<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, 1998
 
                                       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, 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,
                                                                          1998             1997
<S>                                                                    <C>             <C>
---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $61,397,393     $65,565,864
Net unrealized (loss) gain on open commodity positions                  (2,479,718)      4,447,026
                                                                       -----------     ------------
Net equity                                                              58,917,675      70,012,890
Other receivables                                                           26,486          11,866
                                                                       -----------     ------------
Total assets                                                           $58,944,161     $70,024,756
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 4,112,931     $ 1,973,508
Management fee payable                                                     196,480         233,415
Incentive fee payable                                                      --              305,704
                                                                       -----------     ------------
Total liabilities                                                        4,309,411       2,512,627
                                                                       -----------     ------------
Commitments
 
Trust capital
Limited interests (316,084.299 and 348,652.217 interests
  outstanding)                                                          54,088,364      66,836,959
General interests (3,193 and 3,522 interests outstanding)                  546,386         675,170
                                                                       -----------     ------------
Total trust capital                                                     54,634,750      67,512,129
                                                                       -----------     ------------
Total liabilities and trust capital                                    $58,944,161     $70,024,756
                                                                       -----------     ------------
                                                                       -----------     ------------
 
Net asset value per limited and general interests ('Interests')        $    171.12     $    191.70
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
                 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,
                                            ---------------------------     ---------------------------
                                               1998            1997            1998            1997
<S>                                         <C>             <C>             <C>             <C>
-------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
  transactions                              $ 1,710,485     $(1,198,863)    $ 2,231,773     $(3,976,971)
Change in net unrealized gain/loss on
  open commodity positions                   (6,926,744)        280,886      (4,274,261)        437,919
Interest income                               1,722,775       1,901,374         816,115         955,534
                                            -----------     -----------     -----------     -----------
                                             (3,493,484)        983,397      (1,226,373)     (2,583,518)
                                            -----------     -----------     -----------     -----------
 
EXPENSES
Commissions                                   2,438,613       2,737,520       1,166,030       1,325,645
Management fees                               1,238,866       1,408,937         593,848         671,172
Incentive fees                                  --               70,715         --              --
                                            -----------     -----------     -----------     -----------
                                              3,677,479       4,217,172       1,759,878       1,996,817
                                            -----------     -----------     -----------     -----------
Net loss                                    $(7,170,963)    $(3,233,775)    $(2,986,251)    $(4,580,335)
                                            -----------     -----------     -----------     -----------
                                            -----------     -----------     -----------     -----------
ALLOCATION OF NET LOSS
Limited interests                           $(7,099,244)    $(3,201,432)    $(2,956,382)    $(4,534,525)
                                            -----------     -----------     -----------     -----------
                                            -----------     -----------     -----------     -----------
General interests                           $   (71,719)    $   (32,343)    $   (29,869)    $   (45,810)
                                            -----------     -----------     -----------     -----------
                                            -----------     -----------     -----------     -----------
NET LOSS PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net loss per weighted average limited and
  general interest                          $    (20.62)    $     (8.11)    $     (8.70)    $    (11.68)
                                            -----------     -----------     -----------     -----------
                                            -----------     -----------     -----------     -----------
Weighted average number of limited and
  general interests outstanding                 347,743         398,943         343,313         392,043
                                            -----------     -----------     -----------     -----------
                                            -----------     -----------     -----------     -----------
-------------------------------------------------------------------------------------------------------
</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, 1997            352,174.217     $66,836,959     $675,170      $67,512,129
Net loss                                             --      (7,099,244)     (71,719 )     (7,170,963)
Redemptions                                 (32,896.918)     (5,649,351)     (57,065 )     (5,706,416)
                                           ------------     -----------     ---------     -----------
Trust capital--June 30, 1998                319,277.299     $54,088,364     $546,386      $54,634,750
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                  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, 1998
                                  (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, 1998 and
the results of its operations for the six and three months ended June 30, 1998
and 1997. 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, 1997 (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. As described in the Annual Report, all commissions for
brokerage services are paid to PSI.
 
   The Trust maintains its trading and cash accounts at PSI, the Trust's
commodity broker. Except for the portion of assets that is deposited as margin
to maintain forward currency contract positions as further discussed below, the
Trust's assets are maintained either on deposit with PSI 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 net
assets in these accounts.
 
   The Trust, acting through its trading manager, executes over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets, Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions.
PBGM keeps its prices on foreign currency competitive with other interbank
currency trading desks. All over-the-counter currency transactions are conducted
between PSI and the Trust pursuant to a line of credit. PSI may require that
collateral be posted against the marked-to-market position of the Trust.
 
   As of June 30, 1998, a non-U.S. affiliate of the Managing Owner owns
3,171.249 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 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 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
 
                                       4
<PAGE>
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 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, 1998 and December 31, 1997, such segregated assets totalled
$24,476,235 and $32,697,304, respectively. Part 30.7 of the CFTC regulations
also requires PSI to secure assets of the Trust related to foreign futures
trading which totalled $37,499,342 and $36,591,632 at June 30, 1998 and December
31, 1997, respectively. There are no segregation requirements for assets related
to forward trading.
 
   As of June 30, 1998, the Trust's open futures and forward contracts mature
within one year.
 
   At June 30, 1998 and December 31, 1997, gross contract amounts of open
futures and forward contracts are:
 
<TABLE>
<CAPTION>
                                          1998            1997
                                      ------------    ------------
<S>                                   <C>             <C>
Financial Futures Contracts:
  Commitments to purchase             $769,092,814    $323,162,224
  Commitments to sell                  185,443,722     164,238,663
Currency Forward Contracts:
  Commitments to purchase               14,607,508      19,553,488
  Commitments to sell                   83,541,499      80,175,259
Other Futures Contracts:
  Commitments to purchase                  859,640       9,518,584
  Commitments to sell                   30,229,649      32,427,955
</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.
 
                                       5
<PAGE>
   At June 30, 1998 and December 31, 1997, the fair value of open futures and
forward contracts were:
 
<TABLE>
<CAPTION>
                                                       1998                           1997
                                            --------------------------     --------------------------
                                              Assets       Liabilities       Assets       Liabilities
                                            ----------     -----------     ----------     -----------
<S>                                         <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                              $  681,456     $   118,425     $  436,575     $        --
     Other                                     475,559         423,158      2,522,268         137,955
  Foreign exchanges
     Financial                                 889,567         969,216      1,204,856         371,572
     Other                                      85,301          42,900         72,375           3,475
Forward Contracts:
     Currencies                                119,583       3,177,485      1,538,801         814,847
                                            ----------     -----------     ----------     -----------
                                            $2,251,466     $ 4,731,184     $5,774,875     $ 1,327,849
                                            ----------     -----------     ----------     -----------
                                            ----------     -----------     ----------     -----------
</TABLE>
 
   The following table presents the average fair value of futures and forward
contracts during the six months ended June 30, 1998 and 1997, respectively.
 
<TABLE>
<CAPTION>
                                                         1998                             1997
                                           --------------------------------    --------------------------
<S>                                        <C>               <C>               <C>           <C>
                                               Assets         Liabilities        Assets      Liabilities
                                           --------------    --------------    ----------    ------------
Futures Contracts:
  Domestic exchanges
     Financial                               $  428,000            96,430      $  287,915     $   45,725
     Other                                      960,349           268,223       1,067,648        112,232
  Foreign exchanges
     Financial                                1,358,431           384,691         782,605        467,104
     Other                                       64,787            24,075          18,094        --
Forward Contracts:
     Currencies                               1,387,980         1,549,006       1,907,397      1,538,348
                                           --------------    --------------    ----------    ------------
                                             $4,199,547        $2,322,425      $4,063,659     $2,163,409
                                           --------------    --------------    ----------    ------------
                                           --------------    --------------    ----------    ------------
</TABLE>
 
   The following table presents the average fair value of futures and forward
contracts during the three months ended June 30, 1998 and 1997, respectively.
 
<TABLE>
<CAPTION>
                                                         1998                             1997
                                           --------------------------------    --------------------------
<S>                                        <C>               <C>               <C>           <C>
                                               Assets         Liabilities        Assets      Liabilities
                                           --------------    --------------    ----------    ------------
Futures Contracts:
  Domestic exchanges
     Financial                               $  238,536        $  168,752      $  470,831     $   11,438
     Other                                      605,491           298,260         953,652        142,559
  Foreign exchanges
     Financial                                1,001,573           415,303         809,869        557,681
     Other                                       57,416            31,108          29,363             --
Forward Contracts:
     Currencies                               1,653,962         1,251,653         947,158      1,779,007
                                           --------------    --------------    ----------    ------------
                                             $3,556,978        $2,165,076      $3,210,873     $2,490,685
                                           --------------    --------------    ----------    ------------
                                           --------------    --------------    ----------    ------------
</TABLE>
                                       6
<PAGE>
   The following table presents the trading revenues from futures and forward
contracts during the six months ended June 30, 1998 and 1997, respectively.
 
<TABLE>
<CAPTION>
                                                       1998           1997
                                                    -----------     ---------
                        <S>                         <C>             <C>
                        Futures Contracts:
                          Domestic exchanges
                             Financial              $(1,159,942)    $(386,913)
                             Other                      238,057      (295,592)
                          Foreign exchanges
                             Financial               (1,129,328)      (17,392)
                             Other                   (1,224,052)       86,782
                        Forward Contracts:
                             Currencies              (1,940,994)     (304,862)
                                                    -----------     ---------
                                                    $(5,216,259)    $(917,977)
                                                    -----------     ---------
                                                    -----------     ---------
</TABLE>
 
   The following table presents the trading revenues from futures and forward
contracts during the three months ended June 30, 1998 and 1997, respectively.
 
<TABLE>
<CAPTION>
                                     1998            1997
                                  -----------     -----------
<S>                               <C>             <C>
Futures Contracts:
  Domestic exchanges
     Financial                    $  (693,470)    $  (172,758)
     Other                             74,829        (384,310)
  Foreign exchanges
     Financial                       (646,056)       (372,778)
     Other                             50,274          65,158
Forward Contracts:
     Currencies                      (828,065)     (2,674,364)
                                  -----------     -----------
                                  $(2,042,488)     (3,539,052)
                                  -----------     -----------
                                  -----------     -----------
</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, 1998, 100% of the Trust's net assets were allocated to commodity
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 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 contract
(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 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,
1998 were $5,649,351 and $4,071,690, respectively. Redemptions of general
interests for the six and three months ended June 30, 1998 were $57,065 and
$41,241, respectively. Redemptions of limited and general interests from
commencement of operations, January 5, 1995 to June 30, 1998 totalled
$37,406,618 and $247,970, 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, 1998 was $171.12, a decrease
of 10.74% from the December 31, 1997 net asset value per Interest of $191.70.
 
   April was a difficult month as the Trust incurred losses in the financial,
currency, metal and energy sectors. Profits were achieved in the soft, grain,
meat and index sectors. Early in the month, 30-year U.S. Treasury bond yields
approached record lows, driving prices higher. On April 28th, the market
suffered what seemed to be a major setback on a report that Federal Reserve
policy makers were leaning toward a rate hike causing bond prices to fall. Mild
inflation data released on April 29th sent bond prices soaring again, pushing
the yield back below 6%. In Europe, bond yields, which had been declining for
much of the first quarter, rose in April, resulting in losses in most positions
held. Within the currency sector, the largest losing position for the Trust was
the deutsche mark as it rose against the U.S. dollar, reflecting expectations of
a German tax hike. Long positions in the Australian dollar performed poorly as
the Aussie dollar succumbed to the worsening economic picture for Asia. Swiss
franc positions lost value as well. On a positive note, the Trust slightly
offset losses with gains in the soft sector as it took advantage of a five-year
low in sugar prices caused by expectations of a large Brazillian crop. Positions
in coffee were also profitable. Corn and wheat contracts provided gains in the
grain sector.
 
                                       8
<PAGE>
   May trading was profitable for the Trust as profits were achieved in the
financial, currency, energy and grain sectors. Losses were incurred in the
metal, index, soft and meat sectors. In the financial sector, the Japanese
Government bond (JGB) reached record highs as it rose in response to reports
that the end of economic problems in Japan was not yet readily apparent. This
rally profited the Trust's long JGB position. A strong U.S. dollar caused the
U.S. 30-year Treasury bond to rise throughout the month resulting in profits.
Positions in Australian 3-year and 30-year bonds also fared well. Damaged by
continuous bank failings and other negative news, the Japanese yen continued to
decline versus the U.S. dollar. During the month, skeptical investors drove the
yen to a seven-year low, profiting the Trust's short positions. Short Australian
dollar positions gained as it followed its economic neighbors lower throughout
the month. Long gold positions in the metal sector lost value as gold prices
declined during the month due to a decrease in demand. Copper positions also
resulted in net losses. Index sector positions were unprofitable for the Trust
in May, particularly short positions in the Japanese Nikkei as it rallied during
the month. Cotton and coffee positions were unprofitable in the grain sector as
were live cattle positions in the meat sector.
 
   June trading was unprofitable for the Trust as losses were incurred in the
currency, financial, metal, index and grain sectors. Gains were experienced in
the energy, soft and meat sectors. In the currency sector, as concerns grew over
the worsening economic picture in Russia, the value of the deutsche mark fell
versus the U.S. dollar. This initiated a flight to the safety of the British
pound driving it higher versus the U.S. dollar. This shift was unprofitable for
the Trust. The Trust also lost in British pound/German deutsche mark and
deutsche mark/Japanese yen crossrate positions. In the financial sector,
unprofitable positions in the Japanese Government bond led to losses as the
yield rose from record lows following the United State's currency intervention
to support the yen. The yen's reversal also had a negative impact on Australian
ten-year and three-year bonds as well as Eurodollar bonds. With the exception of
a selloff near mid-month, the prices of both silver and gold advanced throughout
the month, resulting in losses for the Trust. Helping offset losses were gains
experienced in short energy sector positions as prices fell on a general
skepticism as to whether or not certain OPEC countries would meet the planned
cutbacks. During the month, the price of coffee reached an 18-month low on
indications of an abundant supply profiting the Trust's short positions. Trading
in cotton led to gains as well.
 
   Interest income is earned on net assets held at PSI and, therefore, varies
monthly according to interest rates, trading performance, and redemptions.
Interest income decreased approximately $179,000 and $139,000 for the six and
three months ended June 30, 1998 compared to the corresponding periods in 1997.
These decreases were primarily due to a lower net assets in the Trust as a
result of redemptions and weak trading performance during 1998.
 
   Commissions are calculated on the Trust's net asset value at the beginning of
the month and, therefore, vary according to trading performance and redemptions.
Commissions for the six and three months ended June 30, 1998 decreased
approximately $299,000 and $160,000 compared to the corresponding periods in
1997. These decreases were primarily due to lower monthly net asset values as a
result of redemptions and weak trading performance during 1998.
 
   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, 1998 decreased approximately $170,000 and $77,000 compared to the
corresponding periods in 1997 for the same reasons commissions decreased 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 among the Trust, the
Managing Owner and the Trading Manager. Incentive fees of approximately $71,000
generated during the three months ended March 31, 1997 were the result of
favorable trading performance during that period. No incentive fees were
generated during the six and three months ended June 30, 1998.
 
                                       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
 
                                       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: August 13, 1998
     ----------------------------------------
     Steven Carlino
     Vice President
     Chief Accounting Officer for the Registrant
 
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