<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 March 31, 2002

                                       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                 (I.R.S. Employer Identification
incorporation or organization)                  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>
                                                                        March 31,      December 31,
                                                                          2002             2001
---------------------------------------------------------------------------------------------------
<S>                                                                    <C>             <C>
ASSETS
Cash                                                                   $21,208,165     $23,096,296
Net unrealized gain (loss) on open futures contracts                       669,722         (80,717 )
Net unrealized gain on open forward contracts                                   --       1,281,566
                                                                       -----------     ------------
Net equity                                                              21,877,887      24,297,145
Other receivables                                                            7,935           4,852
                                                                       -----------     ------------
Total assets                                                           $21,885,822     $24,301,997
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 1,433,433     $   591,415
Net unrealized loss on open forward contracts                              573,345              --
Management fees payable                                                     35,521          40,503
                                                                       -----------     ------------
Total liabilities                                                        2,042,299         631,918
                                                                       -----------     ------------
Commitments

Trust capital
Limited interests (119,923.915 and 128,587.499 interests
  outstanding)                                                          19,644,982      23,433,353
General interests (1,212 and 1,299 interests outstanding)                  198,541         236,726
                                                                       -----------     ------------
Total trust capital                                                     19,843,523      23,670,079
                                                                       -----------     ------------
Total liabilities and trust capital                                    $21,885,822     $24,301,997
                                                                       -----------     ------------
                                                                       -----------     ------------

Net asset value per limited and general interest ('Interests')         $    163.81     $    182.24
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
          The accompanying notes are an integral part of these statements.
</Table>

                                       2

<Page>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       CONDENSED SCHEDULES OF INVESTMENTS
<Table>
<Caption>
                                                  March 31, 2002                    December 31, 2001
                                         --------------------------------    --------------------------------
                                         Net Unrealized                      Net Unrealized
                                          Gain (Loss)                         Gain (Loss)
                                           as a % of       Net Unrealized      as a % of       Net Unrealized
Futures and Forward Contracts            Trust Capital      Gain (Loss)      Trust Capital      Gain (Loss)
-------------------------------------------------------------------------------------------------------------
<S>                                      <C>               <C>               <C>               <C>
Futures contracts purchased:
  Interest rates                                                 84,619                          $   20,022
  Stock Indices                                                 (89,365)                            (18,901)
  Commodities                                                   353,343                            (194,643)
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts purchased               1.76%            348,597           (0.82)%          (193,522)
                                                           --------------                      --------------
Futures contracts sold:
  Interest rates                                                316,000                             241,725
  Stock indices                                                  44,300                                  --
  Commodities                                                   (39,175)                           (128,920)
                                                           --------------                      --------------
     Net unrealized gain on futures
     contracts sold                            1.62%            321,125            0.48%            112,805
                                             ------        --------------        ------        --------------
Net unrealized gain (loss) on futures
  contracts                                    3.38%            669,722           (0.34)%        $  (80,717)
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Forward currency contracts purchased:
  Net unrealized gain (loss) on
  forward contracts purchased                 (1.76)%          (349,211)           0.01%         $    2,425
                                             ------        --------------        ------        --------------
Forward currency contracts sold:
  Japanese yen/U.S. dollar--crossrates        (0.66)%          (130,868)           6.01%          1,423,296
  Other                                       (0.47)            (93,266)          (0.61)%          (144,155)
                                             ------        --------------        ------        --------------
     Net unrealized gain (loss) on
     forward contracts sold                   (1.13)%          (224,134)           5.40%          1,279,141
                                             ------        --------------        ------        --------------
Net unrealized gain (loss) on forward
  contracts                                   (2.89)%          (573,345)           5.41%         $1,281,566
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Futures Contracts
  British pound                                0.14%             26,957            0.10%         $   24,354
  Euro                                         1.39%            275,187            1.23%            291,620
  Japanese yen                                (0.12)%           (23,011)          (0.36)%           (84,540)
  Canadian dollar                             (0.02)%            (4,253)           0.11%             26,431
  Australian dollar                           (0.14)%           (28,066)           0.16%             36,474
  U.S. dollar                                  2.13%            422,908           (1.58)%          (375,056)
                                             ------        --------------        ------        --------------
     Total                                     3.38%            669,722           (0.34)%        $  (80,717)
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Forward Contracts
     U.S. dollar                              (2.89)           (573,345)           5.41%         $1,281,566
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
-------------------------------------------------------------------------------------------------------------
           The accompanying notes are an integral part of these statements.
</Table>

                                       3

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
                                  (Unaudited)
<Table>
<Caption>
                                                                            Three months ended
                                                                                 March 31,
                                                                        ---------------------------
                                                                           2002            2001
---------------------------------------------------------------------------------------------------
<S>                                                                     <C>             <C>
REVENUES
Net realized gain (loss) on commodity transactions                      $  (842,122)    $ 6,272,149
Change in net unrealized gain/loss on open commodity positions           (1,104,472)     (2,927,773)
Interest income                                                             119,480         399,416
                                                                        -----------     -----------
                                                                         (1,827,114)      3,743,792
                                                                        -----------     -----------

EXPENSES
Commissions                                                                 452,900         560,306
Management fees                                                             113,109         149,901
                                                                        -----------     -----------
                                                                            566,009         710,207
                                                                        -----------     -----------
Net income (loss)                                                       $(2,393,123)    $ 3,033,585
                                                                        -----------     -----------
                                                                        -----------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                                                       $(2,369,189)    $ 3,003,241
                                                                        -----------     -----------
                                                                        -----------     -----------
General interests                                                       $   (23,934)    $    30,344
                                                                        -----------     -----------
                                                                        -----------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average limited and general interest     $    (18.43)    $     19.81
                                                                        -----------     -----------
                                                                        -----------     -----------
Weighted average number of limited and general interests outstanding        129,886         153,159
                                                                        -----------     -----------
                                                                        -----------     -----------
---------------------------------------------------------------------------------------------------
</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, 2001            129,886.499     $23,433,353     $236,726      $23,670,079
Net loss                                                     (2,369,189)     (23,934 )     (2,393,123)
Redemptions                                  (8,750.584)     (1,419,182)     (14,251 )     (1,433,433)
                                           ------------     -----------     ---------     -----------
Trust capital--March 31, 2002               121,135.915     $19,644,982     $198,541      $19,843,523
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
          The accompanying notes are an integral part of these statements.
</Table>

                                       4

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
                                 MARCH 31, 2002
                                  (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 March 31, 2002 and the results
of its operations for the three months ended March 31, 2002 and 2001. However,
the operating results for the 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, 2001.

B. Related Parties

   The Managing Owner of the Trust is a wholly owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is an indirect wholly owned
subsidiary of Prudential Financial, 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 three months
ended March 31, 2002 and March 31, 2001 were $452,900 and $560,306,
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 March 31, 2002, a non-U.S. affiliate of the Managing Owner owned
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 contracts (including foreign exchange)
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 prior to settlement. As a result,
the Trust is generally subject only to the risk of loss arising from the change

                                       5

<Page>

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 the particular exchange.
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 and is not allowed to commingle such assets with other
assets of PSI. At March 31, 2002, such segregated assets totalled $13,436,595.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of the
Trust related to foreign futures trading, which totalled $8,441,292 at March 31,
2002. There are no segregation requirements for assets related to forward
trading.

   As of March 31, 2002, the Trust's open futures and forward contracts mature
within one year.

                                       6

<Page>

D. Financial Highlights

<Table>
<Caption>
                                                       Three Months Ended     Three Months Ended
                                                         March 31, 2002         March 31, 2001
                                                       -------------------    -------------------
<S>                                                    <C>                    <C>
Performance per Interest
  Net asset value, beginning of period                       $182.24                $190.97
                                                       -------------------    -------------------
  Net realized gain (loss) and change in net
     unrealized gain/loss on commodity transactions           (14.99)                 21.84
  Interest income                                               0.92                   2.61
  Expenses                                                     (4.36)                 (4.64)
                                                       -------------------    -------------------
  Net increase (decrease) for the period                      (18.43)                 19.81
                                                       -------------------    -------------------
  Net asset value, end of period                             $163.81                $210.78
                                                       -------------------    -------------------
                                                       -------------------    -------------------
Total return                                                  (10.11)%                10.37%
Ratio to average net assets (annualized)
  Interest income                                               2.12%                  5.37%
  Expenses                                                     10.02%                  9.55%
</Table>

                                       7

<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 NAV per Interest.
Redemptions of limited interests and general interests for the three months
ended March 31, 2002 were $1,419,182 and $14,251, respectively. Redemptions of
limited interests and general interests from the commencement of operations,
January 5, 1995, to March 31, 2002 totalled $72,432,586 and $601,683,
respectively. Future redemptions will impact the amount of funds available for
investment in commodity contracts in subsequent periods.

   At March 31, 2002, 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 of 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

   The net asset value per Interest as of March 31, 2002 was $163.81, a decrease
of 10.11% from the December 31, 2001 net asset value per Interest of $182.24.
Past performance is not necessarily indicative of future results.

   The Trust's gross trading gains/(losses) were $(1,947,000) during the three
months ended March 31, 2002 compared to $3,344,000 for the corresponding period
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.

                                       8

<Page>

Quarterly Market Overview

   While the first quarter of 2002 was generally characterized by continued
weakness in global economies, there was definite evidence of economic recovery.
The combination of post September 11th economic activity, infusions of
government spending and unseasonably warm weather helped jumpstart the economy
during the first quarter. Jobless claims moderated to levels that suggested that
the labor market was no longer contracting, manufacturing activity increased
slightly and consumer spending and housing activity remained stable, helping the
economy achieve a 5.8% growth rate for the quarter. U.S. economic recovery
helped boost global growth, but to a lesser extent than in the U.S. The U.K.'s
economy expanded by 0.1% during the first quarter while economic activity in
Europe and Canada remained stable. The Japanese economy remained weak.

   Global bond markets trended lower through most of the first quarter amid
growing prospects for imminent interest rate hikes by central banks. In the
U.S., interest rates rose towards the end of the quarter in response to stronger
than expected economic data and indications that the Federal Reserve (the 'Fed')
would lean towards increasing rates in the near future. The Fed kept rates
unchanged at 1.75% during its two meetings this quarter, a marked change from
the eleven rate decreases in 2001. Additionally, the Fed shifted its perception
of the economy's 'balance of risks' from 'economic weakness' to 'balanced'
during the March 19th meeting. This reinforced comments made by Alan Greenspan,
the Fed's Chairman, during his congressional testimony where he stated that
recent evidence suggests an economic expansion is under way. European and
Australian interest rate instruments fell amid indications that the global
recession is showing signs of abatement. Conversely, Japanese interest rates
declined as a result of weak economic data in Japan despite the short-term rise
in the stock market.

   Equity indices began the quarter choppily due to a continuing weak economy
and concerns about balance sheet reporting and accounting irregularities. Stock
markets climbed towards mid-quarter as a result of positive data and hopes of an
economic recovery. U.S. stock markets moved upward as a result of Fed Chairman
Alan Greenspan's testimony to Congress that economic expansion was well under
way. Despite continued weakness in the Japanese economy, the Nikkei rallied in
March to its highest level since August.

   In foreign exchange markets, the U.S. dollar remained strong against most
major foreign currencies as the U.S. economy exhibited signs of recovery. The
Japanese yen started the quarter down against the U.S. dollar, but rose towards
quarter-end as a result of a rally in the Japanese stock market and investors
repatriating capital in anticipation of Japan's March 31st fiscal year-end. Most
European currencies and the euro were weak early in the quarter but rallied in
March amid hopes of an economic recovery.

   Energy markets were volatile at the beginning of the quarter but rose toward
quarter-end as the escalating conflict in the Middle East prompted fears of an
interruption in supplies. This, together with hopes for increased U.S. energy
demand due to a recovering economy, reinforced the normal seasonal upward
pressure on energy prices. In particular, crude oil reached a six-month high at
the end of the quarter as the conflict in the Middle East gained momentum.
Expectations for colder March weather, together with concerns regarding the
safety of nuclear power plants, helped drive prices higher.

Quarterly Trust Performance

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

   Currencies (-): Japanese yen/U.S. dollar cross-rate positions incurred losses
as the yen was bolstered by the repatriation of capital in anticipation of
Japan's March 31st fiscal year-end. Swiss franc/U.S. dollar, euro/U.S. dollar
and British pound/U.S. dollar cross-rate positions resulted in losses for the
Trust as the U.S. dollar rallied on positive economic news.

   Stock indices (-): Short positions in the Nikkei Dow, London FTSE and Euro
DAX resulted in losses as equity indices rose amid optimism regarding an
economic recovery.

   Interest rates (-): Global bond markets fell on speculation of economic
growth and news in March that the U.S. Federal Reserve shifted their view on the
economy from weak to neutral. Long positions in U.S. and European bonds incurred
losses.

   Softs (-): Long positions in sugar resulted in losses as prices fell on news
that the Brazilian sugar crop would be larger than expected.

                                       9

<Page>

   Energies (+): Energy prices rose as the conflict in the Middle East
intensified resulting in gains for long crude oil, heating oil and natural gas
positions.

   Metals (+): Precious metals rallied due to uncertainty in world economic
markets, conflict in the Middle East and the desire of Japanese investors to
hold gold due to weakness in the Japanese economy. Long gold positions resulted
in gains. Base metals climbed as global economic activity showed signs of
recovery. Long positions in copper and nickel resulted in gains.

   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 $280,000 for the three
months ended March 31, 2002 compared to the corresponding period in 2001. This
decrease was due to lower interest rates during the first quarter of 2002 versus
2001. Additionally net assets were lower as a result of redemptions and weak
trading performance during 2001 through the first quarter of 2002.

   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 three months ended March 31, 2002 decreased
approximately $107,000 compared to the corresponding period in 2001. This
decrease was primarily due to lower monthly net asset values as a result of
redemptions, and weak trading performance during 2001 through the first quarter
of 2002.

   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 three months ended March
31, 2002 decreased approximately $37,000 compared to the corresponding period in
2001 for the same reasons commissions decreased as previously discussed 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. No incentive fees were generated during
the three months ended March 31, 2002 and 2001.

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.

                                       10

<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

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<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/ Barbara J. Brooks                    Date: May 14, 2002
     ----------------------------------------
     Barbara J. Brooks
     Chief Financial Officer

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