<PAGE>
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
 
                                   FORM 10-Q
 
(Mark One)
 
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934
 
For the quarterly period ended September 30, 1997
 
                                       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           (I.R.S. Employer Identification No.)
of incorporation or organization)
 
One New York Plaza, 14th 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 1. FINANCIAL STATEMENTS
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                      September 30,     December 31,
                                                                          1997              1996
<S>                                                                   <C>               <C>
----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $63,189,766      $79,506,881
Net unrealized gain on open commodity positions                          3,139,377        1,513,343
                                                                      -------------     ------------
Net equity                                                              66,329,143       81,020,224
Other receivable                                                            33,115           20,607
                                                                      -------------     ------------
Total assets                                                           $66,362,258      $81,040,831
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 1,673,230      $ 7,223,685
Management fee payable                                                     221,207          270,136
Incentive fee payable                                                           --        2,055,497
                                                                      -------------     ------------
Total liabilities                                                        1,894,437        9,549,318
                                                                      -------------     ------------
Commitments
 
Trust capital
Limited interests (358,843.990 and 401,784.703 interests
  outstanding)                                                          63,823,090       70,776,499
General interests (3,625 and 4,059 interests outstanding)                  644,731          715,014
                                                                      -------------     ------------
Total trust capital                                                     64,467,821       71,491,513
                                                                      -------------     ------------
Total liabilities and trust capital                                    $66,362,258      $81,040,831
                                                                      -------------     ------------
                                                                      -------------     ------------
 
Net asset value per limited and general interests ('Interests')        $    177.86      $    176.16
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
                  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>
                                            Nine Months ended                  Three Months ended
                                              September 30,                       September 30,
                                     --------------------------------     -----------------------------
                                        1997               1996               1997             1996
<S>                                  <C>             <C>                  <C>              <C>
-------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on
  commodity transactions             $2,191,566         $  875,279         $3,390,429      $(1,723,720)
Change in net unrealized gain on
  commodity positions                 1,626,034          4,614,618          1,345,148        4,653,621
Interest income                       2,855,116          2,168,868            953,742          782,377
                                     -----------     ----------------     ------------     ------------
                                      6,672,716          7,658,765          5,689,319        3,712,278
                                     -----------     ----------------     ------------     ------------
EXPENSES
Commissions                           4,010,869          3,331,834          1,273,349        1,179,635
Management fees                       2,081,056          1,735,241            672,119          617,286
Incentive fees                           70,715             43,018                 --           43,018
                                     -----------     ----------------     ------------     ------------
                                      6,162,640          5,110,093          1,945,468        1,839,939
                                     -----------     ----------------     ------------     ------------
Net income                           $  510,076         $2,548,672          3,743,851      $ 1,872,339
                                     -----------     ----------------     ------------     ------------
                                     -----------     ----------------     ------------     ------------
ALLOCATION OF NET INCOME
Limited interests                    $  504,979         $2,523,115         $3,706,411      $ 1,855,290
                                     -----------     ----------------     ------------     ------------
                                     -----------     ----------------     ------------     ------------
General interests                    $    5,097         $   25,557         $   37,440      $    17,049
                                     -----------     ----------------     ------------     ------------
                                     -----------     ----------------     ------------     ------------
NET INCOME PER WEIGHTED AVERAGE
LIMITED AND GENERAL INTEREST
Net income per weighted average
  limited and general interest       $     1.31         $     6.34         $    10.07      $      4.35
                                     -----------     ----------------     ------------     ------------
                                     -----------     ----------------     ------------     ------------
Weighted average number of
  limited and general interests
  outstanding                           389,921            402,042            371,877          430,051
                                     -----------     ----------------     ------------     ------------
                                     -----------     ----------------     ------------     ------------
-------------------------------------------------------------------------------------------------------
</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, 1996            405,843.703     $70,776,499     $715,014      $71,491,513
Net income                                                      504,979        5,097          510,076
Redemptions                                 (43,374.713)     (7,458,388)     (75,380 )     (7,533,768)
                                           ------------     -----------     ---------     -----------
Trust capital--September 30, 1997           362,468.990     $63,823,090     $644,731      $64,467,821
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                   The accompanying notes are an integral part of these statements
</TABLE>
                                      3<PAGE>
<PAGE>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
                               SEPTEMBER 30, 1997
                                  (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 September 30, 1997
and the results of its operations for the nine and three months ended September
30, 1997 and 1996. 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 statements of financial condition and notes thereto
included in the Partnership's Annual Report on Form 10-K filed with the
Securities and Exchange Commission for the year ended December 31, 1996 (the
'Annual Report').
 
B. Related Parties
 
   Prudential Securities Futures Management Inc., a wholly-owned subsidiary of
Prudential Securities Incorporated ('PSI'), is the managing owner of the Trust
(the 'Managing Owner'). 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 costs of organizing the Trust and
offering its interests as well as its routine operational, administrative, legal
and auditing fees.
 
   The Trust maintains its trading and cash accounts at PSI, the Trust's
commodity broker. A significant portion of the Trust's cash is utilized for
margin purposes for the Trust's commodity trading activities. PSI credits the
Trust monthly with 100% of the interest it earns on the equity in these
accounts. As described in the Annual Report, all commissions for brokerage
services are paid to PSI.
 
   In connection with the Trust's interbank transactions, PSI engages in foreign
currency forward transactions with the Trust and an affiliate of PSI who, as
principal, attempts to earn a profit on the bid-ask spreads (which must be
competitive) on any foreign currency forward transactions entered into between
the Trust and PSI, on the one hand, and PSI and such affiliate on the other. In
connection with its trading of foreign currencies in the interbank market, PSI
may arrange bank lines of credit at major international banks. To the extent
such lines of credit are arranged PSI does not charge the Trust for maintaining
such lines of credit, but requires margin deposits with respect to forward
contract transactions.
 
   As of September 30, 1997, a non-U.S. affiliate of the Managing Owner owns
4,592 limited interests of the Trust.
 
C. Credit and Market Risk
 
   Since the Trust's business is to trade futures, forward and options
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, forward and options contracts involve varying degrees of off-balance
sheet risk; and changes in the level of 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 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 and options 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 and

                                      4
<PAGE>
options 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's 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. 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 and options 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 and options trading and is not to commingle
such assets with other assets of PSI. At September 30, 1997 and December 31,
1996, such segregated assets totalled $33,720,770 and $53,711,518, respectively.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of the
Trust related to foreign futures and options trading which totalled $32,740,681
and $26,551,088 at September 30, 1997 and December 31, 1996, respectively. There
are no segregation requirements for assets related to forward trading.
 
   As of September 30, 1997 and December 31, 1996, the Trust's open forward and
futures contracts mature within one year.
 
   At September 30, 1997 and December 31, 1996, gross contract amounts of open
futures and forward contracts are:
 
<TABLE>
<CAPTION>
                                      September 30,    December 31,
                                          1997             1996
                                      -------------    ------------
<S>                                   <C>              <C>
Financial Futures Contracts:
  Commitments to purchase             $ 520,240,071    $246,536,386
  Commitments to sell                 $  10,120,249    $ 85,149,239
Currency Forward Contracts:
  Commitments to purchase             $  35,544,147    $ 55,393,671
  Commitments to sell                 $  75,505,404    $ 61,497,457
Other Futures Contracts:
  Commitments to purchase             $  14,693,203    $  6,735,960
  Commitments to sell                 $  13,096,550    $ 25,980,949
</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 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.
 <PAGE>
                                5
<PAGE>
   At September 30, 1997 and December 31, 1996, the fair values of futures and
forward contracts were:
 
<TABLE>
<CAPTION>
                                           September 30, 1997             December 31, 1996
                                       --------------------------     --------------------------
                                               Fair Value                     Fair Value
                                       --------------------------     --------------------------
                                         Assets       Liabilities       Assets       Liabilities
                                       ----------     -----------     ----------     -----------
<S>                                    <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                         $  196,031     $   144,813     $   66,450     $   175,344
     Other                                813,745         740,818      1,219,801          58,011
  Foreign exchanges
     Financial                          3,294,978          50,063        542,415         847,344
     Other                                 --              97,375          7,758         --
Forward Contracts:
     Currencies                           290,897         423,205      1,592,852         835,234
                                       ----------     -----------     ----------     -----------
                                       $4,595,651     $ 1,456,274     $3,429,276     $ 1,915,933
                                       ----------     -----------     ----------     -----------
                                       ----------     -----------     ----------     -----------
</TABLE>
 
   The following table presents the average fair value of futures and forward
contracts during the nine months ended September 30, 1997 and 1996,
respectively.
 
<TABLE>
<CAPTION>
                                           Nine months ended              Nine months ended
                                           September 30, 1997             September 30, 1996
                                       --------------------------     --------------------------
<S>                                    <C>            <C>             <C>            <C>
                                                Average                        Average
                                               Fair Value                     Fair Value
                                       --------------------------     --------------------------
                                         Assets       Liabilities       Assets       Liabilities
                                       ----------     -----------     ----------     -----------
Futures Contracts:
  Domestic exchanges
     Financial                         $  561,103     $    51,389     $  693,183     $   167,801
     Other                              1,012,084         249,081      1,048,386         198,414
  Foreign exchanges
     Financial                          1,547,698         335,762      1,735,903         186,544
     Other                                 18,509          12,854         14,291           3,999
Forward Contracts:
     Currencies                         1,855,622       1,539,142      1,694,817         733,801
                                       ----------     -----------     ----------     -----------
                                       $4,995,016     $ 2,188,228     $5,186,580     $ 1,290,559
                                       ----------     -----------     ----------     -----------
                                       ----------     -----------     ----------     -----------
</TABLE>
 <PAGE>
                                   6
<PAGE>
   The following table presents the average fair value of futures and forward
contracts during the three months ended September 30, 1997 and 1996,
respectively.
 
<TABLE>
<CAPTION>
                                         Three months ended          Three months ended
                                         September 30, 1997          September 30, 1996
                                      ------------------------    ------------------------
<S>                                   <C>           <C>           <C>           <C>
                                              Average                     Average
                                             Fair Value                  Fair Value
                                      ------------------------    ------------------------
                                        Assets      Liabilities     Assets      Liabilities
                                      ----------    ----------    ----------    ----------
Futures Contracts:
  Domestic exchanges
     Financial                        $1,094,675    $   48,453    $   58,328    $  412,469
     Other                               918,180       506,361     1,590,502       204,103
  Foreign exchanges
     Financial                         2,721,458       128,907     3,031,001       149,760
     Other                                25,154        32,136        17,422            --
Forward Contracts:
     Currencies                        1,633,477     1,536,996     1,183,744       897,071
                                      ----------    ----------    ----------    ----------
                                      $6,392,944    $2,252,853    $5,880,997    $1,663,403
                                      ----------    ----------    ----------    ----------
                                      ----------    ----------    ----------    ----------
</TABLE>
 
   The following table presents the net realized gains (losses) and the change
in net unrealized gains/losses of futures and forward contracts during the nine
months ended September 30, 1997 and 1996, respectively.
 
<TABLE>
<CAPTION>
                                Nine months ended September 30, 1997                  Nine months ended September 30, 1996
                         ---------------------------------------------------   --------------------------------------------------
<S>                      <C>              <C>                    <C>           <C>              <C>                    <C>
                                             Change in Net                                         Change in Net
                          Net Realized         Unrealized                       Net Realized         Unrealized
                         Gains (Losses)       Gains/Losses          Total      Gains (Losses)       Gains/Losses         Total
                         --------------   --------------------   -----------   --------------   --------------------   ----------
Futures Contracts:
  Domestic exchanges
    Financial              $ (343,082)        $    160,112       $  (182,970)    $  930,808         $ (1,244,700)      $ (313,892)
    Other                    (409,180)          (1,088,863)       (1,498,043)     1,360,553              879,846        2,240,399
  Foreign exchanges
    Financial               2,433,892            3,549,844         5,983,736     (2,450,892)           3,592,213        1,141,321
    Other                    (103,269)            (105,133)         (208,402)       (71,380)               9,461          (61,919)
Forward Contracts:
    Currencies                613,205             (889,926)         (276,721)     1,106,190            1,377,798        2,483,988
                         --------------   --------------------   -----------   --------------   --------------------   ----------
                           $2,191,566         $  1,626,034       $ 3,817,600     $  875,279         $  4,614,618       $5,489,897
                         --------------   --------------------   -----------   --------------   --------------------   ----------
                         --------------   --------------------   -----------   --------------   --------------------   ----------
</TABLE>
 
   The following table presents the net realized gains (losses) and the change
in net unrealized gains/losses of futures and forward contracts during the three
months ended September 30, 1997 and 1996, respectively.
 
<TABLE>
<CAPTION>
                               Three months ended September 30, 1997                 Three months ended September 30, 1996
                        ---------------------------------------------------   ---------------------------------------------------
<S>                     <C>              <C>                    <C>           <C>              <C>                    <C>
                                            Change in Net                                         Change in Net
                         Net Realized         Unrealized                       Net Realized         Unrealized
                        Gains (Losses)       Gains/Losses          Total      Gains (Losses)       Gains/Losses          Total
                        --------------   --------------------   -----------   --------------   --------------------   -----------
Futures Contracts:
  Domestic exchanges
    Financial            $    935,806         $ (731,863)       $   203,943    $ (1,752,595)        $ (110,358)       $(1,862,953)
    Other                    (570,231)          (632,220)        (1,202,451)      1,122,523            228,713          1,351,236
  Foreign exchanges
    Financial               3,215,574          2,785,554          6,001,128       1,256,888          4,307,225          5,564,113
    Other                    (155,632)          (139,552)          (295,184)        (25,808)             1,423            (24,385)
Forward Contracts:
    Currencies                (35,088)            63,229             28,141      (2,324,728)           226,618         (2,098,110)
                        --------------   --------------------   -----------   --------------   --------------------   -----------
                         $  3,390,429         $1,345,148        $ 4,735,577    $ (1,723,720)        $4,653,621        $ 2,929,901
                        --------------   --------------------   -----------   --------------   --------------------   -----------
                        --------------   --------------------   -----------   --------------   --------------------   -----------
</TABLE>
 <PAGE>
                                   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 pursuant
to its terms on August 31, 1996, resulting in additional gross proceeds to the
Trust of $41,129,100.
 
   At September 30, 1997, 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 equity 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, forward and options
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 Managing Owner attempts to minimize these risks
by requiring the Trust's trading manager to abide by various trading limitations
and policies. See Note C to the financial statements for a further discussion on
the credit and market risks associated with the Trust's futures, forward and
options contracts.
 
   The Trust does not have, nor does it expect to have, any capital assets.
 
   Redemptions of limited interests for the nine and three months ended
September 30, 1997 were $7,458,388 and $1,656,511, respectively. Redemptions of
general interests for the nine and three months ended September 30, 1997 were
$75,380 and $16,719, respectively. Redemptions of limited and general interests
from the commencement of operations, January 5, 1995, to September 30, 1997 were
$29,803,504 and $171,160, 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 September 30, 1997 was $177.86, an
increase of .97% from the December 31, 1996 net asset value per Interest of
$176.16.
 
   July's positive performance resulted from gains in the financial, metal and
currency sectors. Losses were incurred in the index, soft, grain and energy
sectors. Following the Federal Reserve Chairman's generally upbeat congressional
testimony on the state of the U.S. economy, investor sentiment soared, sending
U.S. bond prices higher and the yield on the benchmark 30-year U.S. Treasury
bond down to levels not seen in 18 months. Positions in U.S. Treasuries,
Australian 10-year bonds and Eurodollar bonds resulted in strong gains as did
positions in Japanese government bonds. In the metal sector, as the Australian
central bank sold approximately 60% of their gold reserves, prices tumbled
profiting the Trust's short gold and silver positions. In the currency sector,
strong gains were seen in Deutsche mark and Swiss franc positions as the U.S.
dollar soared in response to investors exchanging their marks and francs for
U.S. dollars. Positions in the Japanese yen and British pound were unprofitable.
In the index sector, losses were seen in the Nikkei Dow and the Australian
index. Unprofitable positions were also experienced in the soft sector as
shifting
 <PAGE>
                                8
<PAGE>
inventory expectations and fickle weather patterns altered investor sentiment,
specifically in cotton, cocoa and coffee.
 
   August's negative performance resulted from losses in the currency,
financial, energy, metal and grain sectors, which were slightly offset by gains
in the index and soft sectors. The currency markets proved to be a major
detractor to the Trust's overall performance. The Deutsche mark's weakness over
the past few months contributed to some decent gains, but its strength in August
against several currencies including the U.S. dollar, Japanese yen and French
franc contributed to the Trust's negative performance. The Swiss franc also
added to the Trust's losses as it rose against the U.S. dollar. In the financial
sector, the month began with sharp sell-offs in the U.S. and German bond markets
driven by fears of inflation and higher interest rates. Reverberations were also
felt across the European financial markets. This turnaround in the bull bond
market resulted in losses in U.S., German and French bond positions. In the
energy sector, positions were unprofitable as light crude oil and heating oil
prices fell due, in part, to downward pressures related to the recent return of
Iraqi oil to world markets. Losses were somewhat offset by gains in world stock
indices. As the Japanese Nikkei continued to decline, the Trust capitalized on
its short positions. Positions in cotton and coffee were profitable as well.
 
   September's flat performance was the result of losses in the currency,
energy, soft, index, metal and grain sectors, which were offset by gains in the
financial sector. Currency sector positions dampened September performance for
the Trust as the U.S. dollar lost ground versus other currencies including the
Deutsche mark, Swiss franc and British pound. In the energy sector, the Trust's
positions incurred losses as the price of crude oil fell in response to the
buildup of inventories from summer lows. In the soft sector, significant price
moves resulted in losses for the Trust. Coffee declined, plunging 9.3% in a
single day, on expectations of new supplies from Brazil and the transfer of
European coffee beans to the U.S. market. Sugar prices also dropped amid
projections for large Brazilian exports following the elimination of the sugar
export tax. Positions in cocoa were unprofitable as well. In the index sector,
losses were experienced in the Swiss stock index. In the financial sector, the
main factor in September was the drop in U.S. long-term interest rates from
6.75% to 6.40%. This fall in U.S. interest rates impacted bond prices around the
world, helping to offset losses for the month.
 
   Interest income is earned on the net equity held at PSI and, therefore,
varies monthly according to interest rates, trading performance, contributions
and redemptions. Interest income increased approximately $686,000 and $171,000
for the nine and three months ended September 30, 1997 compared to the
corresponding periods in 1996 primarily due to a higher net equity in the Trust
as a result of additional contributions in 1996 through August and strong
trading performance from September 1996 through January 1997 and July 1997.
 
   Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance, contributions
and redemptions. Commissions for the nine and three months ended September 30,
1997 increased approximately $679,000 and $94,000 compared to the corresponding
periods in 1996. These increases were primarily due to a higher monthly net
asset values as a result of additional contributions and strong trading
performance from September 1996 through January 1997 and July 1997.
 
   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, contributions and redemptions. Management fees for the nine and
three months ended September 30, 1997 increased approximately $346,000 and
$55,000 as compared to the corresponding periods in 1996 for the same reasons
commissions increased as discussed above.
 
   Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement between the Trust, the
Managing Owner and the Trading Manager. Incentive fees of approximately $71,000
generated during the nine months ended September 30, 1997 were the result of
favorable trading performance during January. No incentive fees were generated
during the three months ended September 30, 1997. Incentive fees of
approximately $43,000 were generated during the three months ended September 30,
1996 as a result of favorable trading performance.
 <PAGE>
                                 9
<PAGE>
                           PART II. OTHER INFORMATION
 
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
        against the Registrant or the Managing Owner.
 
Item 2. Changes in Securities--None
 
Item 3. Defaults Upon Senior Securities--None
 
Item 4. Submission of Matters to a Vote of Security Holders--None
 
Item 5. Other Information--None
 
Item 6. (a) Exhibits--
 
             3.1
         and
          4.1-- Amended and Restated Declaration of Trust and Trust Agreement of
               the Registrant dated as of August 25, 1994, as amended and
               restated as of September 14, 1994 (incorporated by reference to
               Exhibits 3.1 and 4.1 of the Registrant's Form 10-Q for the period
               ended September 30, 1994)
 
         4.2-- Subscription Agreement (incorporated by reference to
               Exhibit C to the Registrant's Registration Statement on
               Form S-1, File No. 33-81534, dated as of September 13,
               1994)
 
         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, dated as of September
               13, 1994)
 
         27.1--Financial Data Schedule (filed herewith)
 
        (b) Reports on Form 8-K --None
 <PAGE>
                                 10
<PAGE>
                                   SIGNATURES
 
   Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
 
Diversified Futures Trust I
 
By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner
 
     By: /s/ Steven Carlino                       Date: November 14, 1997
     ----------------------------------------
     Steven Carlino
     Vice President
     Chief Accounting Officer for the Registrant