<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 June 30, 2002

                                       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>
                                                                        June 30,       December 31,
                                                                          2002             2001
---------------------------------------------------------------------------------------------------
<S>                                                                    <C>             <C>
ASSETS
Cash                                                                   $22,409,603     $23,096,296
Net unrealized gain (loss) on open futures contracts                       886,841         (80,717)
Net unrealized gain on open forward contracts                            2,903,201       1,281,566
                                                                       -----------     ------------
Net equity                                                              26,199,645      24,297,145
Other receivables                                                            6,943           4,852
                                                                       -----------     ------------
Total assets                                                           $26,206,588     $24,301,997
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 1,615,508     $   591,415
Incentive fees payable                                                      64,560              --
Management fees payable                                                     43,678          40,503
                                                                       -----------     ------------
Total liabilities                                                        1,723,746         631,918
                                                                       -----------     ------------
Commitments

Trust capital
Limited interests (112,500.619 and 128,587.499 interests
  outstanding)                                                          24,237,879      23,433,353
General interests (1,137 and 1,299 interests outstanding)                  244,963         236,726
                                                                       -----------     ------------
Total trust capital                                                     24,482,842      23,670,079
                                                                       -----------     ------------
Total liabilities and trust capital                                    $26,206,588     $24,301,997
                                                                       -----------     ------------
                                                                       -----------     ------------

Net asset value per limited and general interest ('Interests')         $    215.45     $    182.24
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------

<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
<Table>
<Caption>
                                                  June 30, 2002                     December 31, 2001
                                         --------------------------------    --------------------------------
                                         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                                             $  995,129                          $   20,022
  Stock Indices                                                      --                             (18,901)
  Commodities                                                   (35,307)                           (194,643)
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts purchased               3.92%            959,822           (0.82)%          (193,522)
                                                           --------------                      --------------
Futures contracts sold:
  Interest rates                                                     --                             241,725
  Stock indices                                                  41,066                                  --
  Commodities                                                  (114,047)                           (128,920)
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts sold                    (.30)%           (72,981)           0.48%            112,805
                                            -------        --------------        ------        --------------
Net unrealized gain (loss) on futures
  contracts                                    3.62%         $  886,841           (0.34)%        $  (80,717)
                                            -------        --------------        ------        --------------
                                            -------        --------------        ------        --------------
Forward currency contracts purchased:
  Euro/U.S. dollar--crossrate                  6.47%          1,584,206              --                  --
                                            -------        --------------        ------        --------------
  Other                                        6.09           1,490,358            0.01%              2,425
                                            -------        --------------        ------        --------------
     Net unrealized gain on forward
     contracts purchased                      12.56          $3,074,564            0.01%         $    2,425
                                            -------        --------------        ------        --------------
Forward currency contracts sold:
  Japanese yen/U.S. dollar--crossrates             %                 --            6.01%          1,423,296
  Other                                        (.70)           (171,363)          (0.61)%          (144,155)
                                            -------        --------------        ------        --------------
     Net unrealized gain (loss) on
     forward contracts sold                    (.70)%          (171,363)           5.40%          1,279,141
                                            -------        --------------        ------        --------------
Net unrealized gain on forward
  contracts                                   11.86%         $2,903,201            5.41%         $1,281,566
                                            -------        --------------        ------        --------------
                                            -------        --------------        ------        --------------
Settlement Currency--Futures Contracts
  British pound                                 .30%         $   73,110            0.10%         $   24,354
  Euro                                         1.47%            360,663            1.23%            291,620
  Japanese yen                                 1.09%            266,590           (0.36)%           (84,540)
  Canadian dollar                               .01%              3,663            0.11%             26,431
  Australian dollar                            (.05)%           (11,797)           0.16%             36,474
  U.S. dollar                                   .80%            194,612           (1.58)%          (375,056)
                                            -------        --------------        ------        --------------
     Total                                     3.62%         $  886,841           (0.34)%        $  (80,717)
                                            -------        --------------        ------        --------------
                                            -------        --------------        ------        --------------
Settlement Currency--Forward Contracts
     U.S. dollar                              11.86          $2,903,201            5.41%         $1,281,566
                                            -------        --------------        ------        --------------
                                            -------        --------------        ------        --------------
<Caption>
-------------------------------------------------------------------------------------------------------------
                      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,
                                             ---------------------------    ---------------------------
                                                2002            2001           2002            2001
-------------------------------------------------------------------------------------------------------
<S>                                          <C>             <C>            <C>             <C>
REVENUES
Net realized gain (loss) on commodity
  transactions                               $ 2,184,447     $ 5,374,481    $ 3,026,569     $  (897,668)
Change in net unrealized gain/loss on open
  commodity positions                          2,589,193      (5,149,593)     3,693,665      (2,221,820)
Interest income                                  229,860         702,831        110,380         303,415
                                             -----------     -----------    -----------     -----------
                                               5,003,500         927,719      6,830,614      (2,816,073)
                                             -----------     -----------    -----------     -----------
EXPENSES
Commissions                                      850,738       1,117,862        397,838         557,556
Management fees                                  226,498         288,163        113,389         138,262
Incentive fees                                    64,560              --         64,560              --
                                             -----------     -----------    -----------     -----------
                                               1,141,796       1,406,025        575,787         695,818
                                             -----------     -----------    -----------     -----------
Net income (loss)                            $ 3,861,704     $  (478,306)   $ 6,254,827     $(3,511,891)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                            $ 3,823,057     $  (473,530)   $ 6,192,246     $(3,476,771)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
General interests                            $    38,647     $    (4,776)   $    62,581     $   (35,120)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average
  limited and general interest               $     30.77     $     (3.22)   $     51.63     $    (24.37)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
Weighted average number of limited and
  general interests outstanding                  125,511         148,627        121,136         144,094
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------

-------------------------------------------------------------------------------------------------------
</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, 2001            129,886.499     $23,433,353     $236,726      $23,670,079
Net gain                                             --       3,823,057       38,647        3,861,704
Redemptions                                 (16,248.880)     (3,018,531)     (30,410 )     (3,048,941)
                                           ------------     -----------     ---------     -----------
Trust capital--June 30, 2002                113,637.619     $24,237,879     $244,963      $24,482,842
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------

<Caption>
-----------------------------------------------------------------------------------------------------
                  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, 2002
                                  (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, 2002 and the results of
its operations for the six and three months ended June 30, 2002 and 2001.
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, 2001.

B. Related Parties

   The Managing Owner of the Trust is a wholly owned subsidiary of Prudential
Securities Incorporated ('PSI'), 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, 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 six months
ended June 30, 2002 and 2001 were $850,738 and $1,117,862, respectively, and for
the three months ended June 30, 2002 and 2001 were $397,838 and $557,556,
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 June 30, 2002, a non-U.S. affiliate of the Managing Owner owned 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 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

                                       5

<Page>

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

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

Credit Risk

   When entering into futures or forward contracts, the Trust is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded 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, 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; however, counterparty
nonperformance on only certain of the Trust's contracts may result in greater
loss than nonperformance on all of the Trust's contracts. 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 June 30, 2002, such segregated assets totalled $11,410,382.
Part 30.7 of the CFTC regulations also requires PSI to secure assets of the
Trust related to foreign futures trading, which totalled $11,886,062 at June 30,
2002. There are no segregation requirements for assets related to forward
trading.

   As of June 30, 2002, the Trust's open futures and forward contracts mature
within one year.

                                       6

<Page>

D. Financial Highlights

<Table>
<Caption>
                                                          Six Months Ended       Three Months Ended
                                                              June 30,                June 30,
                                                         -------------------     -------------------
                                                          2002        2001        2002        2001
<S>                                                      <C>         <C>         <C>         <C>
Performance per Interest
  Net asset value, beginning of period                   $182.24     $190.97     $163.81     $210.78
                                                         -------     -------     -------     -------
  Net realized gain (loss) and change in net
     unrealized gain/loss on commodity transactions        40.49         .19       55.48      (21.65)
  Interest income                                           1.83        4.71         .91        2.10
  Expenses                                                 (9.11)      (9.47)      (4.75)      (4.83)
                                                         -------     -------     -------     -------
  Net increase (decrease) for the period                   33.21       (4.57)      51.64      (24.38)
                                                         -------     -------     -------     -------
  Net asset value, end of period                         $215.45     $186.40     $215.45     $186.40
                                                         -------     -------     -------     -------
                                                         -------     -------     -------     -------
Total return                                               18.22%      (2.39)%     31.52%     (11.57)%
Ratio to average net assets (annualized)
  Interest income                                           2.10%       4.90%       2.05%       4.34%
  Expenses, including .59% and 1.20% of incentive fees
     for the six and three months ended June 30, 2002,
     respectively                                          10.43%       9.80%      10.67%       9.96%
</Table>

   These financial highlights represent the overall results of the Trust during
the six and three month periods ended June 30, 2002 and 2001, 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 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, 2002 were $3,018,531 and $30,410, respectively; and for the three
months ended June 30, 2002 were $1,599,349 and $16,159 respectively. Redemptions
of limited interests and general interests from the commencement of operations,
January 5, 1995, to June 30, 2002 totalled $74,031,935 and $617,842,
respectively. Future redemptions will impact the amount of funds available for
investment in commodity contracts in subsequent periods.

   At June 30, 2002, 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 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, 2002 was 215.45, an increase
of 18.22% from the December 31, 2001 net asset value per Interest of $182.24,
and an increase of 31.52% from the March 31, 2002 net asset value per interest
of $163.81. Past performance is not necessarily indicative of future results.

   The Trust's gross trading gains/(losses) were $4,774,000 and $6,720,000
during the six and three months ended June 30, 2002 compared to $225,000 and
$(3,119,000) 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

   Despite reports by the Federal Reserve Board (the 'Fed') indicating that
overall economic activity expanded at a moderate pace during the second quarter
of 2002, investor sentiment remained bleak. Most major U.S. equity indices
reached new lows as investor confidence worldwide was battered by reports of
corporate leadership misconduct and accounting irregularities. Continued
uncertainty in the Middle East and weaker than expected second quarter corporate
earnings added to investor uncertainty. The U.S. dollar fell against most major
foreign currencies during the quarter, while the price of interest rate
instruments rose. In the U.S., residential real estate markets generally
remained robust, but weakness persisted in most commercial markets. Retail sales
were generally flat and labor markets remained weak. Consumer spending and
manufacturing activity, which helped boost U.S. economic growth in previous
quarters, remained stagnant at a relatively high level. Additionally, continued
softness in the labor markets helped weaken consumer confidence. European and
Asian economic activity mirrored that of the U.S., but to a lesser extent.

   Global equity markets moved sharply lower throughout the quarter as investor
confidence collapsed in response to concerns about accounting transparency at
some firms, heightened tension in the Middle East, and decreased corporate sales
and profits. This resulted in investors re-evaluating their outlook for a
near-term economic recovery. In the U.S., concerns that unannounced accounting
problems will eliminate expected corporate profits continued to keep equity
markets down. At quarter-end, the year-to-date returns for the S&P 500, the
NASDAQ and the London FTSE were -14%, -25% and -10.75%, respectively.

   In bond markets, prices rose as interest rates fell in the U.S. on concerns
regarding a weak economic recovery and declines in the equity markets.
Additionally, declining equity markets led investors to switch allocations from
equity markets to fixed income markets, which are perceived as the current safe
haven for wealth. The Fed left interest rates unchanged at 1.75% in its two
meetings this quarter, declaring that its economic outlook for the near future
remained 'uncertain'. Other central banks, including the European Central Bank
and the Bank of Japan, generally followed the lead of the Fed leaving rates
unchanged and foreign bond markets rose as well.

   In foreign exchange markets, the U.S. dollar moved sharply lower against most
major currencies throughout the quarter, falling to new lows against some
currencies. Weak U.S. economic growth in relation to other economies and
concerns regarding accounting irregularities in major U.S. corporations drove
the dollar downward. Additionally, the decline in U.S. equity markets and
investor confidence decreased the desire to hold U.S. assets driving the U.S.
dollar lower against the euro, British pound, Swiss franc and Japanese yen.

   Gold and other precious metals soared throughout most of the quarter in
response to weaknesses in the U.S. dollar and global equity markets and
instability in the Middle East. Gold prices reversed at quarter-end as a result
of profit taking by traders and sentiment that the U.S. dollar would be
supported by U.S. and Japanese central banks.

Quarterly Trust Performance

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

   Currencies (+): Long Japanese yen/U.S. dollar, British pound/U.S. dollar,
euro/U.S. dollar, Swiss franc/U.S. dollar and Australian dollar/U.S. dollar
cross-rate positions resulted in gains as a weak U.S. economy and falling equity
markets caused the U.S. dollar to fall.

   Interest rates (+): Global bond markets rose as interest rates declined
during the quarter in response to poor equity market performance. Long positions
in Japanese and European bonds resulted in gains.

   Indices (+): Short positions in the London FTSE, NASDAQ and Euro DAX resulted
in gains as equity indices fell amid concerns regarding U.S. economic recovery,
accounting irregularities and weaker than expected corporate earnings.

   Energies (-): Energy prices declined amid increased U.S. inventory suggesting
ample supply for the summer season and anticipation that Russia would
discontinue output restrictions. Long crude, natural gas and heating oil
positions incurred losses.

   Metals (-): Short aluminum positions incurred losses at the start of the
quarter as industrial metals rallied in anticipation of a U.S. economic
recovery. Short copper positions incurred losses as copper rallied due to supply
cutbacks initiated by some producers.

                                       9

<Page>

   Softs (-): Long sugar positions resulted in losses as prices fell in
anticipation of increasing global sugar supplies. Decreased Vietnamese exports
and increased demand resulted in losses for short coffee positions.

   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 $473,000 and $193,000 for
the six and three months ended June 30, 2002 compared to the corresponding
periods in 2001. These decreases were due to lower interest rates during the
first six months of 2002 versus 2001. Additionally net assets were lower as a
result of redemptions and weak trading performance during 2001 through the first
quarter of 2002 offset, in part by strong trading performance during the second
quarter 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, 2002
decreased approximately $267,000 and $160,000 compared to the corresponding
periods in 2001. These decreases were primarily due to lower monthly net asset
values as a result of redemptions, and weak trading performance during 2001
through the first quarter of 2002 offset, in part by strong trading performance
during the second quarter of 2002.

   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 six and three months ended
June 30, 2002 decreased approximately $62,000 and $25,000 compared to the
corresponding periods in 2001 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 Manager, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Manager. An incentive fee of approximately
$65,000 was generated during the six and three months ended June 30, 2002, as a
result of strong trading performance during the second quarter of 2002. No
incentive fees were generated during the six and three months ended June 30,
2001.

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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<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 May 2002, Steven Weinreb was elected by the
        Board of Directors of Prudential Securities Futures Management Inc. as
        Chief Financial Officer replacing Barbara Brooks.

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)

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

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

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<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 Weinreb                       Date: August 14, 2002
     ----------------------------------------
     Steven Weinreb
     Chief Financial Officer

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