<Page>

                                 UNITED STATES
                       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, 2003

                                       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   (I.R.S. Employer Identification
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 __

   Indicate by check CK whether the Registrant is an accelerated filer (as
defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes __  No _CK_

<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,
                                                                          2003              2002
----------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
ASSETS
Cash in commodity trading accounts                                     $21,822,746      $22,203,195
Net unrealized gain on open futures contracts                              149,374        1,068,894
Net unrealized gain on open forward contracts                              427,066        1,238,514
Other receivables                                                            6,049            2,594
                                                                      -------------     ------------
Total assets                                                           $22,405,235      $24,513,197
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $   550,519      $   890,827
Management fees payable                                                     37,342           40,855
                                                                      -------------     ------------
Total liabilities                                                          587,861          931,682
                                                                      -------------     ------------
Commitments
Trust capital
Limited interests (94,288.237 and 104,401.272 interests
  outstanding)                                                          21,599,068       23,345,604
General interests (953 and 1,055 interests outstanding)                    218,306          235,911
                                                                      -------------     ------------
Total trust capital                                                     21,817,374       23,581,515
                                                                      -------------     ------------
Total liabilities and trust capital                                    $22,405,235      $24,513,197
                                                                      -------------     ------------
                                                                      -------------     ------------
Net asset value per limited and general interest ('Interests')         $    229.07      $    223.61
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
        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
                                  (Unaudited)
<Table>
<Caption>
                                                September 30, 2003                  December 31, 2002
                                         --------------------------------    --------------------------------
                                         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                                             $  310,012                          $  835,450
  Stock Indices                                                (300,043)                            (80,419)
  Currencies                                                    203,570                                  --
  Commodities                                                   229,408                             486,370
                                                           --------------                      --------------
     Net unrealized gain on futures
     contracts purchased                       2.03%            442,947            5.26%          1,241,401
                                                           --------------                      --------------
Futures contracts sold:
  Interest rates                                               (148,790)                           (245,735)
  Stock indices                                                  17,182                              39,154
  Currencies                                                    (37,051)                                 --
  Commodities                                                  (124,914)                             34,074
                                                           --------------                      --------------
     Net unrealized (loss) on futures
     contracts sold                           (1.35)           (293,573)          (0.73)           (172,507)
                                             ------        --------------        ------        --------------
Net unrealized gain on futures
  contracts                                    0.68%         $  149,374            4.53%         $1,068,894
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Forward contracts purchased:
  Net unrealized gain on forward
  contracts purchased                          0.19%         $   40,685            7.71%         $1,818,506
Forward currency contracts sold:
     Net unrealized gain (loss) on
     forward contracts sold                    1.77             386,381           (2.46)           (579,992)
                                             ------        --------------        ------        --------------
Net unrealized gain on forward
  contracts                                    1.96%         $  427,066            5.25%         $1,238,514
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Futures Contracts
  British pound                               (0.18)%        $  (38,983)           0.30%         $   70,162
  Euro                                        (0.31)            (67,230)           1.36             321,999
  Japanese yen                                (0.31)            (67,050)           0.97             229,438
  Australian dollar                            0.03               5,532            0.23              53,087
  Other                                        0.00               1,645            0.03               8,042
  U.S. dollar                                  1.45             315,460            1.64             386,166
                                             ------        --------------        ------        --------------
     Total                                     0.68%         $  149,374            4.53%         $1,068,894
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Forward Contracts
  British pound                               (0.06)%        $  (13,676)             --%         $       --
  Canadian dollar                              0.51             111,389              --                  --
  Japanese yen                                 1.09             239,475              --                  --
  Australian dollar                           (0.06)            (14,012)             --                  --
  Swiss franc                                 (0.14)            (31,398)             --                  --
  U.S. dollar                                  0.62             135,288            5.25           1,238,514
                                             ------        --------------        ------        --------------
     Total                                     1.96%         $  427,066            5.25%         $1,238,514
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
-------------------------------------------------------------------------------------------------------------
        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>
                                                  Nine months ended             Three months ended
                                                    September 30,                  September 30,
                                             ---------------------------    ---------------------------
                                                2003            2002           2003            2002
-------------------------------------------------------------------------------------------------------
<S>                                          <C>             <C>            <C>             <C>
REVENUES
Net realized gain (loss) on commodity
  transactions                               $ 3,996,329     $ 9,465,912    $(2,290,887)    $ 7,281,465
Change in net unrealized gain/loss on open
  commodity positions                         (1,730,968)        975,058      1,024,739      (1,614,135)
Interest income                                  218,372         368,462         58,256         138,602
                                             -----------     -----------    -----------     -----------
                                               2,483,733      10,809,432     (1,207,892)      5,805,932
                                             -----------     -----------    -----------     -----------
EXPENSES
Commissions                                    1,296,319       1,352,132        458,006         501,394
Management fees                                  335,398         366,418        115,419         139,920
Incentive fees                                   202,680       1,069,763             --       1,005,203
                                             -----------     -----------    -----------     -----------
                                               1,834,397       2,788,313        573,425       1,646,517
                                             -----------     -----------    -----------     -----------
Net income (loss)                            $   649,336     $ 8,021,119    $(1,781,317)    $ 4,159,415
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                            $   642,835     $ 7,940,855    $(1,763,494)    $ 4,117,798
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
General interests                            $     6,501     $    80,264    $   (17,823)    $    41,617
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
  limited and general interest               $      6.41     $     65.99    $    (18.24)    $     36.60
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
Weighted average number of limited and
  general interests outstanding                  101,336         121,553         97,645         113,638
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
-------------------------------------------------------------------------------------------------------
</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, 2002            105,456.272     $23,345,604     $235,911      $23,581,515
Net income                                           --         642,835        6,501          649,336
Redemptions                                 (10,215.035)     (2,389,371)     (24,106 )     (2,413,477)
                                           ------------     -----------     ---------     -----------
Trust capital--September 30, 2003            95,241.237     $21,599,068     $218,306      $21,817,374
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
       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
                               SEPTEMBER 30, 2003
                                  (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, 2003 and December
31, 2002 and the results of its operations for the nine and three months ended
September 30, 2003 and 2002. 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, 2002.

   In February 2003, Prudential Financial, Inc. ('Prudential') and Wachovia
Corp. ('Wachovia') announced an agreement to combine their separate retail
securities brokerage and clearing businesses under a new holding company named
Wachovia/Prudential Financial Advisors, LLC ('WPFA'), to be owned 62% by
Wachovia and 38% by Prudential. The transaction closed July 1, 2003. As a
result, the retail brokerage operations of Prudential Securities Incorporated
('PSI') were contributed to Wachovia Securities, LLC ('Wachovia Securities').
Wachovia Securities is wholly-owned by WPFA and is a registered broker-dealer
and a member of the National Association of Securities Dealers, Inc. ('NASD')
and all major securities exchanges. Effective July 1, 2003, PSI changed its name
to Prudential Equity Group, Inc. ('PEG'). PEG remains an indirectly wholly-owned
subsidiary of Prudential and is a registered broker-dealer and a member of the
NASD and all major securities exchanges. PEG continues to conduct the equity
research, domestic and international equity sales and trading operations, and
commodity brokerage and derivative operations it previously conducted as PSI.
The Managing Owner also remains an indirectly wholly-owned subsidiary of
Prudential.

B. Related Parties

   The Managing Owner of the Trust is a wholly owned subsidiary of PEG, which,
in turn, is an indirect wholly owned subsidiary of Prudential. 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, PEG 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, 2003 and 2002 were $1,296,319 and $1,352,132, respectively,
and for the three months ended September 30, 2003 and 2002 were $458,006 and
$501,394, respectively.

   The Trust's assets are maintained either in trading or cash accounts for
margin purposes with PEG, the Trust's commodity broker. PEG 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 PEG. PEG 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 PEG and the Trust pursuant to a line of credit. PEG may require that
collateral be posted against the marked-to-market position of the Trust.

   As of September 30, 2003, a non-U.S. affiliate of the Managing Owner owned
503.232 limited interests of the Trust.

                                       5

<Page>

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
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 or settle in
cash. 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, there is concentration risk on
forward transactions entered into by the Trust as PEG, the Trust's Commodity
Broker, is the sole counterparty. The Trust has entered into a master netting
agreement with PEG and, as a result, when applicable, presents unrealized gains
and losses on open forward positions as a net amount in the statements of
financial condition; however, counterparty non-performance on only certain of
the Trust's contracts may result in greater loss than non-performance on all of
the Trust's contracts. 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 Agreements among the Trust, the Managing
Owner and its Trading Managers, the Trust shall automatically terminate any
trading manager if the net asset value allocated to that 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.

                                       6

<Page>

   PEG, 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 PEG. At September 30, 2003, such segregated assets totalled $17,477,660. Part
30.7 of the CFTC regulations also requires PEG to secure assets of the Trust
related to foreign futures trading, which totalled $4,494,460 at September 30,
2003. There are no segregation requirements for assets related to forward
trading.

   As of September 30, 2003, all of the Trust's open futures and forward
contracts mature within one year, except for certain currency rate futures
contracts that have maturities as distant as June 2005.

D. Financial Highlights

<Table>
<Caption>
                                           Nine Months Ended                 Three Months Ended
                                             September 30,                     September 30,
                                      ----------------------------    --------------------------------
                                          2003            2002             2003              2002
<S>                                   <C>             <C>             <C>               <C>
Performance per Interest
  Net asset value, beginning of
  period                                $ 223.61        $ 182.24         $ 247.32          $ 215.45
                                      ------------    ------------    --------------    --------------
  Net realized gain and change in
     unrealized gain/loss on
     commodity transactions                21.48           90.36           (12.98)            49.87
  Interest income                           2.15            3.05             0.60              1.22
  Expenses                                (18.17)         (23.60)           (5.87)           (14.49)
                                      ------------    ------------    --------------    --------------
  Net increase (decrease) for the
     period                                 5.46           69.81           (18.25)            36.60
                                      ------------    ------------    --------------    --------------
  Net asset value, end of period        $ 229.07        $ 252.05         $ 229.07          $ 252.05
                                      ------------    ------------    --------------    --------------
                                      ------------    ------------    --------------    --------------
Total return                                2.44%          38.31%           (7.38)%           16.99%
Ratio to average net assets
  (annualized)
  Interest income                           1.23%           2.09%            1.01%             2.08%
  Expenses, including 1.15%, 6.08%
     and 15.10% of incentive fees
     for the nine months ended
     September 30, 2003, 2002 and
     for the three months ended
     September 30, 2002,
     respectively                          10.37%          15.84%            9.93%            24.73%
</Table>

      These financial highlights represent the overall results of the Trust
during the nine and three month periods ended September 30, 2003 and 2002,
respectively. An individual interest holder's actual results may differ
depending on the timing of redemptions.

                                       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 business day of any calendar quarter at the then current NAV per
Interest. Redemptions of limited interests and general interests for the nine
months ended September 30, 2003 were $2,389,371 and $24,106, respectively, and
for the three months ended September 30, 2003 were $545,021 and $5,498,
respectively. Redemptions of limited interests and general interests from the
commencement of operations, January 5, 1995, to September 30, 2003 totalled
$78,350,261 and $661,479, respectively. Future redemptions will impact the
amount of funds available for investment in commodity contracts in subsequent
periods.

   At September 30, 2003, 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. PEG 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 September 30, 2003 was $229.07, an
increase of 2.44% from the December 31, 2002 net asset value per Interest of
$223.61, and a decrease of 7.38% from the June 30, 2003 net asset value per
interest of $247.32. Past performance is not necessarily indicative of future
results.

   The Trust's trading gains (losses) before commissions were $2,265,000 and
$(1,266,000) during the nine and three months ended September 30, 2003 compared
to $10,441,000 and $5,667,000 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.

                                       8
 
<PAGE>
<Page>

Quarterly Market Overview

   In the U.S., the third quarter of 2003 was marked by an economic growth rate
of 7.2 percent--the fastest rate since 1984--which was boosted by strong
consumer and business spending. Leading indicators rose throughout July and
August, but fell 0.2 percent in September, the first decline in four months.
Manufacturing and industrial production grew throughout the quarter, although at
a slower pace, as new orders and production gradually strengthened. Child tax
credit checks arrived in July and August in time for the crucial back-to-school
retail sales period boosting disposable income to its biggest gain in a year.
Consumer spending, which makes up two-thirds of the economy, rose throughout
most of the quarter as retail sales increased 1.4 percent in July--the largest
increase in four months--and 0.6 percent in August, but cooled in September.
Housing, automobile and durable goods markets aided by incentives and
low-interest rates continued at a high clip. However, consumer confidence was
mixed in July and declined in September to the lowest level since the war in
Iraq as a result of higher gas prices and continued job losses. Despite a
slowdown in layoffs, hiring has not picked up as companies continued to focus on
becoming more efficient. The U.S. economy lost 49,000 jobs in July and a record
93,000 jobs in August. The majority of job losses occurred in the manufacturing
sector, which experienced its 38th consecutive monthly drop in employment in
September. Non-farm payrolls, mostly in the private sector, rose for the first
time in eight months in September. Watching over the weak labor market, the U.S.
Federal Reserve maintained the target for the federal funds rate at one percent,
a 45-year low, at both its August and September meetings.

   The global economy experienced mixed growth in the third quarter. Widening
deficits, rising unemployment, declining business and consumer confidence and
sluggish economic growth continued to dog the 12-nation euro zone. The European
Central Bank left rates untouched at the end of September. The outlook was
rosier in Japan as capital spending spurred a recovery from its third recession
in a decade. Unemployment reached its lowest level since mid-2001, and although
Japanese consumer spending remained flat, business investments have gradually
grown.

   Indices: The three major U.S. market gauges (Dow Jones Industrial Average,
S&P 500 and NASDAQ) boasted a second quarter of gains after three years of
declines, even though they finished lower in September. Stronger corporate
earnings, growth in capital and consumer spending and a third consecutive month
of manufacturing growth boosted stock prices. Toward the end of September, the
Dow Jones Industrial Average, S&P 500 and NASDAQ declined based on weak economic
data and a rush by investors to lock in third quarter gains. Japanese stocks
experienced their biggest sell-off in two years as a result of the pullback in
U.S. equities and the U.S. dollar's 33-month low against the yen. Investors were
concerned about poor consumer confidence figures, weak third-quarter earnings
results, high stock valuations, sketchy corporate governance, persistent job
market weakness, escalating conflict in the Middle East, and a production cut by
OPEC. Nonetheless, the Japanese Nikkei reached a 15-month high in mid-September
with an overall gain of 12.5 percent. Most Asian markets reported robust returns
with European markets edging upwards throughout the quarter resulting in two
consecutive quarters of gains for global stock markets.

   Interest Rates: Volatility marked the performance of U.S. Treasuries, as
prices fell 1.9 percent with yields rising to 3.9 percent in the third quarter.
The majority of damage occurred in July as U.S. Treasuries posted their worst
monthly return in more than two decades when investors shifted their allocations
from bonds to stocks on the basis of stronger economic data. Prices rebounded in
August, but dipped again in mid-September as a result of profit taking ahead of
economic data reports. U.S. Treasury prices jumped at the end of September on
the back of soft consumer confidence figures, depressed job market reports,
slower manufacturing activity reports, and a weaker dollar. As a result of
improved world growth, global bond yields began low at the beginning of the
quarter and rose in every major developed bond market with Japanese bonds
experiencing the greatest rise in yields.

   Currencies: In the foreign exchange markets, the U.S. dollar remained weak
and fell at the end of September when the Group of 7 and the U.S. Treasury
Secretary John Snow called for more exchange rate flexibility and further
supported a weak dollar policy. The dollar declined to a 33-month low against
the Japanese yen reversing only after intervention by the Bank of Japan. News of
the intervention forced European currencies lower. However, the Euro ended the
quarter at its highest level against the dollar since mid-June.

   Energies: Gas prices rose in July and August as a result of a surge in energy
production demands due to abnormally warm weather in the U.S. Midwest and
Northeast. Natural gas prices rose seven percent as a

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result of a buildup in supply below projections. To hedge against inflation,
investors began buying oil in August. Unexpected growth in U.S. inventories
drove oil prices lower, reaching four-month lows. Oil prices spiked in September
as OPEC announced an output reduction of 3.5 percent ahead of peak winter demand
to stem the decline in prices. Prices stabilized slightly when investors
realized supplies appeared to be sufficient but ended the quarter at the highest
level in three weeks.

Quarterly Trust Performance

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

   Currencies (-): The Group of 7's support of a weak U.S. dollar led to the
strengthening of major global currencies. Short Canadian dollar/Japanese yen and
euro/Japanese yen cross-positions resulted in net losses for the Trust.

   Interest Rates (-): As a result of improved world growth, global bond prices
declined in every major developed bond market. Long U.S. Treasury bonds and
British bond position resulted in net losses.

   Energies (-): OPEC's announcement to cut production caused a significant
rally in energy prices. Short light crude and gas oil positions led to net
losses.

   Softs (-): High volatility in the softs markets led to net losses in long
sugar, coffee and cocoa positions.

   Indices (+): Japanese Nikkei Dow, Hong Kong Hang Seng and London OMLX index
positions resulted in net gains as U.S. and major global stock markets rose for
the second consecutive quarter.

   Metals (+): Speculation that manufacturers will boost metal purchases
increased base metal prices and led to net gains in long nickel and copper
positions.

   Grains (+): Long corn and wheat positions resulted in net gains as drought
conditions drove prices upward.

   Interest income is earned on the average net assets held at PEG and,
therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased $150,000 and $80,000 for the nine and
three months ended September 30, 2003 compared to the corresponding periods in
2002. These decreases were due to the decrease in interest rates during 2002,
offset in part by an increase in net assets as a result of strong trading
performance during the first half of 2003 and the second and third quarters 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 nine and three months ended September 30, 2003
decreased $56,000 and $43,000, respectively, compared to the corresponding
periods in 2002. The decrease for the nine month period was primarily due to the
Trust not incurring commissions on the portion of assets unallocated to trading
until February 2003 when each of the new trading managers began trading. The
decrease during the three month period was a result of weak trading performance.

   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, 2003 decreased
$31,000 and $25,000, respectively, compared to the corresponding periods in 2002
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 managers, as defined in the Advisory Agreements among the Trust, the
Managing Owner and the trading managers. Incentive fees of $203,000 were
incurred during the nine months ended September 30, 2003.

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.

ITEM 4. CONTROLS AND PROCEDURES

   As of the end of the period covered by this report, the Managing Owner
carried out an evaluation, under the supervision and with the participation of
the officers of the Managing Owner, including the Managing Owner's chief
executive officer and chief financial officer, of the effectiveness of the
design and operation of the Trust's disclosure controls and procedures. Based
upon that evaluation, the Managing Owner's chief

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executive officer and chief financial officer concluded that the Trust's
disclosure controls and procedures are effective.

   There have not been any changes in our internal controls over financial
reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Securities
Exchange Act of 1934, as amended) during the fiscal quarter to which this report
relates that have materially affected, or are reasonably likely to materially
affect, our internal controls over financial reporting.

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                           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 and Reports on Form 8-K--

          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)

         31.1--Certificate pursuant to Exchange Act Rules 13a-14
               and 15d-14 (filed herewith)

         31.2--Certificate pursuant to Exchange Act Rules 13a-14 and
               15d-14 (filed herewith)

         32.1--Certificate pursuant to 18 U.S.C. Section 1350 as adopted
               pursuant to Section 906 of the SARBANES-OXLEY Act
               of 2002 (furnished herewith)

         32.2--Certificate pursuant to 18 U.S.C. Section 1350 as
               adopted pursuant to Section 906 of the SARBANES-OXLEY Act
               of 2002 (furnished herewith)

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

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                                   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/ Ronald J. Ivans                      Date: November 14, 2003
     ----------------------------------------
     Ronald J. Ivans
     Chief Financial Officer

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