<Page>
                                 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 quarterly period ended June 30, 2003

                                       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   (I.R.S. Employer Identification
or organization)                                No.)

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 __

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

<Page>

                         PART I. FINANCIAL INFORMATION
                          ITEM I. FINANCIAL STATEMENTS
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<Table>
<Caption>
                                                                        June 30,       December 31,
                                                                          2003             2002
---------------------------------------------------------------------------------------------------
<S>                                                                    <C>             <C>
ASSETS
Cash in commodity trading accounts                                     $25,642,122     $22,203,195
Net unrealized gain (loss) on open futures contracts                      (550,805)      1,068,894
Net unrealized gain on open forward contracts                              102,506       1,238,514
Other receivables                                                            7,146           2,594
                                                                       -----------     ------------
Total assets                                                           $25,200,969     $24,513,197
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $   807,077     $   890,827
Incentive fees payable                                                     202,680              --
Management fees payable                                                     42,002          40,855
                                                                       -----------     ------------
Total liabilities                                                        1,051,759         931,682
                                                                       -----------     ------------
Commitments
Trust capital
Limited interests (96,667.516 and 104,401.272 interests
  outstanding)                                                          23,907,583      23,345,604
General interests (977 and 1,055 interests outstanding)                    241,627         235,911
                                                                       -----------     ------------
Total trust capital                                                     24,149,210      23,581,515
                                                                       -----------     ------------
Total liabilities and trust capital                                    $25,200,969     $24,513,197
                                                                       -----------     ------------
                                                                       -----------     ------------
Net asset value per limited and general interest ('Interests')         $    247.32     $    223.61
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------

<Caption>
                 The accompanying notes are an integral part of these statements.
</Table>

                                       2

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       CONDENSED SCHEDULES OF INVESTMENTS
                                  (Unaudited)
<Table>
<Caption>
                                                  June 30, 2003                     December 31, 2002
                                         --------------------------------    --------------------------------
                                         Net Unrealized                      Net Unrealized
                                          Gain (Loss)                         Gain (Loss)
                                           as a % of       Net Unrealized      as a % of       Net Unrealized
Futures and Forward Contracts            Trust Capital      Gain (Loss)      Trust Capital      Gain (Loss)
-------------------------------------------------------------------------------------------------------------
<S>                                      <C>               <C>               <C>               <C>
Futures contracts purchased:
  Interest rates                                             $ (197,116)                         $  835,450
  Stock Indices                                                (115,523)                            (80,419)
  Currencies                                                     13,580                                  --
  Commodities                                                  (323,958)                            486,370
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts purchased              (2.58)%          (623,017)           5.26%          1,241,401
                                                           --------------                      --------------
Futures contracts sold:
  Interest rates                                                  3,043                            (245,735)
  Stock indices                                                      --                              39,154
  Currencies                                                     29,941                                  --
  Commodities                                                    39,228                              34,074
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures
     contracts sold                            0.30              72,212           (0.73)           (172,507)
                                             ------        --------------        ------        --------------
Net unrealized gain (loss) on futures
  contracts                                   (2.28)%        $ (550,805)           4.53%         $1,068,894
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Forward contracts purchased:
  Net unrealized gain on forward
  contracts purchased                          0.84%         $  202,161            7.71%         $1,818,506
Forward currency contracts sold:
     Net unrealized loss on forward
     contracts sold                           (0.42)            (99,655)          (2.46)           (579,992)
                                             ------        --------------        ------        --------------
Net unrealized gain on forward
  contracts                                    0.42%         $  102,506            5.25%         $1,238,514
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Futures Contracts
  British pound                               (0.33)%        $  (79,097)           0.30%         $   70,162
  Euro                                        (0.66)           (160,513)           1.36             321,999
  Japanese yen                                 0.23              55,540            0.97             229,438
  Australian dollar                           (0.23)            (56,714)           0.23              53,087
  Other                                        0.14              33,493            0.03               8,042
  U.S. dollar                                 (1.43)           (343,514)           1.64             386,166
                                             ------        --------------        ------        --------------
     Total                                    (2.28)%        $ (550,805)           4.53%         $1,068,894
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Forward Contracts
  British pound                                0.01%         $    1,551              --%         $       --
  Canadian dollar                              0.04               9,701              --                  --
  Japanese yen                                 0.38              92,340              --                  --
  Australian dollar                            0.03               7,828              --                  --
  Swiss franc                                  0.15              36,206              --                  --
  U.S. dollar                                 (0.19)            (45,120)           5.25           1,238,514
                                             ------        --------------        ------        --------------
     Total                                     0.42%         $  102,506            5.25%         $1,238,514
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
-------------------------------------------------------------------------------------------------------------
                      The accompanying notes are an integral part of these statements.
</Table>

                                       3

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
                                  (Unaudited)
<Table>
<Caption>
                                                    Six months ended            Three months ended
                                                        June 30,                     June 30,
                                               --------------------------    -------------------------
                                                  2003            2002          2003           2002
------------------------------------------------------------------------------------------------------
<S>                                            <C>             <C>           <C>            <C>
REVENUES
Net realized gain on commodity transactions    $ 6,287,216     $2,184,447    $2,532,187     $3,026,569
Change in net unrealized gain/loss on open
  commodity positions                           (2,755,707)     2,589,193      (277,718)     3,693,665
Interest income                                    160,116        229,860        78,039        110,380
                                               -----------     ----------    ----------     ----------
                                                 3,691,625      5,003,500     2,332,508      6,830,614
                                               -----------     ----------    ----------     ----------
EXPENSES
Commissions                                        838,313        850,738       472,822        397,838
Management fees                                    219,979        226,498       125,567        113,389
Incentive fees                                     202,680         64,560       202,680         64,560
                                               -----------     ----------    ----------     ----------
                                                 1,260,972      1,141,796       801,069        575,787
                                               -----------     ----------    ----------     ----------
Net income                                     $ 2,430,653     $3,861,704    $1,531,439     $6,254,827
                                               -----------     ----------    ----------     ----------
                                               -----------     ----------    ----------     ----------
ALLOCATION OF NET INCOME
Limited interests                              $ 2,406,329     $3,823,057    $1,516,111     $6,192,246
                                               -----------     ----------    ----------     ----------
                                               -----------     ----------    ----------     ----------
General interests                              $    24,324     $   38,647    $   15,328     $   62,581
                                               -----------     ----------    ----------     ----------
                                               -----------     ----------    ----------     ----------
NET INCOME PER WEIGHTED AVERAGE LIMITED AND
  GENERAL INTEREST
Net income per weighted average limited and
  general interest                             $     23.56     $    30.77    $    15.18     $    51.63
                                               -----------     ----------    ----------     ----------
                                               -----------     ----------    ----------     ----------
Weighted average number of limited and
  general interests outstanding                    103,182        125,511       100,908        121,136
                                               -----------     ----------    ----------     ----------
                                               -----------     ----------    ----------     ----------
------------------------------------------------------------------------------------------------------
</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, 2002            105,456.272     $23,345,604     $235,911      $23,581,515
Net income                                           --       2,406,329       24,324        2,430,653
Redemptions                                  (7,811.756)     (1,844,350)     (18,608 )     (1,862,958)
                                           ------------     -----------     ---------     -----------
Trust capital--June 30, 2003                 97,644.516     $23,907,583     $241,627      $24,149,210
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements.
</Table>

                                       4

<Page>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
                                 JUNE 30, 2003
                                  (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 state fairly the financial position of
Diversified Futures Trust I (the 'Trust') as of June 30, 2003 and December 31,
2002 and the results of its operations for the six and three months ended June
30, 2003 and 2002. 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, 2002.

   In February 2003, Prudential Financial, Inc. ('Prudential') and Wachovia
Corp. ('Wachovia') announced an agreement to combine each company's respective
retail securities brokerage and clearing operations within a new firm, which
will be headquartered in Richmond, Virginia. Under the agreement, Prudential
will have a 38% ownership interest in the new firm and Wachovia will own 62%.
The transaction, which includes the securities brokerage, securities clearing,
and debt capital markets operations of Prudential Securities Incorporated
('PSI'), but does not include the equity sales, trading and research operations
or commodity brokerage and derivative operations of PSI (which were renamed
Prudential Equity Group, Inc. upon closing), closed July 1, 2003. The Managing
Owner, as well as the commodity broker, will continue to be indirect wholly
owned subsidiaries of Prudential.

B. Related Parties

   The Managing Owner of the Trust is a wholly owned subsidiary of Prudential
Equity Group ('PEG'), which, in turn, is an indirect wholly owned subsidiary of
Prudential Financial, 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, PEG 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 six months
ended June 30, 2003 and 2002 were $838,313 and $850,738, respectively, and for
the three months ended June 30, 2003 and 2002 were $472,822 and $397,838,
respectively.

   The Trust's assets are maintained either in trading or cash accounts for
margin purposes with PEG, the Trust's commodity broker. PEG 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 PEG. PEG 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 PEG and the Trust pursuant to a line of credit. PEG may require that
collateral be posted against the marked-to-market position of the Trust.

   As of June 30, 2003, a non-U.S. affiliate of the Managing Owner owned 221.232
limited interests of the Trust.

                                       5

<Page>

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 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.

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 PEG, the Trust's Commodity
Broker, is the sole counterparty. The Trust has entered into a master netting
agreement with PEG 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 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; 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 Agreements among the Trust, the Managing
Owner and its Trading Managers, the Trust shall automatically terminate any
trading manager if the net asset value allocated to that 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 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.

                                       6

<Page>

   PEG, 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 PEG. At June 30, 2003, such segregated assets totalled $19,133,777. Part 30.7
of the CFTC regulations also requires PEG to secure assets of the Trust related
to foreign futures trading, which totalled $5,957,540 at June 30, 2003. There
are no segregation requirements for assets related to forward trading.

   As of June 30, 2003, all of the Trust's open futures and forward contracts
mature within one year.

D. Financial Highlights

<Table>
<Caption>
                                            Six Months Ended                 Three Months Ended
                                                June 30,                          June 30,
                                      ----------------------------    --------------------------------
                                          2003            2002             2003              2002
<S>                                   <C>             <C>             <C>               <C>
Performance per Interest
  Net asset value, beginning of
  period                                $ 223.61        $ 182.24         $ 232.14          $ 163.81
                                      ------------    ------------    --------------    --------------
  Net realized gain and change in
     unrealized gain/loss on
     commodity transactions                34.46           40.49            22.35             55.48
  Interest income                           1.55            1.83             0.77              0.91
  Expenses                                (12.30)          (9.11)           (7.94)            (4.75)
                                      ------------    ------------    --------------    --------------
  Net increase for the period              23.71           33.21            15.18             51.64
                                      ------------    ------------    --------------    --------------
  Net asset value, end of period        $ 247.32        $ 215.45         $ 247.32          $ 215.45
                                      ------------    ------------    --------------    --------------
                                      ------------    ------------    --------------    --------------
Total return                               10.60%          18.22%            6.54%            31.52%
Ratio to average net assets
  (annualized)
  Interest income                           1.28%           2.10%            1.26%             2.05%
  Expenses, including 1.61% and
     0.59% of incentive fees for
     the six months ended June 30,
     2003 and 2002, respectively
     and 3.27% and 1.20% of
     incentive fees for the three
     months ended June 30, 2003 and
     2002, respectively                    10.04%          10.43%           12.93%            10.67%
</Table>

      These financial highlights represent the overall results of the Trust
during the six and three month periods ended June 30, 2003 and 2002,
respectively. An individual interest holder's actual results may differ
depending on the timing of redemptions.

                                       7

<Page>

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

Liquidity and Capital Resources

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

   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, 2003 were $1,844,350 and $18,608, respectively, and for
the three months ended June 30, 2003 were $798,916 and $8,161, respectively.
Redemptions of limited interests and general interests from the commencement of
operations, January 5, 1995, to June 30, 2003 totalled $77,805,240 and $655,981,
respectively. Future redemptions will impact the amount of funds available for
investment in commodity contracts in subsequent periods.

   At June 30, 2003, 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. PEG 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 permitting the use of stop loss provisions. See Note C 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.

Results of Operations

   The net asset value per Interest as of June 30, 2003 was $247.32, an increase
of 10.60% from the December 31, 2002 net asset value per Interest of $223.61,
and an increase of 6.54% from the March 31, 2003 net asset value per interest of
$232.14. Past performance is not necessarily indicative of future results.

   The Trust's trading gains before commissions were $3,532,000 and $2,254,000
during the six and three months ended June 30, 2003 compared to $4,774,000 and
$6,720,000 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.

                                       8

<Page>

Quarterly Market Overview

   In the U.S., the beginning of the second quarter of 2003 saw few signs of
relief from a sluggish economy with a growth rate of 2.4 percent. Nominal GDP
continued to trend downward in hand with falling consumer and producer prices
and interest rates. Concerns about the slump in American telecom and internet
industries, accounting fraud and the largest budget deficit the U.S. has ever
faced have hampered investments in the U.S. Despite resolution to the war in
Iraq, consumer and business confidence remained tepid. Companies desiring to
improve profits remained unwilling to make big capital spending commitments or
increase their workforces and inventories. Orders to U.S. factories for
big-ticket items and production figures fell in April. In June, the unemployment
rate jumped to a nine-year high of 6.4 percent. Payroll slashes in manufacturing
and information industries generated the greatest job losses. As companies
attempted to do more with leaner workforces, overall productivity rose and
provided support for household income. The rise in income, combined with low
interest rates, reduced taxes, and availability of substantial home equity
spurred gains in consumer spending and increased sales of new homes. Toward the
end of the quarter, manufacturing rose slightly, but still indicated that the
sector shrank for the fourth straight month. Meanwhile, new orders for durable
goods, machinery, automobiles, electrical equipment, home supplies and computers
increased, reversing previous downward trends.

   Global economies remained weak in the second quarter of 2003 and were further
hampered by the decline of the U.S. dollar which made overseas goods more
expensive, thus curtailing demand. In May, Germany, Italy and the Netherlands
reported an unexpected contraction in their economies during the first three
months of the year with Germany and Netherlands experiencing a second quarter of
negative growth. The European Union stated that overall economic growth had
stalled and consequently, applied pressure on the central banks to ease interest
rates. Business investment dropped sharply while domestic demand remained bleak.
The Japanese economy continued to stumble as other Asian economies began to
recover from the effects of the SARS outbreak. Furthermore, fears of deflation
loomed over already troubled global economies.

   Indices: Despite economic data indicating the worst is not yet over, global
equity markets surged in the second quarter of 2003. Spurred by the easing of
geopolitical tensions, massive short covering, excess liquidity, some positive
first quarter earnings reports, and optimism that economic recovery is near,
investors flocked toward equities. A rally in Japanese stocks was fueled
primarily by foreign mutual funds, hedge funds and other non-Japanese
institutional investors who invested more than ten times as much as local
investors in June. The Japanese Nikkei, London FTSE, Dow Jones Industrial
Average, NASDAQ and S&P 500 all ended the quarter higher.

   Interest rates: Fixed income markets in May witnessed a drop in interest
rates of developed countries due to the U.S. Federal Reserve (the 'Fed')
deflation talk as well as institutions and hedge funds borrowing to purchase
longer maturities, possible Fed purchases of longer maturities, hedging by
mortgage investors as rates fell, and central banks buying dollars and investing
in Treasuries. The decline in interest rates led to gains in German, Japanese,
U.S. Treasury and Eurodollar bond prices. In June, the market reacted with
disappointment to the Fed's quarter point cut in short-term interest rates and
as a result, intermediate and long-term rates rose. Investors in Japan moved
capital into the equity markets at the expense of U.S. Treasury and Japanese
bonds. Concern about deteriorating public finances in most large economies and a
renewed interest in equities in hopes of an economic recovery resulted in
falling bond prices through the quarter and the subsequent rising of long-term
rates.

   Currencies: In the foreign exchange markets, the U.S. dollar moved sharply
lower against most major currencies during the quarter. Investors shifted their
focus from the war in Iraq to concerns about U.S. economic health with its
widening current account deficit and lower relative interest rate resulting in
the dollar's three-year low against the Canadian and Australian dollar and
four-year low against the Euro. The reversal of the U.S.'s strong dollar policy
by Treasury Secretary Snow led to a further sell off of the greenback leading to
a 4.5-year low against the Swiss franc.

   Energies: Energy price declines began in March and continued as the war in
Iraq became inevitable. Because supplies were secured and unthreatened by the
war, the prices of crude oil, unleaded gasoline and London gas oil were down in
April of 2003. Natural gas prices were largely unaffected by events in the
Middle East, Nigeria and Venezuela. In order to stave off the declining prices
and correct an oversupply as crude demand reached a seasonal low, OPEC members
agreed to cut current output by seven percent in

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April. Toward the end of the quarter, energy prices, in general, were higher due
to Nigeria's general worker's strike, low U.S. oil inventory levels and
expectations of U.S. economic growth.

Quarterly Trust Performance

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

   Currencies (+): The U.S. dollar fell against many foreign currencies amid
concerns of a weak U.S. economy. The Canadian dollar and euro strengthened this
quarter resulting in net gains for long Canadian dollar/Japanese yen,
euro/Japanese yen and U.S. dollar/Canadian dollar cross-rate positions.

   Interest rates (+): Weak global economies, fears of deflation and renewed
interest in equities resulted in falling global bond prices. Short U.S. Treasury
and European bond positions led to net gains for the Trust.

   Metals (-): Declines in manufacturing resulted in falling base metal prices.
Long positions in copper and aluminum resulted in net losses.

   Indices (-): Short positions in the London OMLX, German DAX, and French
MATCAC indices led to net losses as global equity markets rose throughout the
quarter.

   Energies (-): Nigeria's general worker's strike, low U.S. oil inventory
levels and expectation of economic growth led to rising energy prices toward the
end of the quarter. Short positions in natural gas, heating oil and light crude
oil resulted in net losses for the Trust.

   Grains (-): Corn and wheat prices continued to decline due to ideal weather
conditions and a strong harvest resulting in net losses for long positions in
the Trust.

   Softs (-): Net losses in short cotton positions resulted from unfavorable
weather conditions and high volatility in cotton markets. The cocoa market saw
increased production and price volatility throughout the quarter with long
positions resulting in net losses for the Trust.

   Interest income is earned on the average net assets held at PEG and,
therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased $70,000 and $32,000 for the six and three
months ended June 30, 2003 compared to the corresponding periods in 2002. These
decreases were due to the decrease in interest rates during 2002, offset in part
by an increase in net assets as a result of strong trading performance during
2003 and the second and third quarters of 2002.

   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 six and three months ended June 30, 2003
decreased $12,000 and increased $75,000, respectively, compared to the
corresponding periods in 2002. The decrease for the six month period was due to
the Trust not incurring commissions on the portion of assets unallocated to
trading until February 2003 when each of the new trading managers began trading.
The increase during the three month period was a result of strong trading
performance.

   Management fees are calculated on the Trust's net asset value at the end of
each month and, therefore, are affected by trading performance and redemptions.
Management fees for the six and three months ended June 30, 2003 decreased
$7,000 and increased $12,000, respectively, compared to the corresponding
periods in 2002 for the same reasons commissions decreased and increased 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 of $203,000 and $65,000
were incurred during the six and three months ended June 30, 2003 and 2002,
respectively.

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, additional information regarding quantitative and qualitative
disclosures about market risk is not required.

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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 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 chief executive officer and chief
financial officer concluded that the Trust's disclosure controls and procedures
are effective.

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                           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 May 2003, Ronald J. Ivans was elected by
                           the Board of Directors of Prudential Securities
                           Futures Management Inc. as Chief Financial Officer
                           and Treasurer replacing Steven Weinreb.

Item 6. (a) Exhibits and Reports on Form 8-K--

          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)

         31.1--Certificate pursuant to Exchange Act Rules 13a-14
               and 15d-14 (filed herewith)

         31.2--Certificate pursuant to Exchange Act Rules 13a-14 and
               15d-14 (filed herewith)

         32.1--Certificate 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--Certificate pursuant to 18 U.S.C. Section 1350 as
               adopted pursuant to Section 906 of the SARBANES-OXLEY Act
               of 2002 (furnished herewith)

        (b) Reports on Form 8-K--None

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                                   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/ Ronald J. Ivans                      Date: August 14, 2003
     ----------------------------------------
     Ronald J. Ivans
     Chief Financial Officer

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