<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 June 30, 1999

                                       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 No.)
incorporation or organization)

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>
                                                                        June 30,       December 31,
                                                                          1999             1998
<S>                                                                    <C>             <C>
---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $55,311,542     $55,481,234
Net unrealized gain on open commodity positions                          4,574,666       6,197,212
                                                                       -----------     ------------
Net equity                                                              59,886,208      61,678,446
Other receivables                                                           20,145           8,874
                                                                       -----------     ------------
Total assets                                                           $59,906,353     $61,687,320
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 2,525,176     $ 2,543,697
Incentive fee payable                                                      252,445         --
Management fee payable                                                     199,688         205,624
                                                                       -----------     ------------
Total liabilities                                                        2,977,309       2,749,321
                                                                       -----------     ------------
Commitments

Trust capital
Limited interests (264,390.094 and 290,423.624 interests
  outstanding)                                                          56,359,670      58,348,534
General interests (2,671 and 2,934 interests outstanding)                  569,374         589,465
                                                                       -----------     ------------
Total trust capital                                                     56,929,044      58,937,999
                                                                       -----------     ------------
Total liabilities and trust capital                                    $59,906,353     $61,687,320
                                                                       -----------     ------------
                                                                       -----------     ------------

Net asset value per limited and general interest ('Interests')         $    213.17     $    200.91
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
                 The accompanying notes are an integral part of these statements.
</TABLE>
                                       2

<PAGE>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                   Six months ended              Three months ended
                                                       June 30,                       June 30,
                                              ---------------------------    --------------------------
                                                 1999            1998           1999           1998
<S>                                           <C>             <C>            <C>            <C>
-------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions   $ 7,203,396     $ 1,710,485    $4,180,609     $ 2,231,773
Change in net unrealized gain on open
  commodity positions                          (1,622,546)     (6,926,744)    2,798,887      (4,274,261)
Interest income                                 1,316,360       1,722,775       659,248         816,115
                                              -----------     -----------    ----------     -----------
                                                6,897,210      (3,493,484)    7,638,744      (1,226,373)
                                              -----------     -----------    ----------     -----------

EXPENSES
Commissions                                     2,196,069       2,438,613     1,075,506       1,166,030
Management fees                                 1,149,126       1,238,866       576,977         593,848
Incentive fee                                     252,445         --            252,445         --
                                              -----------     -----------    ----------     -----------
                                                3,597,640       3,677,479     1,904,928       1,759,878
                                              -----------     -----------    ----------     -----------
Net income (loss)                             $ 3,299,570     $(7,170,963)   $5,733,816     $(2,986,251)
                                              -----------     -----------    ----------     -----------
                                              -----------     -----------    ----------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                             $ 3,266,579     $(7,099,244)   $5,676,479     $(2,956,382)
                                              -----------     -----------    ----------     -----------
                                              -----------     -----------    ----------     -----------
General interests                             $    32,991     $   (71,719)   $   57,337     $   (29,869)
                                              -----------     -----------    ----------     -----------
                                              -----------     -----------    ----------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
  limited and general interest                $     11.53     $    (20.62)   $    20.56     $     (8.70)
                                              -----------     -----------    ----------     -----------
                                              -----------     -----------    ----------     -----------
Weighted average number of limited and
  general interests outstanding                   286,132         347,743       278,907         343,313
                                              -----------     -----------    ----------     -----------
                                              -----------     -----------    ----------     -----------
-------------------------------------------------------------------------------------------------------
</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, 1998            293,357.624     $58,348,534     $589,465      $58,937,999
Net income                                      --            3,266,579       32,991        3,299,570
Redemptions                                 (26,296.530)     (5,255,443)     (53,082 )     (5,308,525)
                                           ------------     -----------     ---------     -----------
Trust capital--June 30, 1999                267,061.094     $56,359,670     $569,374      $56,929,044
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements.
</TABLE>
                                       3
<PAGE>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
                                 JUNE 30, 1999
                                  (Unaudited)

A. General

   These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Diversified Futures Trust I (the 'Trust') as of June 30, 1999 and
the results of its operations for the six and three months ended June 30, 1999
and 1998. 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 generally accepted accounting
principles 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, 1998 (the 'Annual Report').

New Accounting Guidance

   In June 1999, the Financial Accounting Standards Board ('FASB') issued
Statement No. 137, Accounting for Derivative Instruments and Hedging
Activities--Deferral of the Effective Date of FASB Statement No. 133--an
amendment of FASB Statement No. 133, which delayed the effective date of FASB
Statement No. 133, Accounting for Derivative Instruments and Hedging Activities
('SFAS 133'). The Trust does not believe the effect of adoption of SFAS 133, now
required effective January 1, 2001, will be material.

B. Related Parties

   The managing owner of the Trust is Prudential Securities Futures Management
Inc. (the 'Managing Owner'), a wholly owned subsidiary of Prudential Securities
Incorporated ('PSI'). 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 in addition to its routine operational, administrative, legal and
auditing fees as well as costs paid to organize the Trust and offer its
interests. As described in the Annual Report, all commissions for brokerage
services are paid to PSI.

   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 positions of the Trust.

   As of June 30, 1999, a non-U.S. affiliate of the Managing Owner owns
2,117.885 limited interests of the Trust.

C. Credit and Market Risk

   Since the Trust's business is to trade futures and forward (including foreign
exchange transactions) 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).

   Futures and forward contracts involve varying degrees of off-balance sheet
risk; and changes in the level or volatility of interest rates, foreign currency
exchange rates or the market values of the contracts (or commodities underlying
the contracts) frequently result in changes in the Trust's unrealized gain
(loss) on open commodity positions reflected in the statements of financial
condition. The Trust's exposure to market

                                       4
<PAGE>
risk is influenced by a number of factors including the relationships among the
contracts held by the Trust as well as the liquidity of the markets in which the
contracts are traded.

   Futures contracts are traded on organized exchanges and are thus
distinguished from forward contracts which are entered into privately by the
parties. The credit risks associated with futures contracts are typically
perceived to be less than those associated with forward contracts, because
exchanges typically provide clearinghouse arrangements in which the collective
credit (subject to certain limitations) of the members of the exchanges is
pledged to support the financial integrity of the exchange. On the other hand,
the Trust must rely solely on the credit of its broker (PSI) with respect to
forward transactions. The Trust presents unrealized gains and losses on open
forward positions as a net amount in the statements of financial condition
because it has a master netting agreement with PSI.

   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 (currently,
PSI is the sole counterparty or broker); 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, the
Managing Owner may terminate the trading manager if the net asset value
allocated to the trading manager declines by 33 1/3% during any year or since
the commencement of trading activities. Furthermore, the 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% in any year or
since the commencement of trading activities. In each case, the decline in the
net asset value is after giving effect for distributions and redemptions. The
Managing Owner may impose additional restrictions (through modifications of such
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 to commingle such assets with other assets
of PSI. At June 30, 1999, such segregated assets totalled $44,123,728. Part 30.7
of the CFTC regulations also requires PSI to secure assets of the Trust related
to foreign futures trading which totalled $15,606,408 at June 30, 1999. There
are no segregation requirements for assets related to forward trading.

   As of June 30, 1999, the Trust's open futures and forward contracts mature
within one year.

   At June 30, 1999 and December 31, 1998, gross contract amounts of open
futures and forward contracts were:

<TABLE>
<CAPTION>
                                          1999            1998
                                      ------------    ------------
<S>                                   <C>             <C>
Financial Futures Contracts:
  Commitments to purchase             $  7,889,658    $241,713,301
  Commitments to sell                  857,291,259     450,175,973
Currency Futures Contracts:
  Commitments to purchase                  --           29,926,525
  Commitments to sell                   73,792,487      22,716,988
Other Futures Contracts:
  Commitments to purchase                8,515,329       2,666,083
  Commitments to sell                   18,804,634      15,300,056
Currency Forward Contracts:
  Commitments to purchase                3,426,055         464,787
  Commitments to sell                   29,612,358       7,297,275
</TABLE>

   The gross contract amounts represent the Trust's potential involvement in a
particular class of financial instrument (if it were to take or make delivery on
an underlying futures or forward contract). The gross contract amounts
significantly exceed the future cash requirements as the Trust intends to close
out open positions prior to settlement and thus 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 futures and forward contracts

                                       5
<PAGE>
to be the net unrealized gain or loss on the contracts. Thus, the amount at risk
associated with counterparty nonperformance of all contracts is the net
unrealized gain included in the statements of financial condition. The market
risk associated with the Trust's commitments to purchase commodities is limited
to the gross contract amounts involved, while the market risk associated with
its commitments to sell is unlimited since the Trust's potential involvement is
to make delivery of an underlying commodity at the contract price; therefore, it
must repurchase the contract at prevailing market prices.

   At June 30, 1999 and December 31, 1998, the fair value of open futures and
forward contracts was:

<TABLE>
<CAPTION>
                                                       1999                           1998
                                            --------------------------     --------------------------
                                              Assets       Liabilities       Assets       Liabilities
                                            ----------     -----------     ----------     -----------
<S>                                         <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                              $  678,565      $   57,025     $   59,531     $   607,294
     Currencies                                390,264          83,650        969,688         187,500
     Other                                   1,083,122         149,580        589,283         134,120
  Foreign exchanges
     Financial                               2,583,119          36,004      5,991,154         385,014
     Other                                     124,714         114,931        114,259          11,014
Forward Contracts:
     Currencies                                272,020         115,948          5,365         207,126
                                            ----------     -----------     ----------     -----------
                                            $5,131,804      $  557,138     $7,729,280     $ 1,532,068
                                            ----------     -----------     ----------     -----------
                                            ----------     -----------     ----------     -----------
</TABLE>

   The following table presents the average fair value of futures and forward
contracts during the six months ended June 30, 1999 and 1998, respectively.

<TABLE>
<CAPTION>
                                                       1999                           1998
                                            --------------------------     --------------------------
                                              Assets       Liabilities       Assets       Liabilities
                                            ----------     -----------     ----------     -----------
<S>                                         <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                              $  390,184     $   135,499     $  428,000     $    96,430
     Currencies                                899,684         149,001         --             --
     Other                                     541,338         198,257        960,349         268,223
  Foreign exchanges
     Financial                               3,026,749         285,904      1,358,431         384,691
     Other                                     107,222          45,349         64,787          24,075
Forward Contracts:
     Currencies                                747,900         210,537      1,387,980       1,549,006
                                            ----------     -----------     ----------     -----------
                                            $5,713,077     $ 1,024,547     $4,199,547     $ 2,322,425
                                            ----------     -----------     ----------     -----------
                                            ----------     -----------     ----------     -----------
</TABLE>

   The following table presents the average fair value of futures and forward
contracts for the three months ended June 30, 1999 and 1998, respectively.

<TABLE>
<CAPTION>
                                                       1999                           1998
                                            --------------------------     --------------------------
                                              Assets       Liabilities       Assets       Liabilities
                                            ----------     -----------     ----------     -----------
<S>                                         <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                              $  510,682      $   20,438     $  238,536     $   168,752
     Currencies                                887,816         167,046         --             --
     Other                                     611,083         242,983        605,491         298,260
  Foreign exchanges
     Financial                               1,883,718         236,784      1,001,573         415,303
     Other                                     137,014          60,963         57,416          31,108
Forward Contracts:
     Currencies                                889,131         124,750      1,653,962       1,251,653
                                            ----------     -----------     ----------     -----------
                                            $4,919,444      $  852,964     $3,556,978     $ 2,165,076
                                            ----------     -----------     ----------     -----------
                                            ----------     -----------     ----------     -----------
</TABLE>

                                       6
<PAGE>
      The following table presents the trading revenues from futures and forward
contracts during the six months ended June 30, 1999 and 1998, respectively.

<TABLE>
<CAPTION>
                                                     1999            1998
                                                  -----------     -----------
                       <S>                        <C>             <C>
                       Futures Contracts:
                         Domestic exchanges
                            Financial             $ 2,823,847     $(1,159,942)
                            Currencies                810,301              --
                            Other                     479,232         238,057
                         Foreign exchanges
                            Financial              (1,661,342)     (1,129,328)
                            Other                     259,951      (1,224,052)
                       Forward Contracts:
                            Currencies              2,868,861      (1,940,994)
                                                  -----------     -----------
                                                  $ 5,580,850     $(5,216,259)
                                                  -----------     -----------
                                                  -----------     -----------
</TABLE>

      The following table presents the trading revenues from futures and forward
contracts during the three months ended June 30, 1999 and 1998, respectively.

<TABLE>
<CAPTION>
                                                     1999           1998
                                                  ----------     -----------
                       <S>                        <C>            <C>
                       Futures Contracts:
                         Domestic exchanges
                            Financial             $1,142,218     $  (693,470)
                            Currencies             1,217,926              --
                            Other                  1,286,312          74,829
                         Foreign exchanges
                            Financial              2,249,612        (646,056)
                            Other                     46,254          50,274
                       Forward Contracts:
                            Currencies             1,037,174        (828,065)
                                                  ----------     -----------
                                                  $6,979,496     $(2,042,488)
                                                  ----------     -----------
                                                  ----------     -----------
</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.

   At June 30, 1999, 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 change 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 utilizing 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.

   Redemptions of limited interests for the six and three months ended June 30,
1999 were $5,255,443 and $2,500,022, respectively. Redemptions of general
interests for the six and three months ended June 30, 1999 were $53,082 and
$25,154, respectively. Redemptions of limited and general interests from
commencement of operations, January 5, 1995 to June 30, 1999 totalled
$47,818,466 and $353,097, respectively. Future redemptions will impact the
amount of funds available for investment in commodity contracts in subsequent
periods.

Results of Operations

   The net asset value per Interest as of June 30, 1999 was $213.17, an increase
of 6.10% from the December 31, 1998 net asset value per Interest of $200.91.

Quarterly Market Overview

   In the United States, as economic indicators strengthened and the Federal
Reserve Bank announced they would raise interest rates, the U.S. dollar rose
against most major currencies, especially European which were spurred by
deteriorating confidence in the Euro. Throughout the second quarter, several
issues weighed on world markets including significant price declines in global
long-term interest bonds, the U.S. Federal Reserve's tightening of monetary
policy, and an increased supply of corporate debt. Furthermore, as the U.S.
economy generated strength, investors feared possible inflation. U.S. bond
prices fell, followed by European bonds which were depressed by rumors regarding
Italy's retreat from the European Economic

                                       8
<PAGE>
Union. Global stock markets recorded gains over the quarter, supported by solid
corporate earnings, and improved economies (especially Asian). In the commodity
markets, the energy sector rallied as OPEC announced production cuts and lower
inventories in oil and gasoline. A consistent tone prevailed in the agricultural
and soft commodity markets as favorable seasonal growing conditions continued to
weigh on prices.

Quarterly Trust Performance

   The Trust recorded profits in the financial sector driven by Japanese
government and U.S. Treasury bonds. Throughout the quarter the Japanese economy
appeared to strengthen triggering a bond market rally. U.S. Treasury bond prices
declined, continuing a trend that had existed for several months. U.S. interest
rates rose during June as strong consumer demand and an improving manufacturing
sector caused economic growth to exceed most market expectations. European bonds
followed the lead of the U.S. bond markets.

   Currency sector positions captured gains for the Trust, particularly the
Swiss franc, Euro, and Japanese yen. The Swiss franc fell after losing its safe
haven attraction as the war in Kosovo ended. The Swiss franc's fall was further
compounded by a strengthening U.S. dollar as the Federal Reserve increased U.S.
interest rates by 0.25%. Weakness in the Euro continued due to deteriorating
confidence in that currency and Italy's possible retraction from the European
Economic Union. Consequently, the European Central Bank has been rumored to be
considering an interest rate increase. In Japan, as the economy showed signs of
recovery, officials feared a premature strengthening of the yen might dampen
growth. As a result the Bank of Japan intervened by selling yen.

   Trust gains were also attributable to the index sector, particularly from
long positions in the Nikkei Dow. In the first week of January, the Nikkei Dow
recorded a low near 13,050 and proceeded to accelerate up to the 18,455 mark
within the last two weeks of June. Capital flows out of the U.S. market and into
the Asian region helped to drive the Nikkei Dow's upward move under the
perception that Asian economies have formed a base from which to improve.

   In the energy sector, trading in light crude and crude oil was profitable.
Crude oil products rallied as extremely hot U.S. weather drove utility demand
during June. The rally continued following statements by oil ministers from
Saudi Arabia and Mexico reporting a high degree of compliance with current OPEC
production cuts.

   Short gold positions provided gains for the Trust. The gold market reached a
20-year low as further details of Britain's previously announced plan to sell a
portion of its reserves became public. Weak physical demand also served to
exacerbate the gold sell-off.

   Losses were experienced in the soft sector as coffee prices fell. Coffee
prices plummeted as seasonably warm weather in Brazil reduced the likelihood
that a winter freeze would damage the vulnerable crop, thus promising ample
supplies.

   Interest income is earned on the net assets held at PSI and, therefore,
varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased $406,000 and $157,000 for the six and
three months ended June 30, 1999 compared to the corresponding periods in 1998.
These decreases were primarily due to declining interest rates as well as lower
net assets in the Trust as a result of redemptions offset, in part, by positive
trading performance during the second half of 1998 and the second quarter of
1999.

   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 six and three months ended June 30, 1999
decreased $243,000 and $91,000 compared to the corresponding periods in 1998.
These decreases were primarily due to lower monthly net asset values as a result
of redemptions offset, in part, by positive trading performance during the
second half of 1998 and the second quarter of 1999.

   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 six and three months ended
June 30, 1999 decreased $90,000 and $17,000 compared to the corresponding
periods in 1998 for the same reasons commissions decreased as discussed above.

                                       9
<PAGE>
   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. Incentive fees of $252,000 were
generated during the three months ended June 30, 1999 due to strong trading
performance during the second quarter of 1999. No incentive fees were generated
during the six and three months ended June 30, 1998.

New Accounting Guidance

   In June 1999, the Financial Accounting Standards Board ('FASB') issued
Statement No. 137, Accounting for Derivative Instruments and Hedging
Activities--Deferral of the Effective Date of FASB Statement No. 133--an
amendment of FASB Statement No. 133, which delayed the effective date of FASB
Statement No. 133, Accounting for Derivative Instruments and Hedging Activities
('SFAS 133'). The Trust does not believe the effect of adoption of SFAS 133, now
required effective January 1, 2001, will be material.

Year 2000 Risk

   A discussion of Year 2000 risk and its effect on the operations of the Trust
is included in the Trust's Annual Report.

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, information regarding quantitative and qualitative disclosures
about market risk is not required.

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<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)

         27.1--Financial Data Schedule (filed herewith)

        (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/ Steven Carlino                       Date: August 13, 1999
     ----------------------------------------
     Steven Carlino
     Vice President and Treasurer

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