                                                            1996          1995
                                                         ----------     ---------
<S>                                                     <C>             <C>
FUNDS PROVIDED BY:
  NET INCOME (LOSS)                                      $  811,597     $ 407,607
  INCREASE IN OTHER LIABILITIES                              13,420
  (INCREASE) DECREASE IN EQUITY IN COMMODITY FUTURES
   TRADING ACCOUNTS AND U.S. TREASURE STRIP NOTES          (465,696)      180,026
                                                         ----------     ---------
                                                            359,321       587,633
                                                         ----------     ---------

FUNDS APPLIED TO:
  REDEMPTION OF LIMITED PARTNERSHIP UNITS                   359,321       584,427
  REDEMPTION OF GENERAL PARTNERSHIP UNITS
  INCREASE IN EQUITY IN COMMODITY FUTURES
   TRADING ACCOUNTS                                               0             0
  DECREASE IN OTHER LIABILITIES                                   0         3,206
                                                         ----------     ---------
                                                            359,321       587,633


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

</TABLE>

                 THE ACCOMPANYING NOTES ARE AN INTEGRAL
                    PART OF THE FINANCIAL STATEMENTS

                                  -5-


<PAGE>   6


                             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 October 31, 1996 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.





                                      -6-
<PAGE>   7
                             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 three months ended October 31, 1996.

<TABLE>
<CAPTION>
                            October 31, 1996   July 31, 1996

<S>                           <C>                <C>       
Ending Equity  (Note A)       $16,393,238        $15,940,962

</TABLE>

NOTE A:

     Ending equity at October 31, 1996 is higher than ending equity at July 31,
1996 due to profitable trading.

<TABLE>
<CAPTION>
                          Three months ended       Three months ended
                           October 31, 1996         October 31, 1995

<S>                           <C>                   <C>
Net realized trading gains
(losses) on closed futures
contracts (Note B)            $72,194               $(67,402)

</TABLE>

NOTE B:

     Net realized trading gains (losses) on closed futures contracts for the
three months ended October 31, 1996 is higher than net realized trading gains
(losses) on closed futures contracts for the three months ended October 31,
1995 due to more profitable trading during the period.


                                      -7-
<PAGE>   8

                                    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




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