<Page>
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM 10-Q

(Mark One)

/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934

For the quarterly period ended September 30, 2001

                                       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: 0-26004

                          DIVERSIFIED FUTURES TRUST I
-------------------------------------------------------------------------------
             (Exact name of Registrant as specified in its charter)

Delaware                                  13-3780260
-------------------------------------------------------------------------------
(State or other jurisdiction of incorporation or organization)
                                          (I.R.S. Employer Identification No.)

One New York Plaza, 13th Floor, New York, New York 10292
--------------------------------------------------------------------------------
(Address of principal executive offices)        (Zip Code)

Registrant's telephone number, including area code (212) 778-7866

                                      N/A
--------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report

   Indicate by check CK 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 _CK_  No __

<Page>

                         PART I. FINANCIAL INFORMATION
                          ITEM I. FINANCIAL STATEMENTS
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<Table>
<Caption>
                                                                      September 30,     December 31,
                                                                          2001              2000
----------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
ASSETS
Cash                                                                   $26,022,563      $26,730,111
Net unrealized gain on open futures contracts                            1,328,692        4,674,695
Net unrealized gain on open forward contracts                                   --          870,491
Other receivables                                                           12,524            7,523
                                                                      -------------     ------------
Total assets                                                           $27,363,779      $32,282,820
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $   895,448      $ 2,980,451
Net unrealized loss on open forward contracts                              148,635               --
Management fees payable                                                     45,359           53,805
                                                                      -------------     ------------
Total liabilities                                                        1,089,442        3,034,256
                                                                      -------------     ------------
Commitments

Trust capital
Limited interests (131,799.755 and 151,627.034 interests
  outstanding)                                                          26,011,459       28,956,000
General interests (1,332 and 1,532 interests outstanding)                  262,878          292,564
                                                                      -------------     ------------
Total trust capital                                                     26,274,337       29,248,564
                                                                      -------------     ------------
Total liabilities and trust capital                                    $27,363,779      $32,282,820
                                                                      -------------     ------------
                                                                      -------------     ------------

Net asset value per limited and general interest ('Interests')         $    197.36      $    190.97
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
</Table>
           The accompanying notes are an integral part of these statements.

                                       2

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
                                  (Unaudited)
<Table>
<Caption>
                                                  Nine months ended             Three months ended
                                                    September 30,                  September 30,
                                             ---------------------------    ---------------------------
                                                2001            2000           2001            2000
-------------------------------------------------------------------------------------------------------
<S>                                          <C>             <C>            <C>             <C>
REVENUES
Net realized gain (loss) on commodity
  transactions                               $ 6,477,906     $(3,493,376)   $ 1,103,425     $  (481,645)
Change in net unrealized gain/loss on open
  commodity positions                         (4,365,129)     (3,104,506)       784,464      (1,801,438)
Interest income                                  947,547       1,520,846        244,716         459,483
                                             -----------     -----------    -----------     -----------
                                               3,060,324      (5,077,036)     2,132,605      (1,823,600)
                                             -----------     -----------    -----------     -----------
EXPENSES
Commissions                                    1,612,254       1,962,566        494,392         524,779
Management fees                                  418,479         989,472        130,316         263,026
                                             -----------     -----------    -----------     -----------
                                               2,030,733       2,952,038        624,708         787,805
                                             -----------     -----------    -----------     -----------
Net income (loss)                            $ 1,029,591     $(8,029,074)   $ 1,507,897     $(2,611,405)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                            $ 1,019,285     $(7,948,770)   $ 1,492,815     $(2,585,290)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
General interests                            $    10,306     $   (80,304)   $    15,082     $   (26,115)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
  limited and general interest               $      7.10     $    (38.35)   $     10.95     $    (14.01)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
Weighted average number of limited and
  general interests outstanding                  144,974         209,366        137,669         186,392
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
-------------------------------------------------------------------------------------------------------
</Table>

                     STATEMENT OF CHANGES IN TRUST CAPITAL
                                  (Unaudited)
<Table>
<Caption>
                                                              LIMITED        GENERAL
                                            INTERESTS        INTERESTS      INTERESTS        TOTAL
-----------------------------------------------------------------------------------------------------
<S>                                        <C>              <C>             <C>           <C>
Trust capital--December 31, 2000            153,159.034     $28,956,000     $292,564      $29,248,564
Net income                                           --       1,019,285       10,306        1,029,591
Redemptions                                 (20,027.279)     (3,963,826)     (39,992 )     (4,003,818)
                                           ------------     -----------     ---------     -----------
Trust capital--September 30, 2001           133,131.755     $26,011,459     $262,878      $26,274,337
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
</Table>
        The accompanying notes are an integral part of these statements.

                                       3

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
                               SEPTEMBER 30, 2001
                                  (Unaudited)

A. General

   These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the
financial statements contain all adjustments (consisting of only normal
recurring adjustments) necessary to state fairly the financial position of
Diversified Futures Trust I (the 'Trust') as of September 30, 2001 and the
results of its operations for the nine and three months ended September 30, 2001
and 2000. However, the operating results for these interim periods may not be
indicative of the results expected for the full year.

   Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with accounting principles generally
accepted in the United States of America have been omitted. It is suggested that
these financial statements be read in conjunction with the financial statements
and notes thereto included in the Trust's Annual Report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2000.

B. Related Parties

   The Managing Owner of the Trust is a wholly-owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is a wholly-owned subsidiary of
Prudential Securities Group Inc. The Managing Owner and its affiliates perform
services for the Trust which include, but are not limited to: brokerage
services; accounting and financial management; registrar, transfer and
assignment functions; investor communications; printing and other administrative
services. Except for costs related to brokerage services, PSI or its affiliates
pay the costs of these services as well as the Trust's routine operational,
administrative, legal and auditing costs.

   The costs charged to the Trust for brokerage services for the nine months
ended September 30, 2001 and 2000 were $1,612,254 and $1,962,566, respectively,
and for the three months ended September 30, 2001 and 2000 were $494,392 and
$524,779, respectively.

   The Trust's assets are maintained either in trading or cash accounts at PSI,
the Trust's commodity broker, or for margin purposes, with the various exchanges
on which the Trust is permitted to trade. PSI credits the Trust monthly with
100% of the interest it earns on the average net assets in the Trust's accounts.

   The Trust, acting through its trading manager, executes over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets, Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions.
PBGM keeps its prices on foreign currency competitive with other interbank
currency trading desks. All over-the-counter currency transactions are conducted
between PSI and the Trust pursuant to a line of credit. PSI may require that
collateral be posted against the marked-to-market position of the Trust.

   As of September 30, 2001, a non-U.S. affiliate of the Managing Owner owns
578.511 limited interests of the Trust.

C. Derivative Instruments and Associated Risks

   The Trust is exposed to various types of risks associated with the derivative
instruments and related markets in which it invests. These risks include, but
are not limited to, risk of loss from fluctuations in the value of derivative
instruments held (market risk) and the inability of counterparties to perform
under the terms of the Trust's investment activities (credit risk).

Market Risk

   Trading in futures and forward (including foreign exchange) contracts
involves entering into contractual commitments to purchase or sell a particular
commodity at a specified date and price. The gross or face amount of the
contracts, which is typically many times that of the Trust's net assets being
traded, significantly exceeds the Trust's future cash requirements since the
Trust intends to close out its open positions

                                       4

<Page>

prior to settlement. As a result, the Trust is generally subject only to the
risk of loss arising from the change in the value of the contracts. As such, the
Trust considers the 'fair value' of its derivative instruments to be the net
unrealized gain or loss on the contracts. The market risk associated with the
Trust's commitments to purchase commodities is limited to the gross or face
amount of the contracts held. However, when the Trust enters into a contractual
commitment to sell commodities, it must make delivery of the underlying
commodity at the contract price and then repurchase the contract at prevailing
market prices. Since the repurchase price to which a commodity can rise is
unlimited, entering into commitments to sell commodities exposes the Trust to
unlimited risk.

   Market risk is influenced by a wide variety of factors, including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments the Trust holds and the liquidity and inherent
volatility of the markets in which the Trust trades.

Credit Risk

   When entering into futures or forward contracts, the Trust is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign
futures exchanges is the clearinghouse associated with such exchanges. In
general, clearinghouses are backed by their corporate members who are required
to share any financial burden resulting from the non-performance by one of their
members and, as such, should significantly reduce this credit risk. In cases
where the clearinghouse is not backed by the clearing members (i.e., some
foreign exchanges), it is normally backed by a consortium of banks or other
financial institutions. On the other hand, the sole counterparty to the Trust's
forward transactions is PSI, the Trust's commodity broker. The Trust has entered
into a master netting agreement with PSI and, as a result, presents unrealized
gains and losses on open forward positions as a net amount in the statements of
financial condition. The amount at risk associated with counterparty
non-performance of all of the Trust's contracts is the net unrealized gain
included in the statements of financial condition. There can be no assurance
that any counterparty, clearing member or clearinghouse will meet its
obligations to the Trust.

   The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust and its trading manager to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies, which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for any one commodity or all commodities
combined; and generally limiting transactions to contracts which are traded in
sufficient volume to permit the taking and liquidating of positions.
Additionally, pursuant to the Advisory Agreement among the Trust, the Managing
Owner and the trading manager, the Trust shall automatically terminate the
trading manager if the net asset value allocated to the trading manager declines
by 33 1/3% from the value at the beginning of any year or since the commencement
of trading activities. Furthermore, the Amended and Restated Declaration of
Trust and Trust Agreement provides that the Trust will liquidate its positions,
and eventually dissolve, if the Trust experiences a decline in the net asset
value of 50% from the value at the beginning of any year or since the
commencement of trading activities. In each case, the decline in net asset value
is after giving effect for distributions and redemptions. The Managing Owner may
impose additional restrictions (through modifications of trading limitations and
policies) upon the trading activities of the trading manager as it, in good
faith, deems to be in the best interests of the Trust.

   PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to the Trust all assets of the Trust relating to
domestic futures trading (subject to the opt out provisions discussed below) and
is not allowed to commingle such assets with other assets of PSI. At September
30, 2001, such segregated assets totalled $16,709,537. Part 30.7 of the CFTC
regulations also requires PSI to secure assets of the Trust related to foreign
futures trading, which totalled $10,641,718 at September 30, 2001. There are no
segregation requirements for assets related to forward trading.

   The CFTC promulgated rules that allow futures commission merchants to permit
certain customers, including the Trust, to opt out of segregation with regard to
trading on certain exchanges, but PSI has not done so to date. If the Trust were
to opt out, its funds could be held in a broader and riskier range of
investments.

                                       5

<Page>

   As of September 30, 2001, the Trust's open futures and forward contracts
mature within one year.

   At September 30, 2001 and December 31, 2000, the fair value of open futures
and forward contracts was:

<Table>
<Caption>
                                            2001                                    2000
                            -------------------------------------   -------------------------------------
                                 Assets            Liabilities           Assets            Liabilities
                            -----------------   -----------------   -----------------   -----------------
<S>                         <C>                 <C>                 <C>                 <C>
Futures Contracts:
  Domestic exchanges
     Interest rates            $   443,896          $      --          $ 1,022,561          $      --
     Stock indices                  62,220                 --              221,700                 --
     Currencies                    228,020            184,550            1,479,050            111,600
     Commodities                   347,986             17,004              881,010            131,336
  Foreign exchanges
     Interest rates                111,896             39,904              870,562                 --
     Stock indices                 279,730             21,367              388,967             27,913
     Commodities                   131,193             13,424              127,439             45,745
Forward Contracts:
  Currencies                        65,890            214,525              882,242             11,751
                            -----------------   -----------------   -----------------   -----------------
                               $ 1,670,831          $ 490,774          $ 5,873,531          $ 328,345
                            -----------------   -----------------   -----------------   -----------------
                            -----------------   -----------------   -----------------   -----------------
</Table>

D. Financial Highlights

<Table>
<Caption>
                                                       Nine months ended     Three months ended
                                                      September 30, 2001     September 30, 2001
                                                      -------------------    -------------------
<S>                                                   <C>                    <C>
Performance per Interest
  Net asset value, beginning of period                     $  190.97              $  186.40
                                                      -------------------    -------------------
  Net realized gain and change in net unrealized
     gain/loss on commodity transactions                       13.90                  13.71
  Interest income                                               6.49                   1.78
  Expenses                                                    (14.00)                 (4.53)
                                                      -------------------    -------------------
  Increase for the period                                       6.39                  10.96
                                                      -------------------    -------------------
  Net asset value, end of period                           $  197.36              $  197.36
                                                      -------------------    -------------------
                                                      -------------------    -------------------
Total return                                                    3.35%                  5.88%
Ratio to average net assets
  Interest income                                               4.56%                  3.76%
  Expenses                                                      9.77%                  9.59%
</Table>

                                       6

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
           ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
                      CONDITION AND RESULTS OF OPERATIONS

Liquidity and Capital Resources

   The Trust commenced operations on January 5, 1995 with gross proceeds of
$25,262,800 allocated to commodities trading. The Trust continued to offer
Interests on a monthly basis until the continuous offering period ended on
August 31, 1996, resulting in additional gross proceeds to the Trust of
$41,129,100.

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last day of any calendar quarter at the then current net asset value
per Interest. Redemptions of limited interests and general interests for the
nine months ended September 30, 2001 were $3,963,826 and $39,992, respectively;
for the three months ended September 30, 2001 were $886,567 and $8,881,
respectively; and from the commencement of operations, January 5, 1995, to
September 30, 2001 totalled $70,428,002 and $581,418, respectively. Future
redemptions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.

   At September 30, 2001, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
100% of the interest it earns on the average net assets in these accounts.

   The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as 'daily limits.' During
a single day, no trades may be executed at prices beyond the daily limit. Once
the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Trust from promptly liquidating its commodity
futures positions.

   Since the Trust's business is to trade futures and forward contracts, its
capital is at risk due to changes in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contracts
(credit risk). The Trust's exposure to market risk is influenced by a number of
factors, including the volatility of interest rates and foreign currency
exchange rates, the liquidity of the markets in which the contracts are traded
and the relationships among the contracts held. The inherent uncertainty of the
Trust's speculative trading, as well as the development of drastic market
occurrences, could result in monthly losses considerably beyond the Trust's
experience to date and could ultimately lead to a loss of all or substantially
all of investors' capital. The Managing Owner attempts to minimize these risks
by requiring the Trust and its trading manager to abide by various trading
limitations and policies which include limiting margin amounts, trading only in
liquid markets and permitting the use of stop loss provisions. See Note C to the
financial statements for a further discussion on the credit and market risks
associated with the Trust's futures and forward contracts.

   The Trust does not have, nor does it expect to have, any capital assets.

Results of Operations

   After the attacks of September 11th, the Managing Owner contacted the Trust's
trading manager who reported that there was no material disruption to its
ability to follow its trading systems and to function normally. Additionally,
there was no material disruption to the Managing Owner's ability to maintain
operations and perform its functions as a result of the tragic events.

   The net asset value per Interest as of September 30, 2001 was $197.36, an
increase of 3.35% from the December 31, 2000 net asset value per Interest of
$190.97, and an increase of 5.88% from the June 30, 2001 net asset value per
Interest of $186.40.

                                       7

<Page>

   The Trust's gross trading gains/(losses) were $2,113,000 and $1,888,000
during the nine and three months ended September 30, 2001 compared to
$(6,598,000) and $(2,283,000) for the corresponding periods in the prior year.
Due to the nature of the Trust's trading activities, a period to period
comparison of its trading results is not meaningful. However, a detailed
discussion of the Trust's current quarter trading results is presented below.

Quarterly Market Overview

   The pace of global economic activity remained slow throughout the third
quarter of 2001. Weakened business expenditure and efforts to reduce inventory
resulted in decreased manufacturing activity. Labor demand declined in most
sectors and the unemployment rate edged up to 4.9% in August. After a period of
strength, the U.S. dollar fell against most major foreign currencies,
particularly the Japanese yen, the euro and the Swiss franc. Global equity
markets fell throughout most of the quarter while short- and long-term interest
rates declined pushing bond prices higher. Consumer spending weakened slightly,
but generally remained strong through most of the quarter, supported in part by
low mortgage rates, tax rebates, declining energy prices and widespread
discounting of retail prices. Consumer confidence remained at moderately
favorable levels during the first two months of the quarter and helped moderate
economic weakness. Growth in many foreign industrial economies, including Japan
and much of Europe, weakened during the third quarter as well. Financial
conditions deteriorated markedly in Argentina and many other developing
countries.

   The terrorist attacks of September 11th further weakened the sluggish U.S.
and global economies. Equity markets throughout the world plunged in the week
following the attacks. The Dow Jones industrial average suffered its worst
percentage loss since the Great Depression due to uncertainty about how the
economy would perform as a result of these attacks and other threats of
terrorism. U.S. equity indexes recovered somewhat at the end of September as
interest rate cuts by the U.S. Federal Reserve and fiscal stimuli by Congress
combined to help fuel an economic rebound. Global equity markets followed suit
rebounding from earlier lows as well.

   The U.S. dollar's downward trend against many foreign currencies accelerated
after September 11th. As a result of the attacks, many investors switched
exposure from the U.S. dollar to other currencies such as the Swiss franc,
British pound and euro all of which rose against the U.S. dollar.

   U.S. and European interest rate instruments rose throughout most of the
quarter as data indicated persistent weakness in the U.S. economy. The U.S.
Federal Reserve lowered interest rates by 25 basis points in August in an effort
to stimulate the economy. Interest rate instruments continued to rally in the
wake of September 11th as the U.S. Federal Reserve moved to inject liquidity
into the economy, cutting interest rates 50 basis points on September 17th to
3%. This move was soon followed by the Central Bank of Canada, the European
Central Bank and Swiss National Central Bank who also lowered their rates 0.50%.

   Energy prices began the quarter low, but peaked sharply immediately after the
September 11th attacks amid worries of a potential interruption in supplies.
Energy prices soon reversed course as concerns of decreased demand caused by a
global economic recession outweighed fears of scarcity. Two weeks after the
attacks, oil prices plunged more than 12% to a 22-month low of $23 a barrel.
OPEC leaders announced that with prices within their $22 to $28 a barrel target,
they see no need to alter output and assured that there will be no disruption in
supplies.

Quarterly Trust Performance

   The following is a summary of performance for the major sectors in which the
Trust traded:

   Stock indices (+): The attacks on September 11th further weakened slowing
global economies and declining equity markets. Short positions in the NASDAQ,
Nikkei Dow, Euro DAX and London FTSE resulted in gains for the Trust.

   Interest rates (+): Long U.S. and European bond positions resulted in gains
throughout the quarter as many central banks lowered interest rates in an effort
to boost weakening economies.

   Metals (+): Short copper, aluminum and zinc positions resulted in gains as
fears of a global economic recession and decreasing industrial production
lowered prices of industrial commodities.

                                       8

<Page>

   Currencies (-): Long Japanese yen and long Japanese yen/U.S. dollar
cross-rate positions resulted in losses as the Bank of Japan intervened to stop
the recent appreciation of the yen in response to concerns regarding Japanese
exports.

   Energies (-): Energy prices fell from their September 11th peak on concerns
that demand will wane due to weakening global economies. Long crude and heating
oil positions resulted in losses.

   Interest income is earned on the average net assets held at PSI and,
therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased approximately $573,000 and $215,000 for
the nine and three months ended September 30, 2001 compared to the corresponding
periods in 2000. These decreases were primarily due to lower net assets in the
Trust during 2001 versus 2000 as a result of redemptions. Strong trading
performance during the fourth quarter of 2000 helped to mitigate this decline in
net assets at the start of the 2001 year. Additionally, interest rates were
lower during 2001 versus 2000.

   Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance and
redemptions. Commissions for the nine and three months ended September 30, 2001
decreased approximately $350,000 and $30,000 compared to the corresponding
periods in 2000. These decreases were primarily due to lower monthly net asset
values in the Trust during 2001 versus 2000 as described in the discussion on
interest income above.

   All trading decisions for the Trust are made by John W. Henry & Company, Inc.
(the 'Trading Manager'). Management fees are calculated on the Trust's net asset
value at the end of each month and, therefore, are affected by trading
performance and redemptions. Management fees for the nine and three months ended
September 30, 2001 decreased approximately $571,000 and $133,000 compared to the
corresponding periods in 2000 due to the reduction in the monthly management fee
paid to the Trading Manager from 1/3 of 1% (a 4% annual rate) to 1/6 of 1% (a 2%
annual rate) effective October 1, 2000, as well as the effect on the monthly net
asset values of redemptions and trading performance as further described in the
discussion on interest income above.

   Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Manager. In conjunction with the reduction of the
management fee rate discussed above, as of October 1, 2000, the incentive fee
rate was increased from 15% to 20%. No incentive fees were generated during the
nine and three months ended September 30, 2001 or 2000.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

   No material changes exist between the period covered by this report and the
Registrant's most recent fiscal year end. Therefore, pursuant to Item 305(c) of
Regulation S-K, additional information regarding quantitative and qualitative
disclosures about market risk is not required.

                                       9

<Page>

                           PART II. OTHER INFORMATION

Item 1. Legal Proceedings--There are no material legal proceedings pending by or
        against the Registrant or the Managing Owner.

Item 2. Changes in Securities--None

Item 3. Defaults Upon Senior Securities--None

Item 4. Submission of Matters to a Vote of Security Holders--None

Item 5. Other Information--None

Item 6. (a) Exhibits--

         3.1
         and
          4.1--Amended and Restated Declaration of Trust and Trust Agreement of
               the Registrant dated as of August 25, 1994, as amended and
               restated as of September 14, 1994 (incorporated by reference to
               Exhibits 3.1 and 4.1 of the Registrant's Form 10-Q for the period
               ended September 30, 1994)

          4.2--Subscription Agreement (incorporated by reference to
               Exhibit C to the Registrant's Registration Statement on
               Form S-1, File No. 33-81534)

          4.3--Request for Redemption (incorporated by reference to
               Exhibit D to the Registrant's Registration Statement
               on Form S-1, File No. 33-81534)

          (b) Reports on Form 8-K--None

                                       10

<Page>

                                   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.

Diversified Futures Trust I

By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner

     By: /s/ Steven Carlino                       Date: November 13, 2001
     ----------------------------------------
     Steven Carlino
     Vice President and Treasurer
                                       11