<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, 2000

                                       OR

/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934

For the transition period from _______________________ to ______________________

Commission file number: 0-26004

                          DIVERSIFIED FUTURES TRUST I
--------------------------------------------------------------------------------
             (Exact name of Registrant as specified in its charter)

Delaware                                             13-3780260
--------------------------------------------------------------------------------
(State or other jurisdiction of         (I.R.S. Employer Identification No.)
incorporation or organization)


One New York Plaza, 13th Floor, New York, New York       10292
--------------------------------------------------------------------------------
(Address of principal executive offices)               (Zip Code)

Registrant's telephone number, including area code (212) 778-7866

                                      N/A
--------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report

   Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_  No __

<PAGE>
                         PART I. FINANCIAL INFORMATION
                          ITEM I. FINANCIAL STATEMENTS
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                      September 30,     December 31,
                                                                          2000              1999
<S>                                                                   <C>               <C>
----------------------------------------------------------------------------------------------------
ASSETS
Cash                                                                   $26,830,547      $43,317,270
Net unrealized gain (loss) on open futures contracts                      (776,957)       1,417,732
Net unrealized gain on open forward contracts                                   --           49,621
Other receivables                                                           17,713            8,209
                                                                      -------------     ------------
Total assets                                                           $26,071,303      $44,792,832
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 2,376,132      $ 4,079,581
Net unrealized loss on open forward contracts                              860,196               --
Management fees payable                                                     84,037          149,309
                                                                      -------------     ------------
Total liabilities                                                        3,320,365        4,228,890
                                                                      -------------     ------------
Commitments

Trust capital
Limited interests (167,077.941 and 231,028.868 interests
  outstanding)                                                          22,523,382       40,158,237
General interests (1,688 and 2,334 interests outstanding)                  227,556          405,705
                                                                      -------------     ------------
Total trust capital                                                     22,750,938       40,563,942
                                                                      -------------     ------------
Total liabilities and trust capital                                    $26,071,303      $44,792,832
                                                                      -------------     ------------
                                                                      -------------     ------------

Net asset value per limited and general interest ('Interests')         $    134.81      $    173.82
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
</TABLE>
           The accompanying notes are an integral part of these statements.

                                       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,
                                             ---------------------------    ---------------------------
                                                2000            1999           2000            1999
<S>                                          <C>             <C>            <C>             <C>
-------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
  transactions                               $(3,493,376)    $ 8,641,581    $  (481,645)    $ 1,438,185
Change in net unrealized gain/loss on open
  commodity positions                         (3,104,506)     (7,129,491)    (1,801,438)     (5,506,945)
Interest income                                1,520,846       2,032,452        459,483         716,092
                                             -----------     -----------    -----------     -----------
                                              (5,077,036)      3,544,542     (1,823,600)     (3,352,668)
                                             -----------     -----------    -----------     -----------
EXPENSES
Commissions                                    1,962,566       3,271,001        524,779       1,074,932
Management fees                                  989,472       1,689,171        263,026         540,045
Incentive fees                                        --         252,445             --              --
                                             -----------     -----------    -----------     -----------
                                               2,952,038       5,212,617        787,805       1,614,977
                                             -----------     -----------    -----------     -----------
Net loss                                     $(8,029,074)    $(1,668,075)   $(2,611,405)    $(4,967,645)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
ALLOCATION OF NET LOSS
Limited interests                            $(7,948,770)    $(1,651,382)   $(2,585,290)    $(4,917,961)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
General interests                            $   (80,304)    $   (16,693)   $   (26,115)    $   (49,684)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
NET LOSS PER WEIGHTED AVERAGE LIMITED AND
  GENERAL INTEREST
Net loss per weighted average limited and
  general interest                           $    (38.35)    $     (5.96)   $    (14.01)    $    (18.60)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
Weighted average number of limited and
  general interests outstanding                  209,366         279,775        186,392         267,061
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------

-------------------------------------------------------------------------------------------------------
</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, 1999            233,362.868     $40,158,237     $405,705      $40,563,942
Net loss                                                     (7,948,770)     (80,304 )     (8,029,074)
Redemptions                                 (64,596.927)     (9,686,085)     (97,845 )     (9,783,930)
                                           ------------     -----------     ---------     -----------
Trust capital--September 30, 2000           168,765.941     $22,523,382     $227,556      $22,750,938
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------

-----------------------------------------------------------------------------------------------------
</TABLE>
            The accompanying notes are an integral part of these statements.

                                       3

<PAGE>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
                               SEPTEMBER 30, 2000
                                  (Unaudited)

A. General

   These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the
financial statements contain all adjustments (consisting of only normal
recurring adjustments) necessary to present fairly the financial position of
Diversified Futures Trust I (the 'Trust') as of September 30, 2000 and the
results of its operations for the nine and three months ended September 30, 2000
and 1999. 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, 1999.

New Accounting Guidance

   In June 2000, the Financial Accounting Standards Board ('FASB') issued
Statement No. 138, Accounting for Certain Derivative Instruments and Certain
Hedging Activities--an amendment of FASB Statement No. 133 ('SFAS 138'), which
became effective for the Trust on July 1, 2000. SFAS 138 amends the accounting
and reporting standards of FASB Statement No. 133 for certain derivative
instruments and certain hedging activities. SFAS 138 has not had a material
effect on the carrying value of assets and liabilities within the financial
statements.

B. Related Parties

   The Managing Owner of the Trust is a wholly owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is a wholly owned subsidiary of
Prudential Securities Group Inc. 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 as well as the Trust's routine operational,
administrative, legal and auditing costs.

   The costs charged to the Trust for brokerage services for the nine months
ended September 30, 2000 and 1999 were $1,962,566 and $3,271,001, respectively,
and for the three months ended September 30, 2000 and 1999 were $524,779 and
$1,074,932, respectively.

   The Trust's assets are maintained either in trading or cash accounts at PSI,
the Trust's commodity broker, or for margin purposes, with the various exchanges
on which the Trust is permitted to trade. PSI credits the Trust monthly with
100% of the interest it earns on the average net assets in the Trust's accounts.

   The Trust, acting through its trading manager, executes over-the-counter,
spot, forward and/or option foreign exchange transactions with PSI. PSI then
engages in back-to-back trading with an affiliate, Prudential-Bache Global
Markets, Inc. ('PBGM'). PBGM attempts to earn a profit on such transactions.
PBGM keeps its prices on foreign currency competitive with other interbank
currency trading desks. All over-the-counter currency transactions are conducted
between PSI and the Trust pursuant to a line of credit. PSI may require that
collateral be posted against the marked-to-market positions of the Trust.

   As of September 30, 2000, a non-U.S. affiliate of the Managing Owner owns
716.938 limited interests of the Trust.

C. Derivative Instruments and Associated Risks

   The Trust is exposed to various types of risks associated with the derivative
instruments and related markets in which it invests. These risks include, but
are not limited to, risk of loss from fluctuations in the

                                       4

<PAGE>
value of derivative instruments held (market risk) and the inability of
counterparties to perform under the terms of the Trust's investment activities
(credit risk).

Market Risk

   Trading in futures and forward (including foreign exchange transactions)
contracts involves entering into contractual commitments to purchase or sell a
particular commodity at a specified date and price. The gross or face amount of
the contracts, which is typically many times that of the Trust's net assets
being traded, significantly exceeds the Trust's future cash requirements since
the Trust intends to close out its open positions prior to settlement. As a
result, the Trust is generally subject only to the risk of loss arising from the
change in the value of the contracts. As such, the Trust considers the 'fair
value' of its derivative instruments to be the net unrealized gain or loss on
the contracts. The market risk associated with the Trust's commitments to
purchase commodities is limited to the gross or face amount of the contracts
held. However, when the Trust enters into a contractual commitment to sell
commodities, it must make delivery of the underlying commodity at the contract
price and then repurchase the contract at prevailing market prices. Since the
repurchase price to which a commodity can rise is unlimited, entering into
commitments to sell commodities exposes the Trust to unlimited risk.

   Market risk is influenced by a wide variety of factors including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments the Trust holds and the liquidity and inherent
volatility of the markets in which the Trust trades.

Credit Risk

   When entering into futures or forward contracts, the Trust is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded in the United States and on most
foreign futures exchanges is the clearinghouse associated with such exchanges.
In general, clearinghouses are backed by the corporate members of the
clearinghouse who are required to share any financial burden resulting from the
non-performance by one of its members and, as such, should significantly reduce
this credit risk. In cases where the clearinghouse is not backed by the clearing
members (i.e., some foreign exchanges), it is normally backed by a consortium of
banks or other financial institutions. On the other hand, the sole counterparty
to the Trust's forward transactions is PSI, the Trust's commodity broker. The
Trust has entered into a master netting agreement with PSI and, as a result,
presents unrealized gains and losses on open forward positions as a net amount
in the statements of financial condition. The amount at risk associated with
counterparty non-performance of all of the Trust's contracts is the net
unrealized gain included in the statements of financial condition. There can be
no assurance that any counterparty, clearing member or clearinghouse will meet
its obligations to the Trust.

   The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust and its trading manager to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties (currently,
PSI is the sole counterparty or broker); limiting the amount of margin or
premium required for any one commodity or all commodities combined; and
generally limiting transactions to contracts which are traded in sufficient
volume to permit the taking and liquidating of positions. Additionally, pursuant
to the Advisory Agreement among the Trust, the Managing Owner and the trading
manager, the Trust shall automatically terminate the trading manager if the net
asset value allocated to the trading manager declines by 33 1/3% from the value
at the beginning of any year or since the commencement of trading activities.
Furthermore, the Amended and Restated Declaration of Trust and Trust Agreement
provides that the Trust will liquidate its positions, and eventually dissolve,
if the Trust experiences a decline in the net asset value of 50% from the value
at the beginning of any year or since the commencement of trading activities. In
each case, the decline in net asset value is after giving effect for
distributions and redemptions. The Managing Owner may impose additional
restrictions (through modifications of 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 September 30, 2000, such

                                       5

<PAGE>
segregated assets totalled $20,570,262. Part 30.7 of the CFTC regulations also
requires PSI to secure assets of the Trust related to foreign futures trading
which totalled $5,483,328 at September 30, 2000. There are no segregation
requirements for assets related to forward trading.

   As of September 30, 2000, the Trust's open futures and forward contracts
mature within one year.

   At September 30, 2000 and December 31, 1999, the fair value of open futures
and forward contracts was:

<TABLE>
<CAPTION>
                                            2000                                    1999
                            -------------------------------------   -------------------------------------
                                 Assets            Liabilities           Assets            Liabilities
                            -----------------   -----------------   -----------------   -----------------
<S>                         <C>                 <C>                 <C>                 <C>
Futures Contracts:
  Domestic exchanges
     Interest rates             $ 155,280          $    79,782         $   565,484          $      --
     Stock indices                 12,000                   --                  --                 --
     Currencies                   165,800              945,350             664,038            212,790
     Commodities                  281,587               45,802             376,057            277,867
  Foreign exchanges
     Interest rates                34,335              522,026             254,975            151,117
     Stock indices                178,707               25,292             112,677                 --
     Commodities                   96,689               83,103             111,455             25,180
Forward Contracts:
  Currencies                        1,338              861,534             157,101            107,480
                            -----------------   -----------------   -----------------   -----------------
                                $ 925,736          $ 2,562,889         $ 2,241,787          $ 774,434
                            -----------------   -----------------   -----------------   -----------------
                            -----------------   -----------------   -----------------   -----------------
</TABLE>

D. Subsequent Event

   On October 1, 2000, the Advisory Agreement among the Trust, the Managing
Owner and the trading manager was amended. The new agreement reduces the monthly
management fee paid to the trading manager from 1/3 of 1% (a 4% annual rate) of
the Trust's net asset value to 1/6 of 1% (a 2% annual rate). Additionally, if
the trading manager recoups its cumulative trading losses to date and achieves a
new trading high, the trading manager will earn a 20% incentive fee as compared
to a 15% incentive fee previously paid.

                                       6

<PAGE>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
           ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
                      CONDITION AND RESULTS OF OPERATIONS

Liquidity and Capital Resources

   The Trust commenced operations on January 5, 1995 with gross proceeds of
$25,262,800 allocated to commodities trading. The Trust continued to offer
Interests on a monthly basis until the continuous offering period ended on
August 31, 1996, resulting in additional gross proceeds to the Trust of
$41,129,100.

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last day of any full calendar quarter at the then current net asset
value per Interest. Redemptions of limited interests and general interests for
the nine months ended September 30, 2000 were $9,686,085 and $97,845,
respectively; for the three months ended September 30, 2000 were $2,352,405 and
$23,727, respectively; and from the commencement of operations, January 5, 1995,
to September 30, 2000 totalled $63,513,516 and $511,635, respectively. Future
redemptions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.

   At September 30, 2000, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
100% of the interest it earns on the average net assets in these accounts.

   The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as 'daily limits.' During
a single day, no trades may be executed at prices beyond the daily limit. Once
the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Trust from promptly liquidating its commodity
futures positions.

   Since the Trust's business is to trade futures and forward contracts, its
capital is at risk due to changes in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contracts
(credit risk). The Trust's exposure to market risk is influenced by a number of
factors including the volatility of interest rates and foreign currency exchange
rates, the liquidity of the markets in which the contracts are traded and the
relationships among the contracts held. The inherent uncertainty of the Trust's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond the Trust's experience to
date and could ultimately lead to a loss of all or substantially all of
investors' capital. The Managing Owner attempts to minimize these risks by
requiring the Trust and its trading manager to abide by various trading
limitations and policies which include limiting margin amounts, trading only in
liquid markets and utilizing stop loss provisions. See Note C to the financial
statements for a further discussion on the credit and market risks associated
with the Trust's futures and forward contracts.

   The Trust does not have, nor does it expect to have, any capital assets.

Results of Operations

   The net asset value per Interest as of September 30, 2000 was $134.81, a
decrease of 22.44% from the December 31, 1999 net asset value per Interest of
$173.82, and a decrease of 9.41% from the June 30, 2000 net asset value per
Interest of $148.82.

   The Trust's gross trading gains/(losses) were ($6,598,000) and ($2,283,000)
during the nine and three months ended September 30, 2000 compared to $1,512,000
and ($4,069,000) for the corresponding periods in the prior year. Due to the
nature of the Trust's trading activities, a period to period comparison of its
trading results is not meaningful. However, a detailed discussion of the Trust's
current quarter trading results is presented below.

                                       7

<PAGE>
Quarterly Market Overview

   U.S. economic activity expanded at a moderate pace at the beginning of the
third quarter and showed signs of slowing down near quarter-end. Growth in
consumer spending slowed from the outsized gains earlier in the year, and sales
of new homes dropped from earlier highs. However, business spending continued to
surge and industrial production trended upward. Even though expansion in
employment slowed considerably in recent months, labor markets remained tight by
historical standards and some measures of labor compensation continued to
accelerate. The recent decrease in consumer spending resulted from moderate
growth of real disposable income in recent months coupled with dips in stock
market valuation. Nevertheless, consumer sentiment continued to be buoyant.
Consumer prices, as measured by the CPI, increased in June in response to a
surge in energy prices, but climbed only modestly in July and August.

   U.S. Treasury markets were choppy throughout the quarter but ended slightly
higher, while Japanese government bonds fell sharply on news of a 25 basis point
rate hike. The U.S. Federal Reserve Bank maintained interest rates at 6.50%
throughout the quarter due to increasing indications of a slow down in aggregate
demand and rising productivity. Conversely, there was a shift by other European
and Asian central banks toward tighter domestic monetary policy. At its monetary
policy meeting held in August, the Bank of Japan (BOJ) decided to raise rates
from 0% to 0.25%. In February 1999, the BOJ adopted a zero interest rate policy,
unprecedented both in and out of Japan, to counter the possibility of mounting
deflationary pressure and prevent further deterioration of Japan's economy. Over
the past year and a half, Japan's economy substantially improved; consequently,
the BOJ felt confident that Japan's economy had reached the stage where
deflation was no longer an immediate threat.

   The BOJ's increase in short-term interest rates in August caused the yen to
rally sharply against the British pound and U.S. dollar. The U.S. dollar was
strong against most major currencies at the beginning of the quarter. The end of
September brought a sharp reversal to this trend following intervention by the
G-7 central banks to support the euro. This move drove the euro up 5% against
the U.S. dollar and the Japanese yen. The euro surged to a high of above $0.90
after the initial wave of euro buying before settling down more than $0.02 below
its intervention peaks.

   Global equity markets experienced choppiness in July and August before
declining in September. This was due to growing concern over near record energy
costs and warnings of earning shortfalls, particularly from U.S. technology
companies.

   Energy prices continued their upward trend throughout the quarter. In August,
the American Petroleum Institute reported that crude inventories were at a
24-year low and by month's end the price per barrel had moved to over $33. On
September 22nd, the U.S. announced that it would release 30 million barrels of
oil from the U.S. strategic petroleum reserve over the next month in an effort
to cap surging energy prices; crude oil prices fell by $2 a barrel.

Quarterly Trust Performance

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

   Interest Rates (-): Losses were incurred in long domestic, European and
Japanese bond positions. The Japanese government bond was the largest
contributor to negative performance as prices fell in the wake of the BOJ's
decision to abandon its zero-interest rate policy and raise rates 25 basis
points.

   Stock Indices (-): Long positions in the European DAX, S&P 500 and Sydney
Futures Exchange resulted in losses as markets fell in the wake of growing
concerns over near record energy costs and slowing global economies.

   Currencies (-): Long positions in the Swiss franc and euro yielded losses
despite a brief rally after intervention by the European Central Bank and other
G-7 central banks to boost the failing euro. Increasing European productivity
and growth coupled with rising energy prices have been the contributing factors
to weakening foreign currencies.

   Energy (+): Long light crude oil, crude oil and heating oil positions
resulted in gains as the energy sector continued to push prices higher in the
third quarter driven by demand and an uncertain outlook for future production
and supply levels.
                                       8

<PAGE>
   Interest income is earned on the average net assets held at PSI and,
therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased approximately $512,000 and $257,000 for
the nine and three months ended September 30, 2000 compared to the corresponding
periods in 1999. These decreases were primarily due to lower net assets in the
Trust as a result of weak trading performance during 2000 and the second half of
1999 and redemptions offset, in part, by higher interest rates during the
current year.

   Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance and
redemptions. Commissions for the nine and three months ended September 30, 2000
decreased approximately $1,308,000 and $550,000 compared to the corresponding
periods in 1999. These decreases were primarily due to lower monthly net asset
values as a result of weak trading performance during 2000 and the second half
of 1999 and redemptions.

   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 nine and three months ended
September 30, 2000 decreased approximately $700,000 and $277,000 compared to the
corresponding periods in 1999 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. No incentive fees were generated during
the nine months ended September 30, 2000. Incentive fees of $252,000 were
generated during the nine months ended September 30, 1999 due to strong trading
performance during the second quarter of 1999.

   On October 1, 2000, the Advisory Agreement among the Trust, the Managing
Owner and the Trading Manager was amended. The new agreement reduces the monthly
management fee paid to the Trading Manager from 1/3 of 1% (a 4% annual rate) of
the Trust's net asset value to 1/6 of 1% (a 2% annual rate). Additionally, if
the Trading Manager recoups its cumulative trading losses to date and achieves a
new trading high, the Trading Manager will earn a 20% incentive fee as compared
to a 15% incentive fee previously paid.

New Accounting Guidance

   In June 2000, the Financial Accounting Standards Board ('FASB') issued
Statement No. 138, Accounting for Certain Derivative Instruments and Certain
Hedging Activities--an amendment of FASB Statement No. 133 ('SFAS 138'), which
became effective for the Trust on July 1, 2000. SFAS 138 amends the accounting
and reporting standards of FASB Statement No. 133 for certain derivative
instruments and certain hedging activities. SFAS 138 has not had a material
effect on the carrying value of assets and liabilities within the financial
statements.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

   No material changes exist between the period covered by this report and the
Registrant's most recent fiscal year end. Therefore, pursuant to Item 305(c) of
Regulation S-K, information regarding quantitative and qualitative disclosures
about market risk is not required.

                                       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--Effective September 2000, Eleanor L. Thomas was
        elected by the Board of Prudential Securities Futures Management Inc. as
        President replacing Joseph A. Filicetti.

Item 6. (a) Exhibits--

          3.1
         and
          4.1--Amended and Restated Declaration of Trust and Trust Agreement of
               the Registrant dated as of August 25, 1994, as amended and
               restated as of September 14, 1994 (incorporated by reference to
               Exhibits 3.1 and 4.1 of the Registrant's Form 10-Q for the period
               ended September 30, 1994)

          4.2--Subscription Agreement (incorporated by reference to
               Exhibit C to the Registrant's Registration Statement on
               Form S-1, File No. 33-81534)

          4.3--Request for Redemption (incorporated by reference to
               Exhibit D to the Registrant's Registration Statement
               on Form S-1, File No. 33-81534)

         10.9--Amendment to Advisory Agreement, dated as of
               October 1, 2000, among the Registrant,
               Prudential Securities Futures Management Inc.,
               and John W. Heney & Company, Inc. (filed
               herewith)

         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: November 13, 2000
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     Steven Carlino
     Vice President and Treasurer
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