<PAGE>
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
 
                                   FORM 10-Q
 
(Mark One)
 
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934
 
For the quarterly period ended March 31, 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 
of incorporation or organization)      (I.R.S. Employer Identification No.)
 
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 I. FINANCIAL STATEMENTS
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                        March 31,      December 31,
                                                                          1997             1996
<S>                                                                    <C>             <C>
---------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $71,739,466     $79,506,881
Net unrealized gain on open commodity positions                          1,356,310       1,513,343
                                                                       -----------     ------------
Net equity                                                              73,095,776      81,020,224
Other receivable                                                            56,854          20,607
                                                                       -----------     ------------
Total assets                                                            73,152,630     $81,040,831
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 2,476,793     $ 7,223,685
Management fee payable                                                     243,842         270,136
Incentive fee payable                                                       70,715       2,055,497
                                                                       -----------     ------------
Total liabilities                                                        2,791,350       9,549,318
                                                                       -----------     ------------
Commitments
 
Trust capital
Limited interests (388,122.105 and 401,784.703 interests
  outstanding)                                                          69,657,566      70,776,499
General interests (3,921 and 4,059 interests outstanding)                  703,714         715,014
                                                                       -----------     ------------
Total trust capital                                                     70,361,280      71,491,513
                                                                       -----------     ------------
Total liabilities and trust capital                                    $73,152,630     $81,040,831
                                                                       -----------     ------------
                                                                       -----------     ------------
 
Net asset value per limited and general interests ('Interests')        $    179.47     $    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>
                                                                            Three months ended
                                                                                 March 31,
                                                                        ---------------------------
                                                                            1997            1996
<S>                                                                     <C>              <C>
---------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions                              $2,778,108      $  475,619
Change in net unrealized gain on commodity positions                       (157,033)        (91,140)
Interest income                                                             945,840         649,153
                                                                        ------------     ----------
                                                                          3,566,915       1,033,632
                                                                        ------------     ----------
 
EXPENSES
Commissions                                                               1,411,875       1,026,931
Management fees                                                             737,765         531,213
Incentive fees                                                               70,715              --
                                                                        ------------     ----------
                                                                          2,220,355       1,558,144
                                                                        ------------     ----------
Net income (loss)                                                        $1,346,560      $ (524,512)
                                                                        ------------     ----------
                                                                        ------------     ----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                                                        $1,333,093      $ (520,549)
                                                                        ------------     ----------
                                                                        ------------     ----------
General interests                                                        $   13,467      $   (3,963)
                                                                        ------------     ----------
                                                                        ------------     ----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average limited and general interest      $     3.32      $    (1.43)
                                                                        ------------     ----------
                                                                        ------------     ----------
Weighted average number of limited and general interests outstanding        405,844         367,222
                                                                        ------------     ----------
                                                                        ------------     ----------
---------------------------------------------------------------------------------------------------
</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                                           --       1,333,093       13,467        1,346,560
Redemptions                                 (13,800.598)     (2,452,026)     (24,767 )     (2,476,793)
                                           ------------     -----------     ---------     -----------
Trust capital--March 31, 1997               392,043.105     $69,657,566     $703,714      $70,361,280
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                   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
                                 MARCH 31, 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 March 31, 1997 and
the results of its operations for the three months ended March 31, 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 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, 1996 (the 'Annual Report').
 
   Certain balances for prior periods have been reclassified to conform with
current financial statement presentation.
 
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 March 31, 1997, a non-U.S. affiliate of the Managing Owner owns 4,819
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.
 
                                       4
<PAGE>
   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 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 March 31, 1997 and December 31, 1996,
such segregated assets totalled $60,718,583 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 $12,950,218 and
$26,551,088 at March 31, 1997 and December 31, 1996, respectively. There are no
segregation requirements for assets related to forward trading.
 
   As of March 31, 1997 and December 31, 1996, the Trust's open futures and
forward contracts mature within one year.
 
   At March 31, 1997 and December 31, 1996, gross contract amounts of open
futures and forward contracts are:
 
<TABLE>
<CAPTION>
                                       March 31,      December 31,
                                          1997            1996
                                      ------------    ------------
<S>                                   <C>             <C>
Financial Futures Contracts:
  Commitments to purchase             $ 36,054,823    $246,536,386
  Commitments to sell                  390,059,564      85,149,239
Currency Forward Contracts:
  Commitments to purchase                4,909,749      55,393,671
  Commitments to sell                   58,143,906      61,497,457
Other Futures Contracts:
  Commitments to purchase                5,750,434       6,735,960
  Commitments to sell                    9,008,239      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, forward and options contracts
to be the net unrealized gain or loss on the contracts (plus premiums on
options). 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 March 31, 1997 and December 31, 1996, the fair value of futures and
forward contracts were:
 
<TABLE>
<CAPTION>
                                                  March 31, 1997               December 31, 1996
                                            --------------------------     --------------------------
                                                    Fair Value                     Fair Value
                                            --------------------------     --------------------------
                                              Assets       Liabilities       Assets       Liabilities
                                            ----------     -----------     ----------     -----------
<S>                                         <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                              $  819,600     $   --          $   66,450     $   175,344
     Other                                     975,090          62,690      1,219,801          58,011
  Foreign exchanges
     Financial                                 384,063         210,155        542,415         847,344
     Other                                      23,427         --               7,758         --
Forward Contracts:
     Currencies                                233,196         806,221      1,592,852         835,234
                                            ----------     -----------     ----------     -----------
                                            $2,435,376     $ 1,079,066     $3,429,276     $ 1,915,933
                                            ----------     -----------     ----------     -----------
                                            ----------     -----------     ----------     -----------
</TABLE>
 
   The following table presents the average fair value of futures and forward
contracts during the three months ended March 31, 1997 and 1996, respectively.
 
<TABLE>
<CAPTION>
                                                  Three months ended               Three months ended
                                                    March 31, 1997                   March 31, 1996
                                           --------------------------------    --------------------------
<S>                                        <C>               <C>               <C>           <C>
                                                  Average Fair Value               Average Fair Value
                                           --------------------------------    --------------------------
                                               Assets         Liabilities        Assets      Liabilities
                                           --------------    --------------    ----------    ------------
Futures Contracts:
  Domestic exchanges
     Financial                               $  237,920        $   68,581      $  957,488     $    6,581
     Other                                    1,158,505            69,519         673,592        208,091
  Foreign exchanges
     Financial                                  655,706           312,290       1,147,555        104,197
     Other                                        8,158           --                2,351          9,998
Forward Contracts:
     Currencies                               2,449,086         1,114,658       1,898,752        800,068
                                           --------------    --------------    ----------    ------------
                                             $4,509,375        $1,565,048      $4,679,738     $1,128,935
                                           --------------    --------------    ----------    ------------
                                           --------------    --------------    ----------    ------------
</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 March 31, 1997 and 1996, respectively.
 
<TABLE>
<CAPTION>
                                 Three months ended March 31, 1997                     Three months ended March 31, 1996
                        ---------------------------------------------------   ---------------------------------------------------
<S>                     <C>              <C>                    <C>           <C>              <C>                    <C>
                                              Change in                                             Change in
                         Net Realized       Net Unrealized                     Net Realized       Net Unrealized
                        Gains (Losses)       Gains/Losses          Total      Gains (Losses)       Gains/Losses          Total
                        --------------   --------------------   -----------   --------------   --------------------   -----------
Futures Contracts:
  Domestic exchanges
    Financial            $ (1,142,649)       $    928,494       $  (214,155)    $  458,381          $  686,425        $ 1,144,806
    Other                     338,108            (249,390)           88,718       (841,214)           (716,998)        (1,558,212)
  Foreign exchanges
    Financial                (123,451)            478,837           355,386       (425,249)           (316,738)          (741,987)
    Other                       5,955              15,669            21,624        --                  (40,550)           (40,550)
Forward Contracts:
    Currencies              3,700,145          (1,330,643)        2,369,502      1,283,701             296,721          1,580,422
                        --------------   --------------------   -----------   --------------        ----------        -----------
                         $  2,778,108        $   (157,033)      $ 2,621,075     $  475,619          $  (91,140)       $   384,479
                        --------------   --------------------   -----------   --------------        ----------        -----------
                        --------------   --------------------   -----------   --------------        ----------        -----------
</TABLE>
 
                                       6
<PAGE>
D. Subsequent Event
 
   All trading decisions are currently made by John W. Henry & Co., Inc. (the
'Trading Manager'). The Trading Manager has determined that its Yen Financial
Portfolio no longer meets its original investment objectives and therefore, 
terminated its Yen Financial Porfolio effective March 31, 1997. Accordingly, 
as of April 1, 1997, the Managing Owner reallocated assets previously 
traded pursuant to the Yen Financial Portfolio to the Trading Manager's 
G-7 Currency Portfolio, increasing the percentage of the Trust's assets 
allocated to that program by 3%.
 
                                       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 the terms of the offering on August 31, 1996, resulting in additional gross
proceeds to the Trust of $41,129,100.
 
   At March 31, 1997, 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 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 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, forward and
options contracts. The Trust does not have, nor does it expect to have, any
capital assets.
 
   Redemptions of limited interests and general interests for the three months
ended March 31, 1997 were $2,452,026 and $24,767, respectively. Redemptions of
limited and general interests from the commencement of operations, January 5,
1995, to March 31, 1997 were $24,797,142 and $120,547 respectively. Future
redemptions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.
 
   The Trading Manager has determined that its Yen Financial Portfolio no longer
meets its original investment objectives and therefore, terminated its 
Yen Financial Porfolio effective March 31, 1997. Accordingly, as of 
April 1, 1997, the Managing Owner reallocated assets previously traded 
pursuant to the Yen Financial Portfolio to the Trading Manager's G-7 
Currency Portfolio, increasing the percentage of the Trust's assets 
allocated to that program by 3%.
 
Results of Operations
 
   The net asset value per Interest as of March 31, 1997 was $179.47, an
increase of 1.88% from the December 31, 1996 net asset value per Interest of
$176.16.
 
   The Trust's net asset value increased in January due to gains in the
currency, metal, financial, stock index and soft sectors. The energy and grain
sectors incurred losses. Investors' continuing focus on economic fundamentals in
the currency markets drove the U.S. dollar to new highs against the Japanese
yen. The German mark also declined against the dollar as investors became
cautious in the face of bearish news on the German economy. In Britain,
political realities took their toll on the pound, as prospects for an interest
rate hike in Britain weakened, causing the pound to fall. Japanese yen, German
mark, Swiss franc and French franc positions were profitable with losses in the
British pound. In the metal sector, the Trust profited as gold prices declined
to October 1993 levels and investors shifted assets into the booming equity
markets. Copper positions also posted gains. In the financial sector, the U.S.
government bond market was volatile as economic data revived inflation concerns
resulting in losses for the Trust. German, Italian, French,
 
                                       8
<PAGE>
Australian and Japanese bond positions benefited the Trust. In the stock index
sector, Nikkei and SFE positions were profitable as the Japanese stock index
continued its downward trend. In the energy sector, crude oil prices were
volatile caused by the unusual structure of the U.N./Iraq oil agreement which
exaggerated market movements, both up and down. As a result, light crude oil
positions were unprofitable.
 
   The Trust's net asset value decreased in February due to losses in the
financial, metal, energy, stock index and grain sectors. Profits were earned in
the currency and soft sectors. In the financial sector, U.S., Italian,
Australian and Japanese bond positions posted losses. Continued speculation on
the direction of interest rates fueled volatility in the global interest rate
markets. Early in the month, the central banks in Germany, England and the U.S.
announced their intention to keep rates stable, but speculation continued, as
the focus in the U.S. turned immediately to the Federal Reserve's next policy
committee meeting in March. In the metal sector, gold prices rose as the lowest
spot prices since 1993 rekindled demand. Gold also spiked higher on news that
the European Union would not condone the sale of central bank gold reserves to
reduce government budget deficits. Positions in gold were unprofitable. Despite
the best efforts of G-7 nations to talk the U.S. dollar down from its lofty
peaks, defiant market players pushed the greenback to new highs against the
German mark, Japanese yen and Swiss franc. Later in the month, hints by the U.S.
Federal Reserve chairman of a possible interest rate hike sent the dollar
soaring as it seemed the U.S. currency would retain its high-yield status in the
global marketplace. German mark, Swiss franc and French franc positions posted
gains. In the soft sector, coffee and cocoa positions were profitable. The
two-month bull trend in coffee prices continued as unfavorable weather in Brazil
and Colombia threatened 1997-1998 crop production and labor strife curtailed
delivery of supplies.
 
   The Trust's slightly negative performance in March resulted from losses
incurred in the metal, energy, stock index and financial sectors. Profits were
earned in the currency, soft and grain sectors. In the metal sector, losses were
incurred in silver positions. Precious metals were volatile during the month,
partly reflecting uncertainty in world equity markets. In the energy sector,
improving crude oil and natural gas inventories pushed prices down as positions
in natural gas and light crude resulted in losses. Bond markets in the U.S. were
buffeted by economic reports indicating a strengthening economy and a growing
conviction that interest rate hikes would follow. Gains in U.S. bonds were
offset by losses in German, French and British bond positions. In the currency
sector, positions in the Japanese yen made gains as that currency continued to
decline throughout the month, profiting the Trust's short positions. In the
grain sector, positions in corn were profitable as short-term supply concerns
drove prices upward.
 
   Interest income is earned on the net assets held at PSI and, therefore,
varies monthly according to interest rates, trading performance, contributions
and redemptions. Interest income increased approximately $297,000 for the three
months ended March 31, 1997 compared to the corresponding period in 1996. This
increase was primarily due to a higher net equity in the Trust as a result of
additional contributions through the continuous offering period and strong
trading performance in 1997.
 
   Commissions are calculated on the Trust's net asset value at the beginning of
the month and, therefore, vary according to trading performance, contributions
and redemptions. Commissions for the three months ended March 31, 1997 increased
approximately $385,000 compared to the corresponding period in 1996. This
increase was primarily due to a higher monthly net asset values as a result of
additional contributions and strong trading performance since the second quarter
of 1996.
 
   All trading decisions for the Trust are made by John W. Henry & Co., 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 three months
ended March 31, 1997 increased approximately $207,000 compared to the
corresponding period 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 three months ended March 31, 1997 were the result of
favorable trading performance during that period. No incentive fees were
generated during the three months ended March 31, 1996.
 
                                       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: May 15, 1997
     ----------------------------------------
     Steven Carlino
     Vice President
     Chief Accounting Officer for the Registrant
 
                                       11