Cut orange slices in half. Combine orange slices and water in a medium-size non-aluminum saucepan; bring to a boil. Reduce heat; simmer, uncovered, 25 minutes. Strain, discarding pulp.
Drain pineapple and peaches, reserving juice. Combine hot orange liquid, reserved pineapple and peach juice, lemon rind, cloves, cinnamon, and nutmeg in non-aluminum saucepan. Bring to a boil. Reduce heat; simmer, uncovered, 30 minutes. Add pineapple, peaches, plums, and mandarin oranges; heat thoroughly. Stir in Cognac. Serve in dessert bowls.
Note: Ladle into an insulated container for a picnic.