<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, 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>
JANUARY 31, 1996 JULY 31,
ASSETS (UNAUDITED) 1995
--------------- ---------------
<S> <C> <C>
EQUITY IN FUTURES AND FORWARD TRADING ACCOUNTS:
U.S. TREASURY SECURITIES, AT COST PLUS ACCRUED
INTEREST WHICH APPROXIMATES MARKET VALUE $ 3,739,837 $ 3,832,616
NET UNREALIZED APPRECIATION ON OPEN
FUTURES AND FORWARD CONTRACTS 594,112 92,763
AMOUNT DUE FROM (TO) BROKER (161,913) 151,758
----------- -----------
4,172,036 4,077,137
U.S TREASURY STRIP NOTES, AT MARKET VALUE 14,790,750 14,357,411
----------- -----------
TOTAL ASSETS $18,962,786 $18,434,548
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
ACCRUED BROKERAGE COMMISSIONS PAYABLE $ 61,135 $ 61,429
OTHER ACCRUED EXPENSES 1,805 10,818
ACCRUED PROFIT SHARE 3,314 0
----------- -----------
TOTAL LIABILITIES 66,254 72,247
----------- -----------
GENERAL PARTNER'S INTEREST IN TRADING COMPANY 100,711 88,989
----------- -----------
PARTNERS' CAPITAL:
GENERAL PARTNER, 110 UNIT EQUIVALENTS
OUTSTANDING AT JANUARY 31, 1996 AND JULY 31, 1995 217,605 198,806
LIMITED PARTNERS, 9,391 AND 10,001 UNITS
OUTSTANDING AT JANUARY 31, 1996
AND JULY 31, 1995, RESPECTIVELY 18,578,216 18,074,506
----------- -----------
TOTAL PARTNERS' CAPITAL 18,795,821 18,273,312
----------- -----------
$18,962,786 $18,434,548
=========== ===========
PER OUTSTANDING UNIT OF PARTNERSHIP INTEREST:
NET ASSET VALUE $ 1,978.22 $ 1,807.33
=========== ===========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL
PART OF THE FINANCIAL STATEMENTS.
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<PAGE> 3
FOUR SEASONS FUND
(An Illinois Limited Partnership)
CONSOLIDATED
STATEMENTS OF PARTNERS' CAPITAL
FOR THE SIX MONTHS ENDED JANUARY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
LIMITED GENERAL
PARTNERS PARTNERS TOTAL
-------------- -------------- ------------
<S> <C> <C> <C>
FUND EQUITY AT JULY 31, 1995 $18,074,506 $198,806 $18,273,312
(10,001 LIMITED PARTNERSHIP UNITS)
ADD (DEDUCT):
REDEMPTION 0F 610 LIMITED
PARTNERSHIP UNITS (1,081,539) (1,081,539)
NET INCOME (LOSS) 1,585,249 18,799 1,604,048
----------- -------- -----------
FUND EQUITY AT JANUARY 31, 1996 $18,578,216 $217,605 $18,795,821
(9,391 LIMITED PARTNERSHIP UNITS) =========== ======== ===========
NET ASSET VALUE PER UNIT AT
JANUARY 31, 1996: $ 1,978.22
===========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL
PART OF THE FINANCIAL STATEMENTS.
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<PAGE> 4
FOUR SEASONS FUND
(An Illinois Limited Partnership)
CONSOLIDATED
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 1996 AND 1995 (UNAUDITED)
<TABLE>
<CAPTION>
REVENUES: 1996 1995
----------- -------------
<S> <C> <C>
NET REALIZED TRADING GAINS (LOSSES) ON CLOSED
FUTURES CONTRACTS $ 364,498 $(1,982,745)
INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION
ON OPEN FUTURES AND FORWARD CONTRACTS 501,348 (162,217)
INTEREST INCOME 85,177 227,681
ACCRETION OF U.S TREASURY STRIP NOTES 493,511 928,952
GAIN (LOSS) ON MARKET VALUE OF U.S. TREASURY
STRIP NOTES 626,157 (122,867)
---------- -----------
TOTAL REVENUES 2,070,691 (1,111,196)
EXPENSES:
BROKERAGE COMMISSIONS 414,300 766,060
PROFIT SHARE ALLOWABLE TO JOINT VENTURE
TRADING ADVISOR 22,620 0
OTHER EXPENSES 18,000 25,000
---------- -----------
TOTAL EXPENSES 454,920 791,060
---------- -----------
INCOME (LOSS) BEFORE GENERAL PARTNER'S INTEREST
IN TRADING COMPANY 1,615,771 (1,902,256)
GENERAL PARTNER'S INTEREST IN TRADING COMPANY
OPERATING INCOME (LOSS) (11,723) 46,731
---------- -----------
NET INCOME (LOSS) $1,604,048 $(1,855,525)
========== ===========
NET INCOME (LOSS) ALLOCATED TO:
GENERAL PARTNER $ 18,799 $ (23,140)
========== ===========
NET INCOME (LOSS) ALLOCATED TO:
LIMITED PARTNERS $1,585,249 $(1,832,385)
========== ===========
INCREASE (DECREASE) IN NET ASSET VALUE FOR A
UNIT OUTSTANDING THROUGHOUT EACH PERIOD $ 170.89 $ (64.28)
========== ===========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL
PART OF THE FINANCIAL STATEMENTS.
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<PAGE> 5
FOUR SEASONS FUND
(An Illinois Limited Partnership)
CONSOLIDATED
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS ENDED JANUARY 31, 1996 AND 1995 (UNAUDITED)
<TABLE>
<CAPTION>
REVENUES: 1996 1995
------------ -------------
<S> <C> <C>
NET REALIZED TRADING GAINS (LOSSES) ON CLOSED
FUTURES CONTRACTS $ 431,900 $(194,495)
INCREASE (DECREASE) IN NET UNREALIZED APPRECIATION
ON OPEN FUTURES CONTRACTS 366,848 94,072
INTEREST INCOME 46,431 176,690
ACCRETION OF U.S TREASURY STRIP NOTES 243,326 230,221
GAIN (LOSS) ON MARKET VALUE OF U.S. TREASURY
STRIP NOTES 356,986 156,334
---------- ---------
1,445,491 462,822
---------- ---------
EXPENSES:
BROKERAGE COMMISSIONS 201,638 301,351
PROFIT SHARE ALLOCATION TO JOINT VENTURE
TRADING ADVISOR 22,620 0
OTHER ADMINISTRATIVE EXPENSES 10,500 20,500
---------- ---------
234,758 321,851
---------- ---------
INCOME (LOSS) BEFORE GENERAL PARTNER'S INTEREST
IN TRADING COMPANY 1,210,733 140,971
GENERAL PARTNER'S INTEREST IN TRADING COMPANY
OPERATING INCOME (LOSS) (14,292) 3,376
---------- ---------
NET INCOME (LOSS) $1,196,441 $ 144,347
========== =========
NET GAIN (LOSS) ALLOCATED TO
GENERAL PARTNER $ 13,941 $ 8,252
========== =========
NET GAIN (LOSS) ALLOCATED TO
LIMITED PARTNERS $1,182,500 $ 136,095
========== =========
INCREASE (DECREASE) IN NET ASSET VALUE FOR A
UNIT OUTSTANDING THROUGHOUT EACH PERIOD $ 126.73 $ 22.92
========== =========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL
PART OF THE FINANCIAL STATEMENTS.
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<PAGE> 6
FOUR SEASONS FUND
(An Illinois Limited Partnership)
CONSOLIDATED
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED JANUARY 31, 1996 AND 1995 (UNAUDITED)
<TABLE>
<CAPTION>
1996 1995
----------- ------------
<S> <C> <C>
FUNDS PROVIDED BY:
NET INCOME (LOSS) $1,604,048 $(1,855,525)
INCREASE IN OTHER LIABILITIES
DECREASE IN EQUITY IN COMMODITY FUTURES
TRADING ACCOUNTS (528,238) 20,608,310
---------- -----------
TOTAL FUNDS PROVIDED 1,075,810 18,752,785
---------- -----------
FUNDS APPLIED TO:
REDEMPTION OF LIMITED PARTNERSHIP UNITS 1,081,539 18,618,914
REDEMPTION OF GENERAL PARTNERSHIP UNITS 0 0
INCREASE IN EQUITY IN COMMODITY FUTURES
TRADING ACCOUNTS
DECREASE IN OTHER LIABILITIES (5,729) 133,871
---------- -----------
1,075,810 18,752,785
CHANGE IN CASH BALANCE $ 0 $ 0
---------- -----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL
PART OF THE FINANCIAL STATEMENTS
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<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, 1995, has been prepared by
management without audit by Independent Certified Public Accountants. The
condensed Statement of Financial Condition as of January 31, 1996 has been
derived from the audited financial statements as of July 31, 1995. 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.
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<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 January 31, 1996.
January 31, 1996 July 31, 1995
Ending Equity (Note A) $18,795,821 $18,273,312
NOTE A:
Ending equity at January 31, 1996 is higher than ending
equity at July 31, 1995 due to profitable trading.
Six months ended Six months ended
January 31, 1996 January 31, 1995
Net realized trading gains
(losses) on closed futures
and forward contracts $364,498 $(1,982,745)
(Note B)
NOTE B:
Net realized trading gains (losses) on closed futures and forward
contracts for the six months ended January 31, 1996 is higher than net realized
trading gains (losses) on closed futures and forward contracts for the six
months ended January 31, 1995 due to more profitable trading during the period.
Three months ended Three months ended
January 31, 1996 January 31, 1995
Net realized trading gains
(losses) on closed futures
and forward contracts $431,900 $(194,495)
(Note C)
NOTE C:
Net realized trading gains (losses) on closed futures and forward
contracts for the three months ended January 31, 1996 is higher than net
realized trading gains (losses) on closed futures and forward contracts for the
three months ended January 31, 1995 due to more profitable trading during the
period.
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<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
Robert Ledvora
Executive Vice President
and Chief Financial Officer
-9-
<TABLE> <S> <C>
<ARTICLE> BD
<S> <C> <C>
<PERIOD-TYPE> 6-MOS 6-MOS
<FISCAL-YEAR-END> JUL-31-1995 JUL-31-1994
<PERIOD-START> JUL-31-1995 JUL-31-1994
<PERIOD-END> JAN-31-1996 JAN-31-1995
<CASH> (161,913) 151,758
<RECEIVABLES> 594,112 92,763
<SECURITIES-RESALE> 0 0
<SECURITIES-BORROWED> 0 0
<INSTRUMENTS-OWNED> 18,530,587 18,190,027
<PP&E> 0 0
<TOTAL-ASSETS> 18,962,786 18,434,548
<SHORT-TERM> 0 0
<PAYABLES> 166,965 161,236
<REPOS-SOLD> 0 0
<SECURITIES-LOANED> 0 0
<INSTRUMENTS-SOLD> 0 0
<LONG-TERM> 0 0
<COMMON> 18,795,821 18,273,312
0 0
0 0
<OTHER-SE> 0 0
<TOTAL-LIABILITY-AND-EQUITY> 18,962,786 18,434,548
<TRADING-REVENUE> 865,846 (2,144,962)
<INTEREST-DIVIDENDS> 1,204,845 1,033,766
<COMMISSIONS> (414,300) (766,060)
<INVESTMENT-BANKING-REVENUES> 0 0
<FEE-REVENUE> 0 0
<INTEREST-EXPENSE> 0 0
<COMPENSATION> (52,343) 21,731
<INCOME-PRETAX> 1,604,048 (1,855,525)
<INCOME-PRE-EXTRAORDINARY> 0 0
<EXTRAORDINARY> 0 0
<CHANGES> 0 0
<NET-INCOME> 1,604,048 (1,855,525)
<EPS-PRIMARY> 0 0
<EPS-DILUTED> 0 0
</TABLE>
