---

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549



---



FORM 10-Q



---



(Mark One)

|x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|- | ---------------------------------------------------------------------------------------



For the quarter ended June 30, 2005



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.)



|                                                                     |  |           
|-------------------------------------------------------------------- |  | ----------
|51 Weaver Street, Building 1 South, 2ndFloor, Greenwich, Connecticut |  | 06831     
|(Address of principal executive offices)                             |  | (Zip Code)



Registrants
telephone number, including area code: (203) 861-1000



---



Indicate by check mark 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  x    No ̈



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



---



---

PART I. FINANCIAL INFORMATION



ITEM 1. FINANCIAL STATEMENTS







---

DIVERSIFIED FUTURES TRUST I



FINANCIAL STATEMENTS



June 30, 2005



---

DIVERSIFIED FUTURES TRUST I

STATEMENTS OF FINANCIAL CONDITION

June 30, 2005 (Unaudited) and December 31,
2004 (Audited)



|                                                                                                           |  |               |            |                   |   |            |  
|---------------------------------------------------------------------------------------------------------- |  | ------------- | ---------- | ----------------- | - | ---------- | -
|                                                                                                           |  | June 30, 2005 |            | December 31, 2004 |  
|ASSETS                                                                                                     |  |               |            |                   |   |            |  
|Cash in commodity trading accounts                                                                         |  | $             | 17,699,409 |                   | $ | 20,394,257 |  
|Net unrealized gain on open futures contracts                                                              |  |               | 407,831    |                   |   | 532,883    |  
|Net unrealized gain (loss) on open forward contracts                                                       |  |               | 370,515    |                   |   | (93,777    | )
|                                                                                                           |  |               |            |                   |   |            |  
|Total assets                                                                                               |  | $             | 18,477,755 |                   | $ | 20,833,363 |  
|                                                                                                           |  |               |            |                   |   |            |  
|LIABILITIES                                                                                                |  |               |            |                   |   |            |  
|Redemptions payable                                                                                        |  | $             | 870,117    |                   | $ | 513,955    |  
|Management fees payable                                                                                    |  |               | 30,783     |                   |   | 41,888     |  
|Commissions payable                                                                                        |  |               | 7,562      |                   |   | 114,332    |  
|                                                                                                           |  |               |            |                   |   |            |  
|Total liabilities                                                                                          |  |               | 908,462    |                   |   | 670,175    |  
|                                                                                                           |  |               |            |                   |   |            |  
|Commitments                                                                                                |  |               |            |                   |   |            |  
|                                                                                                           |  |              
|TRUST CAPITAL                                                                                              |  |               |            |                   |   |            |  
|Limited interests (77,632.876 and 83,974.684 interests outstanding) at June 30, 2005 and December 31, 2004 |  |               | 17,374,583 |                   |   | 19,956,434 |  
|General interests (870 interests outstanding) at June 30, 2005 and December 31, 2004                       |  |               | 194,710    |                   |   | 206,754    |  
|                                                                                                           |  |               |            |                   |   |            |  
|Total trust capital                                                                                        |  |               | 17,569,293 |                   |   | 20,163,188 |  
|                                                                                                           |  |               |            |                   |   |            |  
|Total liabilities and trust capital                                                                        |  | $             | 18,477,755 |                   | $ | 20,833,363 |  
|                                                                                                           |  |               |            |                   |   |            |  



See accompanying notes.



-2-



---

DIVERSIFIED FUTURES TRUST I

CONDENSED SCHEDULES OF INVESTMENTS

June 30, 2005 (Unaudited) and December 31,
2004 (Audited)



|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|--------------------------------------------------------- |  | -------------------------------------------------- | -- |  | ------------------------- | -------- | - | -------------------------------------------------- | ----- | -- | -------------------------- | - | -------- | -
|                                                          |  | June 30, 2005                                      |    |  | December 31, 2004         |         
|                                                          |  | Net Unrealized Gain (Loss) as a % of Trust Capital |    |  | Net UnrealizedGain (Loss) |          |   | Net Unrealized Gain (Loss) as a % of Trust Capital |       |    | Net Unrealized Gain (Loss) |  
|Futures and Forward Contracts                             |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Futures contracts purchased:                              |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Commodities                                               |  | (1.47                                              | )% |  | $                         | (258,122 | ) |                                                    | 1.12  | %  |                            | $ | 226,555  |  
|Currencies                                                |  | 0.05                                               | %  |  |                           | 8,613    |   |                                                    | 0.03  | %  |                            |   | 6,225    |  
|Interest rates                                            |  | 3.34                                               | %  |  |                           | 586,986  |   |                                                    | 0.77  | %  |                            |   | 154,841  |  
|Stock indices                                             |  | 0.22                                               | %  |  |                           | 38,332   |   |                                                    | 1.30  | %  |                            |   | 260,855  |  
|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Net unrealized gain on futures contracts purchased        |  | 2.14                                               | %  |  |                           | 375,809  |   |                                                    | 3.22  | %  |                            |   | 648,476  |  
|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Futures contracts sold:                                   |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Commodities                                               |  | 0.18                                               | %  |  |                           | 31,864   |   |                                                    | (0.62 | )% |                            |   | (125,504 | )
|Currencies                                                |  | 0.00                                               | %  |  |                           | 0        |   |                                                    | 0.00  | %  |                            |   | 0        |  
|Interest rates                                            |  | 0.00                                               | %  |  |                           | 158      |   |                                                    | 0.06  | %  |                            |   | 10,961   |  
|Stock indices                                             |  | 0.00                                               | %  |  |                           | 0        |   |                                                    | (0.01 | )% |                            |   | (1,050   | )
|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Net unrealized (loss) on futures contracts sold           |  | 0.18                                               | %  |  |                           | 32,022   |   |                                                    | (0.57 | )% |                            |   | (115,593 | )
|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Net unrealized gain on futures contracts                  |  | 2.32                                               | %  |  | $                         | 407,831  |   |                                                    | 2.65  | %  |                            | $ | 532,883  |  
|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Forward contracts purchased:                              |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Net unrealized gain (loss) on forward contracts purchased |  | 1.82                                               | %  |  | $                         | 319,994  |   |                                                    | (0.18 | )% |                            | $ | (36,981  | )
|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Forward contracts sold:                                   |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Net unrealized gain (loss) on forward contracts sold      |  | 0.29                                               | %  |  | $                         | 50,521   |   |                                                    | (0.29 | )% |                            | $ | (56,796  | )
|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  
|Net unrealized gain (loss) on forward contracts           |  | 2.11                                               | %  |  | $                         | 370,515  |   |                                                    | (0.47 | )% |                            | $ | (93,777  | )
|                                                          |  |                                                    |    |  |                           |          |   |                                                    |       |    |                            |   |          |  



See accompanying notes.





-3-



---

DIVERSIFIED FUTURES TRUST I

STATEMENTS OF OPERATIONS

For the Three Months and Six Months Ended June 30, 2005
and 2004

(Unaudited)



|                                                                     |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|-------------------------------------------------------------------- |  | --------------------------- | ------- | ---- | ------------------------- | ---------- | ---- |  | - | ---------- | - |  | - | ---------- | -
|                                                                     |  | Three Months Ended June 30, |         |      | Six Months Ended June 30, |           
|                                                                     |  | 2005                        |         | 2004 |                           |            | 2005 |  |   | 2004       |  
|REVENUES                                                             |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|Realized                                                             |  | $                           | 314,934 |      | $                         | (2,674,674 | )    |  | $ | (879,671   | ) |  | $ | (265,941   | )
|Change in unrealized                                                 |  |                             | 211,937 |      |                           | (1,210,806 | )    |  |   | 339,240    |   |  |   | (2,232,807 | )
|Interest income                                                      |  |                             | 131,497 |      |                           | 54,160     |      |  |   | 247,692    |   |  |   | 116,941    |  
|                                                                     |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|Total revenues                                                       |  |                             | 658,368 |      |                           | (3,831,320 | )    |  |   | (292,739   | ) |  |   | (2,381,807 | )
|                                                                     |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|EXPENSES                                                             |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|Brokerage commissions                                                |  |                             | 342,864 |      |                           | 433,451    |      |  |   | 707,630    |   |  |   | 907,591    |  
|Management fees                                                      |  |                             | 89,007  |      |                           | 104,750    |      |  |   | 180,947    |   |  |   | 229,514    |  
|Incentive fees                                                       |  |                             | 0       |      |                           | 0          |      |  |   | 0          |   |  |   | 237,102    |  
|                                                                     |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|Total expenses                                                       |  |                             | 431,871 |      |                           | 538,201    |      |  |   | 888,577    |   |  |   | 1,374,207  |  
|                                                                     |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|NET INCOME (LOSS)                                                    |  | $                           | 226,497 |      | $                         | (4,369,521 | )    |  | $ | (1,181,316 | ) |  | $ | (3,756,014 | )
|                                                                     |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST  |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|Net income (loss) per weighted average limited and general interest  |  | $                           | 2.75    |      | $                         | (47.60     | )    |  | $ | (14.13     | ) |  | $ | (40.66     | )
|                                                                     |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  
|Weighted average number of limited and general interests outstanding |  |                             | 82,391  |      |                           | 91,794     |      |  |   | 83,618     |   |  |   | 92,378     |  
|                                                                     |  |                             |         |      |                           |            |      |  |   |            |   |  |   |            |  



See accompanying notes.



-4-



---

DIVERSIFIED FUTURES TRUST I

STATEMENTS OF CHANGES IN TRUST CAPITAL

For the Six Months Ended June 30, 2005
and 2004

(Unaudited)



|                                                  |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|------------------------------------------------- |  | ---------- | - |  | ---------------- | ---------- | - | ---------------- | - | ------- | ----- |  | - | ---------- | -
|                                                  |  | Interests  |   |  | LimitedInterests |            |   | GeneralInterests |   |         | Total | 
|Six Months ended June 30, 2005                    |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Trust capital at December 31, 2004                |  | 84,844.684 |   |  | $                | 19,956,434 |   |                  | $ | 206,754 |       |  | $ | 20,163,188 |  
|Net (loss) for the six months ended June 30, 2005 |  |            |   |  |                  | (1,169,272 | ) |                  |   | (12,044 | )     |  |   | (1,181,316 | )
|Redemptions                                       |  | (6,341.808 | ) |  |                  | (1,412,579 | ) |                  |   | 0       |       |  |   | (1,412,579 | )
|                                                  |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Trust capital at June 30, 2005                    |  | 78,502.876 |   |  | $                | 17,374,583 |   |                  | $ | 194,710 |       |  | $ | 17,569,293 |  
|                                                  |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Six Months ended June 30, 2004                    |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Trust capital at December 31, 2003                |  | 92,961.991 |   |  | $                | 23,521,958 |   |                  | $ | 237,691 |       |  | $ | 23,759,649 |  
|Net (loss) for the six months ended June 30, 2004 |  |            |   |  |                  | (3,718,454 | ) |                  |   | (37,560 | )     |  |   | (3,756,014 | )
|Redemptions                                       |  | (4,481.270 | ) |  |                  | (1,006,956 | ) |                  |   | (10,226 | )     |  |   | (1,017,182 | )
|                                                  |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Trust capital at June 30, 2004                    |  | 88,480.721 |   |  | $                | 18,796,548 |   |                  | $ | 189,905 |       |  | $ | 18,986,453 |  
|                                                  |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  



|                                                 |        |                  |   |              |  |                  |        |  |   |       
|------------------------------------------------ | ------ | ---------------- | - | ------------ |  | ---------------- | ------ |  | - | ------
|                                                
|Net Asset Value per Limited and General Interest
|June 30, 2005                                    |        | December 31,2004 |   | June 30,2004 |  | December 31,2003
|$                                                | 223.80 |                  | $ | 237.65       |  | $                | 214.58 |  | $ | 255.58
|                                                 |        |                  |   |              |  |                  |        |  |   |       



See accompanying notes.



-5-



---

DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS

(Unaudited)



Note 1. ORGANIZATION



| | A. | General Description of the Trust
| | -- | --------------------------------



The statement of financial condition, including the condensed schedule of investments, as of June 30, 2005, the statements of operations for the three
months and six months ended June 30, 2005 and 2004, and the statements of changes in trust capital for the six months ended June 30, 2005 and 2004 are unaudited. In the opinion of the Managing Owner, the financial statements contain all adjustments
(consisting of only normal recurring adjustments) necessary to state fairly the financial position of Diversified Futures Trust I (the Trust) as of June 30, 2005 and the results of its operations for the three months and six months ended
June 30, 2005 and 2004. However, the operating results for the interim periods may not be indicative of the results expected for the full year.



Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally
accepted in the United States of America have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in the Trusts annual report on Form 10-K filed with the
Securities and Exchange Commission for the year ended December 31, 2004.



The Trust was organized under the Delaware Statutory Trust Act on May 18, 1994 and will continue until December 31, 2020 unless terminated sooner under the provisions of the Second Amended and Restated Declaration of
Trust and Trust Agreement (the Trust Agreement). The Trust was formed to engage in the speculative trading of commodity futures and forward contracts. The Trusts trustee is Wilmington Trust Company.



On July 1, 2003, Prudential Financial, Inc. (Prudential) and
Wachovia Corp. (Wachovia) combined their separate retail securities brokerage and clearing businesses under a new holding company named Wachovia/Prudential Financial Advisors, LLC (WPFA), owned 62% by Wachovia and 38% by
Prudential. As a result, the retail brokerage operations of Prudential Securities Incorporated (PSI) were contributed to Wachovia Securities, LLC (Wachovia Securities). Wachovia Securities is wholly-owned by WPFA and is a
registered broker-dealer and a member of the National Association of Securities Dealers, Inc. (NASD) and all major securities exchanges. The Trust and its Managing Owner, Prudential Securities Futures Management Inc., entered into a
service agreement with Wachovia Securities, effective July 1, 2003. Pursuant to this agreement, Wachovia Securities agreed to provide certain enumerated services to accounts of the limited interest owners carried at Wachovia.



-6-



---

DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)



Note 1. ORGANIZATION (CONTINUED)



| | A. | General Description of the Trust (Continued)
| | -- | --------------------------------------------



Effective July 1, 2003, PSI changed its name to Prudential Equity Group, Inc. (PEG). PEG remains an indirectly wholly-owned subsidiary of
Prudential. PEG was a registered broker-dealer and a member of the NASD and all major securities exchanges and conducted the equity research, domestic and international equity sales and trading operations, and commodity brokerage and derivative
operations it had previously conducted as PSI until December 31, 2003. As part of the process of reorganizing its business structure, Prudential Securities Group, Inc. (PSG), the direct parent of PEG and a wholly-owned subsidiary of
Prudential, transferred the commodity brokerage, commodity clearing and derivative operations previously performed by PEG to another PSG indirect wholly-owned subsidiary, Prudential Financial Derivatives, LLC (PFD) effective January 1,
2004. Like PEG, PFD is registered as a futures commission merchant under the Commodity Exchange Act and is a member of the National Futures Association. On April 1, 2004, PEG transferred the ownership of the Managing Owner and PFD Holdings, LLC, the
direct parent of PFD to PSG.



On June 30, 2004, PSG and
Preferred Investment Solutions Corp., formerly Kenmar Advisory Corp. (Preferred), entered into a Stock Purchase Agreement, pursuant to which PSG would sell, and Preferred would buy, all of the capital stock of Prudential Securities
Futures Management Inc. (the then current Managing Owner of the Trust) and another commodity pool operator owned by PSG. In connection with the transaction, Prudential Securities Futures Management Inc. solicited proxies seeking approval from the
Trusts Interest holders for (i) the sale of the stock of Prudential Securities Futures Management Inc. to Preferred; (ii) the concomitant approval of Preferred as the new Managing Owner of the Trust; and (iii) the approval of certain
amendments to the Declaration of the Trust and Trust Agreement of the Trust. A report on Form 8-K describing the transaction was filed with the Securities Exchange Commission on July 1, 2004 and the definitive proxies were filed with the Securities
and Exchange Commission on July 20, 2004.



As of October 1,
2004, Preferred acquired from PSG all of the outstanding stock of Prudential Securities Futures Management Inc. Immediately after such acquisition, Prudential Securities Futures Management Inc. was merged with and into Preferred. Accordingly, as of
October 1, 2004 all of the board of directors and officers of Prudential Securities Futures Management Inc. resigned. Following Preferreds acquisition of Prudential Securities Futures Management Inc. and its merger with and into Preferred,
Preferred became the successor Managing Owner of the Trust.



The term Managing Owner, as used herein, refers either to Prudential Securities Futures Management Inc. or Preferred, depending upon the applicable period discussed.



Note 2. RELATED PARTIES



The Managing Owner or third parties engaged by the Managing Owner perform services for the Trust which include, but are not limited to: brokerage
services; accounting and financial management; registrar, transfer and assignment function; investor communications; printing and other administrative services. Except for costs related to brokerage services, PEG or its affiliates paid all the costs
of these services as well as the Trusts routine operational, administrative, legal and auditing costs through September 30, 2004. Effective October 1, 2004, Preferred began performing such services for the Trust with the exception of brokerage
services. Preferred pays all of the costs of such services.



-7-



---

DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)



Note 2. RELATED PARTIES (CONTINUED)



The costs charged to the Trust for brokerage services for the six months
ended June 30, 2005 and 2004 were $707,603 and $907,591, respectively, and for the three months ended June 30, 2005 and 2004 were $342,864 and $433,451, respectively.



The Trusts assets are maintained either in trading or cash accounts at PFD, the Trusts commodity broker, or for
margin purposes, with the various exchanges on which the Trust is permitted to trade. PFD 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 managers, executes over-the-counter,
spot, forward and/or option foreign exchange transactions with its broker. The broker 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 the Trust and its broker pursuant to a line of credit. The broker may
require that collateral be posted against the marked-to-market position of the Trust.



Note 3. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS



The Trust is exposed to various types of risks associated with the derivative instruments and related markets in which it invests. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative
instruments held (market risk) and the inability of counterparties to perform under the terms of the Trusts investment activities (credit risk).



Market Risk



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



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



-8-



---

DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)



Note 3. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS (CONTINUED)



Credit Risk



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



The Managing Owner attempts to
minimize both credit and market risks by requiring the Trust and its trading managers to abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies, which include, but are
not limited to, executing and clearing all trades with creditworthy counterparties; limiting the amount of margin or premium required for any one commodity or all commodities combined; and generally limiting transactions to contracts which are
traded in sufficient volume to permit the taking and liquidating of positions. Additionally, pursuant to the Advisory Agreement among the Trust, the Managing Owner has the right, among others, to terminate each trading manager if the net asset value
allocated to the trading manager declines by 331/3% from the value at the beginning of any year or since the
commencement of trading activities. Furthermore, the Amended and Restated Declaration of Trust and Trust Agreement provides that the Trust will liquidate its positions, and eventually dissolve, if the Trust experiences a decline in the net asset
value of 50% from the value at the beginning of any year or since the commencement of trading activities. In each case, the decline in net asset value is after giving effect for distributions and redemptions. The Managing Owner may impose additional
restrictions (through modifications of trading limitations and policies) upon the trading activities of the trading manager as it, in good faith, deems to be in the best interests of the Trust.



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 its other assets. At June 30, 2005 and December 31, 2004, such segregated assets totaled $10,525,693 and $13,404,536, respectively. Part 30.7 of the CFTC regulations also requires the Trusts
futures commission merchant to secure assets of the Trust related to foreign futures trading which totaled $7,581.547 and $7,522,604 at June 30, 2005 and December 31, 2004, respectively. There are no segregation requirements for assets related to
forward trading.



As of June 30, 2005, substantially all of
the Trusts open futures and forward contracts mature within one year.



-9-



---

DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)



Note 4. FINANCIAL HIGHLIGHTS



The following information presents per interest performance data and other
supplemental financial data for the three months and six months ended June 30, 2005 and 2004. This information has been derived from information presented in the financial statements.



|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|---------------------------------------------------------------------------------- |  | --------------------------- | ------ | -- | ------------------------- | - | ------ | --------------- |  | - | --------------- | -- |  | - | ------ | --
|                                                                                   |  | Three months ended June 30, |        |    | Six months ended June 30, |  
|                                                                                   |  | 2005(Unaudited)             |        |    | 2004(Unaudited)           |   |        | 2005(Unaudited) |  |   | 2004(Unaudited) |   
|Per Interest Performance                                                           |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|(for an interest outstanding throughout the entire period)                         |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|                                                                                   |  |                             |        |   
|Net asset value per interest at beginning of period                                |  | $                           | 221.06 |    |                           | $ | 262.18 |                 |  | $ | 237.65          |    |  | $ | 255.58 |   
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Net realized and change in net unrealized gain (loss) on commodity transactions(1) |  |                             | 6.38   |    |                           |   | (42.33 | )               |  |   | (6.18           | )  |  |   | (27.41 | ) 
|Interest income(1)                                                                 |  |                             | 1.60   |    |                           |   | 0.59   |                 |  |   | 2.96            |    |  |   | 1.27   |   
|Expenses(1)                                                                        |  |                             | (5.24  | )  |                           |   | (5.86  | )               |  |   | (10.63          | )  |  |   | (14.86 | ) 
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Net increase (decrease) for the period                                             |  |                             | 2.74   |    |                           |   | (47.60 | )               |  |   | (13.85          | )  |  |   | (41.00 | ) 
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Net asset value per interest at end of period                                      |  | $                           | 223.80 |    |                           | $ | 214.58 |                 |  | $ | 223.80          |    |  | $ | 214.58 |   
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Total Return(3)                                                                    |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Total return before incentive fees                                                 |  |                             | 1.24   | %  |                           |   | (18.16 | )%              |  |   | (5.83           | )% |  |   | (15.01 | )%
|Incentive fees                                                                     |  |                             | 0.00   | %  |                           |   | 0.00   | %               |  |   | 0.00            | %  |  |   | (1.03  | )%
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Total return after incentive fees                                                  |  |                             | 1.24   | %  |                           |   | (18.16 | )%              |  |   | (5.83           | )% |  |   | (16.04 | )%
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Supplemental Data                                                                  |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|                                                                                   |  |                             |        |   
|Ratios to average net asset value:                                                 |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Net investment loss before incentive fees(2), (4)                                  |  |                             | (6.79  | )% |                           |   | (8.92  | )%              |  |   | (7.02           | )% |  |   | (8.90  | )%
|Incentive fees(3)                                                                  |  |                             | 0.00   | %  |                           |   | 0.00   | %               |  |   | 0.00            | %  |  |   | (1.03  | )%
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Net investment loss after incentive fees                                           |  |                             | (6.79  | )% |                           |   | (8.92  | )%              |  |   | (7.02           | )% |  |   | (9.93  | )%
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Interest income(4)                                                                 |  |                             | 2.97   | %  |                           |   | 1.00   | %               |  |   | 2.71            | %  |  |   | 1.02   | % 
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Incentive fees(3)                                                                  |  |                             | 0.00   | %  |                           |   | 0.00   | %               |  |   | 0.00            | %  |  |   | 1.03   | % 
|Other expenses(4)                                                                  |  |                             | 9.76   | %  |                           |   | 9.92   | %               |  |   | 9.73            | %  |  |   | 9.92   | % 
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   
|Total net expenses                                                                 |  |                             | 9.76   | %  |                           |   | 9.92   | %               |  |   | 9.73            | %  |  |   | 10.95  | % 
|                                                                                   |  |                             |        |    |                           |   |        |                 |  |   |                 |    |  |   |        |   



Total returns are
calculated based on the change in value of an interest during the period. An individual interestholders total returns and ratios may vary from the above total returns and ratios based on the timing of redemptions.



---

|(1) | Interest income per interest and expenses per interest are calculated by dividing interest income and expenses by the weighted average number of interests
outstanding during the period. Net realized and change in net unrealized gain (loss) on commodity transactions is a balancing amount necessary to reconcile the change in net asset value per interest with the other per interest information.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Represents interest income less total expenses (exclusive of incentive fees).
|--- | -----------------------------------------------------------------------------

|(3) | Not annualized.
|--- | ---------------

|(4) | Annualized.
|--- | -----------





-10-



---

DIVERSIFIED FUTURES TRUST I

(a Delaware Business Trust)



ITEM 2. MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS



Critical Accounting Policies



Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the
application of appropriate accounting rules and guidance, as well as the use of estimates. The Trusts application of these policies involves judgments and actual results may differ from the estimates used.



The Managing Owner has evaluated the nature and types of estimates that it makes in preparing
the Trusts financial statements and related disclosures and has determined that the valuation of its investments which are not traded on a United States or Internationally recognized futures exchange involves a critical accounting policy. The
market values of futures (exchange traded) contracts is verified by the administrator who obtains valuation data from third party data providers such as Bloomberg and Reuters and compares those prices with the Trusts broker. The market value
of currency swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3 PM on the last business day of the reporting period. All values assigned by the administrator and confirmed by the
Managing Owner are final and conclusive as to all Interest holders.



As such,
if actual results vary from estimates used, they are anticipated to not have a material impact on the financial statements and related disclosures.



Liquidity and Capital Resources



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



The Trust Agreement provides that an Interest holder may redeem its Interests as of the last business day of any calendar quarter at the then current NAV per Interest.
Redemptions of Limited Interests and General Interests for the six months ended June 30, 2005 were $1,412,579 and $0, respectively, and for the three months ended June 30, 2005 were $870,118 and $0, respectively. Redemptions of Limited Interests and
General Interests from the commencement of operations, January 5, 1995, to June 30, 2005 totaled $82,172,644 and $680,801, respectively. Future redemptions will impact the amount of funds available for investment in commodity contracts in subsequent
periods.



At June 30, 2005, 100% of the Trusts net assets were allocated
to commodities trading. A significant portion of the net assets was held in cash which was 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. The broker 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 investors capital. The Managing
Owner attempts to minimize these risks by requiring the Trust and its trading manager to abide by various trading limitations and policies which include limiting margin amounts, trading only in liquid markets and permitting the use of stop loss
provisions. See Note 3 to the financial statements for a further discussion of the credit and market risks associated with the Trusts futures and forward contracts.



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



1



---

Off-Balance Sheet Arrangements and Contractual Obligations



As of June 30, 2005, the Trust has not utilized special purpose entities to facilitate
off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related
to certain risks service providers, such as our accountants, undertake in performing services which are in the best interests of the Trust. While the Trusts exposure under such indemnification provisions can not be estimated, these general
business indemnifications are not expected to have a material impact on the Trusts financial position.



The Trusts contractual obligations are with the Managing Owner, each Trading Manager and its commodity broker. Payments made under the Trusts agreement with each Trading Manager are at a fixed rate,
calculated as a percentage of the Trusts New High Net Trading Profits. Management fee payments made to the Trading Managers and fees paid to the Managing Owner are calculated as a fixed percentage of the Trusts Net Asset
Values (NAVs). As such, the Managing Owner cannot anticipate the amount of payments that will be required under these agreements for futures periods as NAVs are not known until a future date. Commission payments to the commodity broker are
based on a cost per executed trade and, as such, the Managing Owner cannot anticipate the amount of payments that will be required under the brokerage agreement for future periods as the level of executed trades are not known until a future date.
These agreements are effective for one-year terms, renewable automatically for additional one-year terms unless terminated. Additionally, these agreements may be terminated by either party for various reasons. For a further discussion on these
payments, see Notes 1 & 3 of the Registrants 2004 Annual Report.



Results of Operations



The net asset value per interest as of
June 30, 2005 was $223.80, a decrease of 5.83% from the December 31, 2004 net asset value per interest of $237.65, and an increase of 1.24% from the March 31, 2005 net asset value per interest of $221.06. Past performance is not necessarily
indicative of future results.



The Trusts trading gains (losses) before
commissions were $527,000 and $(540,000) during the three months and six months ended June 30, 2005, respectively, compared to trading losses of $3,885,000 and $2,499,000 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.



Quarterly Market Overview



The US economy continued to outperform both Europe and Asia in the second quarter of 2005,
although growth showed some evidence of a modest slowdown. The Federal Reserve continued its policy of measured 25 point rate increases and the statement from the June 30th Federal Open Market Committee meeting indicated that it will maintain this
policy in the third quarter of 2005, and possibly beyond. The Federal Reserve has now raised interest rates at nine consecutive meetings, to 3.25% as of June 30, 2005. This has helped strengthen both the US dollar and US treasuries, as the US has a
distinct rate advantage over Europe and Japan.



Gains in the US economy were
not shared by Europe and Japan, with Europe in particular showing economic malaise. Germany and France showed low growth and weak employment, and Italy is essentially in a recession. Even the UK, which had previously outperformed the rest of Europe,
began to show weakness. The result has been a slide in the British pound and growing speculation that the Bank of England may cut interest rates as soon as early July.



The economic outlook in Japan is somewhat better than in Europe. The Bank of Japans recently released quarterly Tankan Survey of
Corporate Sentiment showed widespread improvement in June, with both large and small manufacturers as well as non-manufacturers more optimistic about business conditions. This came in spite of high oil prices and a sharp decline in export growth.



Currencies: Following a weak performance in April, the euro experienced
a further decline for much of May and hit a 10-month low in June before firming a bit at the end of the month. A major factor was the pattern of global interest rates, which put the euro at a distinct disadvantage. The British pound hit an 8-month
low on June 30th. Part of the euros recovery toward the end of June was related to the belief that the European Central Bank will wait until later in the year to move rates, given its long history of being slow to act. Additionally, surging
crude oil prices raised inflation concerns. The euro continued to suffer from the rejection of the European Union constitution by French and Dutch voters. During the quarter, the Swiss franc also hit a 10-month low prior to a modest recovery.
Despite recent strength against many currencies, the US dollar continues to suffer weakness within the long-term trend. The latest data on the US Current Account Deficit was released on June 17th showing a 3.6% increase to a record $195.1 billion in
the first quarter of 2005. The deficit amounted to a record 6.4% of the US Gross Domestic Product and was larger than predicted. The Japanese yen fell to a 10-month low against the US dollar amid concerns surrounding high oil prices. Moreover, a
declining trade surplus and a growing dependence on the domestic economy served to pressure the yen with Japans Gross Domestic Product running at about 1.5%. While Japans economy is not in nearly as bad shape as Europes, it
continues to suffer and the Bank of Japan continues in an accommodative stance. Among other currencies, the Australian dollar entered June with a year-to-date loss of about 2.5% versus the US dollar but rising metals and energy prices helped the
currency recover most of that and it is now essentially flat for the year. The Canadian dollar also had a positive June, gaining about 2.5% and lowering its year-to-date loss versus the US dollar to approximately 2.0%. The South African rand, which
declined approximately 9% in May versus the US dollar, continued to decline in June.



2



---

Energies: Crude oil prices continued to rise in June, and for most of the second quarter. The driving factors to
the price increase included a growing concern that refinery facilities will be unable to produce gasoline and heating oil to satisfy the seemingly inelastic demand for these products. Consumer demand for these products persists at a rapid pace with
record demand seen as the July 4th holiday approached. Additionally, geopolitical factors played a part in the rally, including a brief Nigerian strike and growing tensions between the Nigerian government and local oil workers. The Iranian elections
also helped to increase prices in the market, as Tehrans Mayor, Mahmoud Ahmadinejad, considered an extreme conservative, was elected President of Iran. Natural gas was not nearly as buoyant during the quarter although prices rallied in June.
The weather was supportive, with extreme heat noted in key consuming regions for much of June. However, the US Department of Energys inventory reports noted that inventories were sufficient.



Grains: For the agronomic commodity sector, with the exception of cotton, prices in
the second quarter exhibited a rally. Major contributors of this rally included a late spring with cool, to cold, springtime temperatures in the Northern hemisphere, relative lack of post planting precipitation in the same areas, the
monsoon rains arriving two to three weeks later than average in India and unabated growth in raw material demand by the largest consuming country in the world, China. In the US, a noticeable shift was seen out of soybean acreage, and into other
competing crops, notably because of the discovery of Asian Soybean Rust (ASR) in the Gulf Coast States. This is the first time ASR has ever been seen in the US, which resulted in farmers becoming concerned about yield reduction, additional cultural
control costs, and a general fear of crop deterioration.



Indices: The second quarter was truly mixed for US equities, with April a down month, May a positive one, and June showing little change. For the quarter, the Dow fell 1.7%, the S&P 500 rose 1.2% and the Nasdaq rose 1.3%. During
the second quarter, the US equity markets were directionless. There was plenty of mergers and acquisition activity and earnings were respectable. However, there were concerns, including the well-documented problems at General Motors and Ford.
Economic data was decent but not inspiring. Crude oil prices running near $60 per barrel put pressure on the markets and a stronger US dollar raised some profit concerns. In the June 30th statement following its ninth consecutive 25 point rate hike,
the Federal Reserve indicated that it is not done raising rates, resulting in stocks ending the month with a weak final session, including a triple digit loss for the Dow. European equities had a positive month and a positive quarter despite
lackluster economic data, the failure of the European Union to reach a budget agreement and the no votes on the European Union constitution. The UK, which had previously avoided much of Europes economic decline, showed evidence of
weakness in the second quarter. Regardless, the FTSE gained 149 points in June to 5,113 and is up 6.2% year-to-date. The Nikkei, which declined 660 points in April and recovered 265 points in May, was weak early in June, but rebounded to end the
month up 300 points. Japanese economic data was mixed, showing some improvement domestically, but displaying weakness on the export front.



Interest Rates: The US treasury market for most of the second quarter was characterized by lower yields and a flatter yield curve. After closing out May at 3.98%
and falling to 3.82% in early June, the yield on the benchmark 10-year note briefly spiked to 4.15% but fell to 3.96% by the end of June. The spread between the 2-year and 10-year notes, which stood at 55 points in April and 40 points at the end of
May, further narrowed to 34 points at the end of June, with increasing talk of a potential inverted yield curve. The flight to safety buying of Treasuries which occurred in April and May, persisted in June, albeit at a lessened pace. The Federal
Reserve raised interest rates another 25 basis points on June 30th and the statement from the Federal Open Market Committee indicated that it will continue to raise rates at a measured pace. The European Central Bank and Bank of England did not
change rates. However, at the end of June there was growing speculation that both may cut rates soon, led in part by a surprisingly aggressive 50 basis point reduction by Swedens Riksbank to 1.5%. The Bank of Canada and Reserve Bank of
Australia left rates unchanged.



Metals: After falling nearly 5% in May,
gold prices rose sharply in June to their highest levels since mid-March. As June ended, gold appeared headed for still higher levels. Uncertainty surrounding global equity markets and relatively low global interest rates helped the rally in gold.
Silver did not keep pace with golds rally, although it remained higher for the year. Among the base metals, copper gained approximately 8% during June and was up 12% year-to-date, although prices eased from 16-year highs of over $1.60 per
pound in the final half of June. Strong demand from China continued to drive prices higher, as it did in the first quarter of 2005. Aluminum declined approximately 4.5% in June and is down approximately 9.8% year-to-date. Nickel, which rose
approximately 7% in May, experienced particular weakness as prices tumbled approximately 12.5% in June due to a heavy sell-off toward the end of June, leaving prices down approximately 1.5% year-to-date.



Softs: Coffee prices tumbled throughout the second quarter of 2005 on news that the
Brazilian harvest is doing well. In June, coffee was the weakest of the 19 components of the Dow Jones AIG Index. Solid physical demand for sugar globally, but in particular from China where May imports were reported at 170,875 tonnes, well ahead of
last years 157,683 tonnes, helped sugar surge in May and June. White sugar demand remains brisk and the European Union has withdrawn as a seller for the time being. After declining steadily for most of the second quarter of 2005, cocoa prices
became volatile in June on reports of building tensions in the Ivory Coast ahead of the scheduled start of disarmament on June 27. With the market on edge, prices surged temporarily. Subsequently, the disarmament was delayed. Violence in the region
continues, but tensions eased somewhat towards the end of June as the United Nations increased its commitment to the Peace Keeping Force.



3



---

Quarterly Trust Performance



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



Sector P/L



Currencies (+): The major currencies experienced a significant sell off versus the US dollar over the last two months of the second quarter.
Gains were derived from short positions in the euro, Japanese yen and Canadian dollar.



Energies (-): The sector was choppy this quarter with prices rebounding after a mid-quarter sell-off to finish at levels close to where they began the quarter. Losses were experienced throughout this sector.



Grains (-): Most components of the sector ended the quarter where they began, albeit with
multiple changes of direction within the 3-month period. The net result for the quarter was negative, with long and short positions in cotton and wheat contributing the most to the sectors loss.



Indices (-): Global markets, excluding Japan, overcame losses during the first half of the
second quarter to finish with modest gains. Losses were generated from long positions in the DAX and Tokyo Stock Index, and from long and short positions in the Nikkei index.



Interest Rates (+): The prices of US, European and Japanese bonds all strengthened during the second quarter. Long positions along the
British, German and Japanese curves contributed towards the gain.



Metals (-):
Most of the industrial and precious metals were trendless for the quarter, making them difficult to trade. Losses were generated from long and short positions in aluminum, zinc and gold.



Softs (-): The largest losses for the sector came from long positions in coffee, which sold off for most of the quarter and short positions
in sugar, which rallied for most of the quarter.



Interest income is earned on
the average net assets held at the broker and, therefore, varies monthly according to interest rates, as well as the effect of trading performance, and redemptions on the level of interest-bearing funds. Interest income increased by $77,000 and
$131,000 for the three months and six months ended June 30, 2005 as compared to the corresponding periods in 2004, respectively, primarily due to higher interest rates during 2005 versus 2004.



Commissions are calculated on the Trusts net asset value at the beginning of each month
and, therefore, vary monthly according to trading performance and redemptions. Commissions decreased by $91,000 and $200,000 for the three months and six months ended June 30, 2005 as compared to the corresponding periods in 2004. These decreases
were primarily due to the decrease in average assets from negative trading performance and redemptions during 2005.



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 three months and six months ended June 30, 2005 decreased $16,000 and $49,000, respectively, compared to the corresponding periods in 2004 for the same reasons commissions decreased as previously discussed above.



Incentive fees are based on the New High Net Trading Profits generated by the Trading
Managers, as defined in the Advisory Agreements among the Trust, the Managing Owner and the Trading Managers. Incentive fees for the six months ended June 30, 2005 and 2004 were $0 and $237,000, respectively. No incentive fees were incurred during
the three months and six months ended June 30, 2005.



ITEM 3. QUANTITATIVE
AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK



Information regarding
quantitative and qualitative disclosures about market risk is not required pursuant to Item 305(e) of Regulation S-K.



ITEM 4. CONTROLS AND PROCEDURES



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



In designing and evaluating the Trusts disclosure controls and procedures (as defined in Rules 13a-15(e) or 15d-15(e) of the Exchange Act), the Managing Owner
recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurances of achieving the desired control objectives, as ours are designed to do, and the Managing Owner necessarily was required to
apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures. We believe that our disclosure controls and procedures provide such reasonable assurance.



4



---

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



5



---

PART II. OTHER INFORMATION



|        |  |                                                                                                                                                                                                                         
|------- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Item 1. |  | Legal Proceedings  There are no material legal proceedings pending by or against the Registrant or the Managing Owner or to which the Registrant or Managing Owner was a party during the
period covered by this report
|        | 
|Item 2. |  | Unregistered Sales of Equity Securities and Use of Proceeds  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. |  | Exhibits:                                                                                                                                                                                                               



|          |  |                                                                                                                                                                                                                                           
|--------- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|3.1and4.1 |  | Second Amended and Restated Agreement of Limited Partnership of the Registrant, dated as of October 1, 2004 (incorporated by reference to Exhibit 4.1 to the Registrants Annual Report on
Form 10-K for the year ended December 31, 2004)
|          | 
|31.1      |  | Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)                                                                                                                                                           
|          | 
|31.2      |  | Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)                                                                                                                                                           
|          | 
|32.1      |  | Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the SARBANES-OXLEY Act of 2002 (furnished herewith)                                                                                                
|          | 
|32.2      |  | Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the SARBANES-OXLEY Act of 2002 (furnished herewith)                                                                                                



6



---

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: |  | Preferred Investment Solutions Corp. |  |                                                  
|    |  | Managing Owner                       |  |                                                  
|    |  |                                      | 
|    |  | By:                                  |  | /s/ Kenneth A. Shewer                             |  | Date: August 12, 2005
|    |  |                                      |  | Kenneth A. Shewer                                 |  |                      
|    |  |                                      |  | Chairman and Director                             |  |                      
|    |  |                                      | 
|    |  | By:                                  |  | /s/ Maureen D. Howley                             |  | Date: August 12, 2005
|    |  |                                      |  | Maureen D. Howley                                 |  |                      
|    |  |                                      |  | Senior Vice President and Chief Financial Officer |  |                      



7