<PAGE>
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM 10-Q

(Mark One)

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

For the quarterly period ended March 31, 2001

                                       OR

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

For the transition period from _______________________ to ______________________

Commission file number: 0-26004

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

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

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

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

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

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

<PAGE>
                         PART I. FINANCIAL INFORMATION
                          ITEM I. FINANCIAL STATEMENTS
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                        March 31,      December 31,
                                                                          2001             2000
<S>                                                                    <C>             <C>
---------------------------------------------------------------------------------------------------
ASSETS
Cash                                                                   $29,703,511     $26,730,111
Net unrealized gain on open futures contracts                            2,310,980       4,674,695
Net unrealized gain on open forward contracts                              306,433         870,491
Other receivables                                                           15,118           7,523
                                                                       -----------     ------------
Total assets                                                           $32,336,042     $32,282,820
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 1,910,738     $ 2,980,451
Management fees payable                                                     53,893          53,805
                                                                       -----------     ------------
Total liabilities                                                        1,964,631       3,034,256
                                                                       -----------     ------------
Commitments

Trust capital
Limited interests (142,652.950 and 151,627.034 interests
  outstanding)                                                          30,067,684      28,956,000
General interests (1,441 and 1,532 interests outstanding)                  303,727         292,564
                                                                       -----------     ------------
Total trust capital                                                     30,371,411      29,248,564
                                                                       -----------     ------------
Total liabilities and trust capital                                    $32,336,042     $32,282,820
                                                                       -----------     ------------
                                                                       -----------     ------------

Net asset value per limited and general interest ('Interests')         $    210.78     $    190.97
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
                 The accompanying notes are an integral part of these statements.
</TABLE>
                                       2
<PAGE>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                            Three months ended
                                                                                 March 31,
                                                                        ---------------------------
                                                                           2001            2000
<S>                                                                     <C>             <C>
---------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions                      $ 6,272,149     $(1,824,255)
Change in net unrealized gain/loss on open commodity positions           (2,927,773)        502,576
Interest income                                                             399,416         564,225
                                                                        -----------     -----------
                                                                          3,743,792        (757,454)
                                                                        -----------     -----------

EXPENSES
Commissions                                                                 560,306         783,485
Management fees                                                             149,901         399,243
                                                                        -----------     -----------
                                                                            710,207       1,182,728
                                                                        -----------     -----------
Net income (loss)                                                       $ 3,033,585     $(1,940,182)
                                                                        -----------     -----------
                                                                        -----------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                                                       $ 3,003,241     $(1,920,777)
                                                                        -----------     -----------
                                                                        -----------     -----------
General interests                                                       $    30,344     $   (19,405)
                                                                        -----------     -----------
                                                                        -----------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average limited and general interest     $     19.81     $     (8.31)
                                                                        -----------     -----------
                                                                        -----------     -----------
Weighted average number of limited and general interests outstanding        153,159         233,363
                                                                        -----------     -----------
                                                                        -----------     -----------
---------------------------------------------------------------------------------------------------
</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, 2000            153,159.034     $28,956,000     $292,564      $29,248,564
Net income                                                    3,003,241       30,344        3,033,585
Redemptions                                  (9,065.084)     (1,891,557)     (19,181 )     (1,910,738)
                                           ------------     -----------     ---------     -----------
Trust capital--March 31, 2001               144,093.950     $30,067,684     $303,727      $30,371,411
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements.
</TABLE>
                                       3
<PAGE>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
                                 MARCH 31, 2001
                                  (Unaudited)

A. General

   These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the
financial statements contain all adjustments (consisting of only normal
recurring adjustments) necessary to present fairly the financial position of
Diversified Futures Trust I (the 'Trust') as of March 31, 2001 and the results
of its operations for the three months ended March 31, 2001 and 2000. 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, 2000.

B. Related Parties

   The Managing Owner of the Trust is a wholly owned subsidiary of Prudential
Securities Incorporated ('PSI'), which, in turn, is a wholly owned subsidiary of
Prudential Securities Group Inc. The Managing Owner and its affiliates perform
services for the Trust which include, but are not limited to: brokerage
services; accounting and financial management; registrar, transfer and
assignment functions; investor communications; printing and other administrative
services. Except for costs related to brokerage services, PSI or its affiliates
pay the costs of these services as well as the Trust's routine operational,
administrative, legal and auditing costs.

   The costs charged to the Trust for brokerage services for the three months
ended March 31, 2001 and March 31, 2000 were $560,306 and $783,485,
respectively.

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

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

   As of March 31, 2001, a non-U.S. affiliate of the Managing Owner owns 578.511
limited interests of the Trust.

C. Derivative Instruments and Associated Risks

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

Market Risk

   Trading in futures and forward (including foreign exchange) contracts
involves entering into contractual commitments to purchase or sell a particular
commodity at a specified date and price. The gross or face amount of the
contracts, which is typically many times that of the Trust's net assets being
traded, significantly exceeds the Trust's future cash requirements since the
Trust intends to close out its open positions prior to settlement. As a result,
the Trust is generally subject only to the risk of loss arising from the change

                                       4

<PAGE>
in the value of the contracts. As such, the Trust considers the 'fair value' of
its derivative instruments to be the net unrealized gain or loss on the
contracts. The market risk associated with the Trust's commitments to purchase
commodities is limited to the gross or face amount of the contracts held.
However, when the Trust enters into a contractual commitment to sell
commodities, it must make delivery of the underlying commodity at the contract
price and then repurchase the contract at prevailing market prices. Since the
repurchase price to which a commodity can rise is unlimited, entering into
commitments to sell commodities exposes the Trust to unlimited risk.

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

Credit Risk

   When entering into futures or forward contracts, the Trust is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign
futures exchanges is the clearinghouse associated with such exchanges. 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, the sole counterparty to the Trust's
forward transactions is PSI, the Trust's commodity broker. The Trust has entered
into a master netting agreement with PSI and, as a result, presents unrealized
gains and losses on open forward positions as a net amount in the statements of
financial condition. The amount at risk associated with counterparty
non-performance of all of the Trust's contracts is the net unrealized gain
included in the statements of financial condition. There can be no assurance
that any counterparty, clearing member or clearinghouse will meet its
obligations to the Trust.

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

   PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to the Trust all assets of the Trust relating to
domestic futures trading and is not allowed to commingle such assets with other
assets of PSI. At March 31, 2001, such segregated assets totalled $21,408,240.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of the
Trust related to foreign futures trading, which totalled $10,606,251 at March
31, 2001. There are no segregation requirements for assets related to forward
trading.

   As of March 31, 2001, the Trust's open futures and forward contracts mature
within one year.

                                       5

<PAGE>
   At March 31, 2001 and December 31, 2000, the fair value of open futures and
forward contracts was:

<TABLE>
<CAPTION>
                                            2001                                    2000
                            -------------------------------------   -------------------------------------
                                 Assets            Liabilities           Assets            Liabilities
                            -----------------   -----------------   -----------------   -----------------
<S>                         <C>                 <C>                 <C>                 <C>
Futures Contracts:
  Domestic exchanges
     Interest rates            $   169,007          $  68,750          $ 1,022,561          $      --
     Stock indices                 212,750                 --              221,700                 --
     Currencies                  1,370,208                 13            1,479,050            111,600
     Commodities                   315,726              4,639              881,010            131,336
  Foreign exchanges
     Interest rates                257,385            228,883              870,562                 --
     Stock indices                 239,937             24,955              388,967             27,913
     Commodities                   102,077             28,870              127,439             45,745
Forward Contracts:
  Currencies                       448,535            142,102              882,242             11,751
                            -----------------   -----------------   -----------------   -----------------
                               $ 3,115,625          $ 498,212          $ 5,873,531          $ 328,345
                            -----------------   -----------------   -----------------   -----------------
                            -----------------   -----------------   -----------------   -----------------
</TABLE>

D. Financial Highlights

<TABLE>
<CAPTION>
                                                                       Three Months Ended
                                                                         March 31, 2001
                                                                       -------------------
        <S>                                                            <C>
        Performance per Interest
          Net asset value, beginning of period                              $  190.97
                                                                       -------------------
          Net realized gain and change in net unrealized gain/loss
             on commodity transactions                                          21.84
          Interest income                                                        2.61
          Expenses                                                              (4.64)
                                                                       -------------------
          Increase for the period                                               19.81
                                                                       -------------------
          Net asset value, end of period                                    $  210.78
                                                                       -------------------
                                                                       -------------------
        Total return                                                            10.37%
        Ratio to average net assets
          Interest income                                                        5.37%
          Expenses                                                               9.55%
</TABLE>

                                       6

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

Liquidity and Capital Resources

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

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last day of any calendar quarter at the then current NAV per Interest.
Redemptions of limited interests and general interests for the three months
ended March 31, 2001 were $1,891,557 and $19,181. Redemptions of limited
interests and general interests from the commencement of operations, January 5,
1995, to March 31, 2001 totalled $68,355,733 and $560,607, respectively. Future
redemptions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.

   At March 31, 2001, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
100% of the interest it earns on the average net assets in these accounts.

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

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

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

Results of Operations

   The net asset value per Interest as of March 31, 2001 was $210.78, an
increase of 10.37% from the December 31, 2000 net asset value per Interest of
$190.97. Past performance is not necessarily indicative of future results.

   The Trust's gross trading gains/(losses) were $3,344,000 during the three
months ended March 31, 2001 compared to ($1,322,000) for the corresponding
period in the prior year. Due to the nature of the Trust's trading activities, a
period to period comparison of its trading results is not meaningful. However, a
detailed discussion of the Trust's current quarter trading results is presented
below.

                                       7

<PAGE>
Quarterly Market Overview

   The first quarter of 2001 brought a global economic slowdown to most world
markets, characterized by negative earning reports, layoffs and low
manufacturing numbers. Investor concerns regarding earnings sparked lower equity
prices and tighter terms on credit. Consumer spending and business capital
investment decelerated markedly, partly due to decreased consumer and business
confidence. This weakening, which was especially evident in durable goods
industries, led to large cutbacks in manufacturing outputs as numerous firms
attempted to cut excess inventory. In addition, elevated energy costs drained
consumer purchasing power and added to business costs, adversely affecting
profits and stock market valuations. Except for energy prices, inflation rates
remained subdued throughout the quarter.

   In light of the rapid weakening in economic expansion in recent months and
deterioration in business and consumer confidence, the U.S. Federal Reserve
followed a relatively aggressive policy, lowering rates three times during the
first quarter of 2001. The Fed's attempt to avoid recession in the U.S. included
a surprising 50 basis point cut between regularly scheduled Federal Open Market
Committee meetings for a total 150 basis point reduction for the quarter. The
Fed saw little inflation risk due to reduced pressure on resources which stemmed
from sluggish performance of the economy and relatively subdued expectations of
inflation. Other central banks followed the Fed's lead, lowering interest rates
as well. In Japan, ongoing economic weakness reinforced expectations that the
Bank of Japan (BOJ) would reinstate its zero interest rate policy. While it
stopped short of directly cutting rates, in March the BOJ announced that it
would take other measures to guide rates lower. As poor corporate earnings and
weak economic data were released throughout the quarter, investors moved assets
from equity markets to fixed income, driving bond markets higher.

   Equity markets performed poorly across the board during the first quarter as
foreign stock markets generally followed the downtrend of the U.S. markets.
Technology stocks led the way and the NASDAQ fell to its lowest level in nearly
two years. Losses in the Dow Jones and NASDAQ brought these indexes under the
key 10,000 and 2,000 levels, respectively, and the DAX, FTSE, CAC-40 and Nikkei
experienced similar losses.

   In foreign exchange markets, the U.S. dollar rose slightly against many
foreign currencies throughout the quarter, reflecting expectations that some of
those economies might be adversely affected by slower economic growth in the
United States. Additionally, the U.S. dollar strengthened as investors around
the globe felt that it was safest in this time of economic uncertainty. The
dollar also rose versus the Japanese yen throughout the quarter, reflecting
continuing economic stagnation in Japan. The euro rose against the U.S. dollar
at the beginning of the quarter as prospects for U.S. short-term economic growth
deteriorated relative to those for Europe. Later in the quarter, the euro traded
lower against the dollar as weak economic data was released in Germany and the
European Central Bank decided to leave interest rates unchanged, which dampened
the outlook for European Union growth.

   Energy prices generally remained high throughout most of the quarter. Crude
oil prices increased in January as OPEC announced a likely 5% cut in production.
In March, an agreement by OPEC members to cut production for the second time
this year was not enough to overcome concerns that slowing economies will reduce
oil consumption and prices declined slightly.

Quarterly Trust Performance

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

   Interest rate (+): Fear of a U.S. recession and falling equity prices
together with the U.S. Federal Reserve's rate reduction strategy, resulted in a
flight to quality in the bond market. Bond prices soared throughout the quarter
and gains resulted from long positions in U.S. Treasury notes, eurobonds and
Japanese government bonds.

   Currency (+): Short Japanese yen positions resulted in gains as the yen
dropped due to continued signs of weakness in the Japanese economy and
expectations that the Bank of Japan would reinstate its zero-interest rate
policy.

   Index (+): Weakness in the U.S. economy and negative earning reports from
blue chip and technology companies caused U.S. and foreign equity markets to
tumble throughout the quarter. Short NASDAQ and London FTSE positions resulted
in gains.

                                       8

<PAGE>
   Metal (+): Gold markets declined in March, as the Bank of England's auction
of a portion of its reserves was met with a disappointing response. In addition,
signs of a global economic slowdown, which could lead to a decline in demand,
helped push gold prices lower. Short gold positions resulted in gains toward
quarter-end.

   Energy (-): Short energy positions resulted in losses as prices generally
remained high during the first quarter of the year. Crude oil prices moved up in
January as OPEC announced production cuts.

   Interest income is earned on the average net assets held at PSI and,
therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased approximately $165,000 for the three
months ended March 31, 2001 compared to the corresponding period in 2000. This
decrease was primarily due to lower net assets during 2000 as a result of
redemptions and weak trading performance during 2000 through the third quarter.

   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 three months ended March 31, 2001 decreased
approximately $223,000 compared to the corresponding period in 2000. This
decrease was primarily due to lower monthly net asset values as a result of
redemptions, and weak trading performance during 2000 through the third quarter.

   All trading decisions for the Trust are made by John W. Henry & Company, Inc.
(the 'Trading Manager'). Management fees are calculated on the Trust's net asset
value at the end of each month and, therefore, are affected by trading
performance and redemptions. Management fees for the three months ended March
31, 2001 decreased approximately $249,000 compared to the corresponding period
in 2000 due to the reduction in the monthly management fee paid to the Trading
Manager from 1/3 of 1% ( a 4% annual rate) to 1/6 of 1% (a 2% annual rate)
effective October 1, 2000, as well as the effect on the monthly net asset value
of redemptions and poor trading performance during 2000 through the third
quarter.

   Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Manager. As of October 1, 2000, the incentive fee
was increased from 15% to 20%. No incentive fees were generated during the three
months ended March 31, 2001 or 2000.

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.

                                       9

<PAGE>
                           PART II. OTHER INFORMATION

Item 1. Legal Proceedings--There are no material legal proceedings pending by or
        against the Registrant or the Managing Owner.

Item 2. Changes in Securities--None

Item 3. Defaults Upon Senior Securities--None

Item 4. Submission of Matters to a Vote of Security Holders--None

Item 5. Other Information--Effective February 2001 and March 2001, respectively,
        Alan J. Brody and A. Laurence Norton, Jr. resigned as Directors of
        Prudential Securities Futures Management Inc.

Item 6. (a) Exhibits--

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

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

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

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

                                       10

<PAGE>
                                   SIGNATURES

   Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.

Diversified Futures Trust I

By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner

     By: /s/ Steven Carlino                       Date: May 11, 2001
     ----------------------------------------
     Steven Carlino
     Vice President and Treasurer

                                       11