<PAGE>
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
 
                                   FORM 10-Q
 
(Mark One)
 
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934
 
For the quarterly period ended September 30, 1998
 
                                       OR
 
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934
 
For the transition period from _______________________ to ______________________
 
Commission file number: 0-26004
 
                          DIVERSIFIED FUTURES TRUST I
--------------------------------------------------------------------------------
             (Exact name of Registrant as specified in its charter)
 
Delaware                                        13-3780260
--------------------------------------------------------------------------------
(State or other jurisdiction of       (I.R.S. Employer Identification No.)
 incorporation or organization)
 
One New York Plaza, 13th Floor, New York, New York             10292
--------------------------------------------------------------------------------
(Address of principal executive offices)                     (Zip Code)
 
Registrant's telephone number, including area code (212) 778-7866
 
                                      N/A
--------------------------------------------------------------------------------
Former name, former address and former fiscal year, if changed since last report
 
   Indicate by check CK whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes _CK_  No __

<PAGE>
                         PART I. FINANCIAL INFORMATION
                          ITEM I. FINANCIAL STATEMENTS
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                      September 30,     December 31,
                                                                          1998              1997
<S>                                                                   <C>               <C>
----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $53,240,808      $65,565,864
Net unrealized gain on open commodity positions                         11,219,190        4,447,026
                                                                      -------------     ------------
Net equity                                                              64,459,998       70,012,890
Other receivables                                                           22,222           11,866
                                                                      -------------     ------------
Total assets                                                           $64,482,220      $70,024,756
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 2,664,753      $ 1,973,508
Management fee payable                                                     214,940          233,415
Incentive fee payable                                                       97,868          305,704
                                                                      -------------     ------------
Total liabilities                                                      $ 2,977,561        2,512,627
                                                                      -------------     ------------
Commitments
 
Trust capital
Limited interests (302,957.502 and 348,652.217 interests
  outstanding)                                                          60,889,449       66,836,959
General interests (3,061 and 3,522 interests outstanding)                  615,210          675,170
                                                                      -------------     ------------
Total trust capital                                                     61,504,659       67,512,129
                                                                      -------------     ------------
Total liabilities and trust capital                                    $64,482,220      $70,024,756
                                                                      -------------     ------------
                                                                      -------------     ------------
 
Net asset value per limited and general interests ('Interests')        $    200.98      $    191.70
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
                  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>
                                                Nine months ended                Three months ended
                                                  September 30,                     September 30,
                                          -----------------------------     -----------------------------
                                              1998             1997             1998             1997
<S>                                       <C>               <C>             <C>               <C>
---------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
  transactions                             $(1,524,504)     $ 2,191,566      $(3,234,989)     $ 3,390,429
Change in net unrealized gain/loss on
  open commodity positions                   6,772,164        1,626,034       13,698,908        1,345,148
Interest income                              2,550,915        2,855,116          828,140          953,742
                                          -------------     -----------     -------------     -----------
                                             7,798,575        6,672,716       11,292,059        5,689,319
                                          -------------     -----------     -------------     -----------
 
EXPENSES
Commissions                                  3,510,728        4,010,869        1,072,115        1,273,349
Management fees                              1,826,280        2,081,056          587,414          672,119
Incentive fees                                  97,868           70,715           97,868          --
                                          -------------     -----------     -------------     -----------
                                             5,434,876        6,162,640        1,757,397        1,945,468
                                          -------------     -----------     -------------     -----------
Net income                                 $ 2,363,699      $   510,076      $ 9,534,662      $ 3,743,851
                                          -------------     -----------     -------------     -----------
                                          -------------     -----------     -------------     -----------
ALLOCATION OF NET INCOME
Limited interests                          $ 2,340,065      $   504,979      $ 9,439,308      $ 3,706,411
                                          -------------     -----------     -------------     -----------
                                          -------------     -----------     -------------     -----------
General interests                          $    23,634      $     5,097      $    95,354      $    37,440
                                          -------------     -----------     -------------     -----------
                                          -------------     -----------     -------------     -----------
NET INCOME PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net income per weighted average limited
  and general interest                     $      6.99      $      1.31      $     29.86      $     10.07
                                          -------------     -----------     -------------     -----------
                                          -------------     -----------     -------------     -----------
Weighted average number of limited and
  general interests outstanding                338,255          389,921          319,277          371,877
                                          -------------     -----------     -------------     -----------
                                          -------------     -----------     -------------     -----------
---------------------------------------------------------------------------------------------------------
</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, 1997            352,174.217     $66,836,959     $675,170      $67,512,129
Net income                                                    2,340,065       23,634        2,363,699
Redemptions                                 (46,155.715)     (8,287,575)     (83,594 )     (8,371,169)
                                           ------------     -----------     ---------     -----------
Trust capital--September 30, 1998           306,018.502     $60,889,449     $615,210      $61,504,659
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                  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
                               SEPTEMBER 30, 1998
                                  (Unaudited)
 
A. General
 
   These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Diversified Futures Trust I (the 'Trust') as of September 30, 1998
and the results of its operations for the nine and three months ended September
30, 1998 and 1997. However, the operating results for the interim periods may
not be indicative of the results expected for the full year.
 
   Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Trust's Annual Report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 1997 (the 'Annual Report').
 
B. Related Parties
 
   Prudential Securities Futures Management Inc., a wholly owned subsidiary of
Prudential Securities Incorporated ('PSI'), is the managing owner of the Trust
(the 'Managing Owner'). 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 in addition to costs of organizing the Trust and
offering its interests as well as its routine operational, administrative, legal
and auditing fees. As described in the Annual Report, all commissions for
brokerage services are paid to PSI.
 
   The Trust maintains its trading and cash accounts at PSI, the Trust's
commodity broker. Except for the portion of assets that is deposited as margin
to maintain forward currency contract positions as further discussed below, the
Trust's assets are maintained either on deposit with PSI 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 net
assets in these 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 September 30, 1998, a non-U.S. affiliate of the Managing Owner owns
2,816.237 limited interests of the Trust.
 
C. Credit and Market Risk
 
   Since the Trust's business is to trade futures and forward (including foreign
exchange transactions) 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).
 
   Futures and forward contracts involve varying degrees of off-balance sheet
risk; and changes in the level of volatility of interest rates, foreign currency
exchange rates or the market values of the contracts (or commodities underlying
the contracts) frequently result in changes in the Trust's unrealized gain
(loss) on open commodity positions reflected in the statements of financial
condition. The Trust's exposure to market risk is influenced by a number of
factors including the relationships among the contracts held by the Trust as
well as the liquidity of the markets in which the contracts are traded.
 
   Futures contracts are traded on organized exchanges and are thus
distinguished from forward contracts which are entered into privately by the
parties. The credit risks associated with futures contracts are typically
 
                                       4
<PAGE>
perceived to be less than those associated with forward contracts, because
exchanges typically provide clearinghouse arrangements in which the collective
credit (subject to certain limitations) of the members of the exchanges is
pledged to support the financial integrity of the exchange. On the other hand,
the Trust must rely solely on the credit of its broker (PSI) with respect to
forward transactions. The Trust presents unrealized gains and losses on open
forward positions as a net amount in the statements of financial condition
because it has a master netting agreement with PSI.
 
   The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust's trading manager to abide by various trading limitations
and policies. The Managing Owner monitors compliance with these trading
limitations and policies which include, but are not limited to, executing and
clearing all trades with creditworthy counterparties (currently, PSI is the sole
counterparty or broker); limiting the amount of margin or premium required for
any one commodity or all commodities combined; and generally limiting
transactions to contracts which are traded in sufficient volume to permit the
taking and liquidating of positions. The Managing Owner may impose additional
restrictions (through modifications of such trading limitations and policies)
upon the trading activities of the trading manager as it, in good faith, deems
to be in the best interests of the Trust.
 
   PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to the Trust all assets of the Trust relating to
domestic futures trading and is not to commingle such assets with other assets
of PSI. At September 30, 1998 and December 31, 1997, such segregated assets
totalled $23,338,726 and $32,697,304, respectively. Part 30.7 of the CFTC
regulations also requires PSI to secure assets of the Trust related to foreign
futures trading which totalled $38,964,185 and $36,591,632 at September 30, 1998
and December 31, 1997, respectively. There are no segregation requirements for
assets related to forward trading.
 
   As of September 30, 1998, the Trust's open futures and forward contracts
mature within one year.
 
   At September 30, 1998 and December 31, 1997, gross contract amounts of open
futures and forward contracts are:
 
<TABLE>
<CAPTION>
                                          1998            1997
                                      ------------    ------------
<S>                                   <C>             <C>
Financial Futures Contracts:
  Commitments to purchase             $987,777,913    $323,162,224
  Commitments to sell                   11,142,035     164,238,663
Currency Forward Contracts:
  Commitments to purchase              113,534,422      19,553,488
  Commitments to sell                    7,762,128      80,175,259
Other Futures Contracts:
  Commitments to purchase                7,943,908       9,518,584
  Commitments to sell                    8,742,020      32,427,955
</TABLE>
 
   The gross contract amounts represent the Trust's potential involvement in a
particular class of financial instrument (if it were to take or make delivery on
an underlying futures or forward contract). The gross contract amounts
significantly exceed the future cash requirements as the Trust intends to close
out open positions prior to settlement and thus 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 futures and forward contracts to be the
net unrealized gain or loss on the contracts. Thus, the amount at risk
associated with counterparty nonperformance of all contracts is the net
unrealized gain included in the statements of financial condition. The market
risk associated with the Trust's commitments to purchase commodities is limited
to the gross contract amounts involved, while the market risk associated with
its commitments to sell is unlimited since the Trust's potential involvement is
to make delivery of an underlying commodity at the contract price; therefore, it
must repurchase the contract at prevailing market prices.
 
                                       5
<PAGE>
   At September 30, 1998 and December 31, 1997, the fair value of open futures
and forward contracts were:
 
<TABLE>
<CAPTION>
                                                       1998                            1997
                                            ---------------------------     --------------------------
                                              Assets        Liabilities       Assets       Liabilities
                                            -----------     -----------     ----------     -----------
<S>                                         <C>             <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                              $ 2,862,340     $        --     $  436,575     $        --
     Other                                      351,318         149,418      2,522,268         137,955
  Foreign exchanges
     Financial                                5,968,472              --      1,204,856         371,572
     Other                                       63,910          34,519         72,375           3,475
Forward Contracts:
     Currencies                               3,025,377         868,290      1,538,801         814,847
                                            -----------     -----------     ----------     -----------
                                            $12,271,417     $ 1,052,227     $5,774,875     $ 1,327,849
                                            -----------     -----------     ----------     -----------
                                            -----------     -----------     ----------     -----------
</TABLE>
 
   The following table presents the average fair value of futures and forward
contracts during the nine months ended September 30, 1998 and 1997,
respectively.
 
<TABLE>
<CAPTION>
                                                         1998                             1997
                                           --------------------------------    --------------------------
<S>                                        <C>               <C>               <C>           <C>
                                               Assets         Liabilities        Assets      Liabilities
                                           --------------    --------------    ----------    ------------
Futures Contracts:
  Domestic exchanges
     Financial                               $  739,181        $   84,724      $  561,103     $   51,389
     Other                                      944,498           225,940       1,012,084        249,081
  Foreign exchanges
     Financial                                2,164,032           360,257       1,547,698        335,762
     Other                                       64,577            25,894          18,509         12,854
Forward Contracts:
     Currencies                               1,309,506         2,049,928       1,855,622      1,539,142
                                           --------------    --------------    ----------    ------------
                                             $5,221,794        $2,746,743      $4,995,016     $2,188,228
                                           --------------    --------------    ----------    ------------
                                           --------------    --------------    ----------    ------------
</TABLE>
 
   The following table presents the average fair value of futures and forward
contracts during the three months ended September 30, 1998 and 1997,
respectively.
 
<TABLE>
<CAPTION>
                                                         1998                             1997
                                           --------------------------------    --------------------------
<S>                                        <C>               <C>               <C>           <C>
                                               Assets         Liabilities        Assets      Liabilities
                                           --------------    --------------    ----------    ------------
Futures Contracts:
  Domestic exchanges
     Financial                               $1,269,316        $   72,666      $1,094,675     $   48,453
     Other                                      799,523           201,249         918,180        506,361
  Foreign exchanges
     Financial                                3,255,217           469,737       2,721,458        128,907
     Other                                       69,392            33,329          25,154         32,136
Forward Contracts:
     Currencies                                 874,695         3,208,432       1,633,477      1,536,996
                                           --------------    --------------    ----------    ------------
                                             $6,268,143        $3,985,413      $6,392,944     $2,252,853
                                           --------------    --------------    ----------    ------------
                                           --------------    --------------    ----------    ------------
</TABLE>
                                       6
<PAGE>
   The following table presents the trading revenues from futures and forward
contracts during the nine and three months ended September 30, 1998 and 1997,
respectively.
 
<TABLE>
<CAPTION>
                                     Nine months ended                   Three months ended
                                       September 30,                       September 30,
                                ---------------------------         ----------------------------
<S>                             <C>             <C>                 <C>              <C>
                                   1998            1997                 1998            1997
                                -----------     -----------         ------------     -----------
Futures Contracts:
  Domestic exchanges
     Financial                  $ 3,735,935     $  (182,970)        $  4,895,876     $   203,943
     Other                       (2,274,394)     (1,498,043)          (1,050,342)     (1,202,451)
  Foreign exchanges
     Financial                    6,665,343       5,983,736            7,794,671       6,001,128
     Other                          225,294        (208,402)             (12,764)       (295,184)
Forward Contracts:
     Currencies                  (3,104,518)       (276,721)          (1,163,522)         28,141
                                -----------     -----------         ------------     -----------
                                $ 5,247,660     $ 3,817,600         $ 10,463,919     $ 4,735,577
                                -----------     -----------         ------------     -----------
                                -----------     -----------         ------------     -----------
</TABLE>
                                       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.
 
   At September 30, 1998, 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 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 change in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contract
(credit risk). The Managing Owner attempts to minimize these risks by requiring
the Trust's trading manager to abide by various trading limitations and
policies. 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.
 
   Redemptions of limited interests for the nine and three months ended
September 30, 1998 were $8,287,575 and $2,638,224, respectively. Redemptions of
general interests for the nine and three months ended September 30, 1998 were
$83,594 and $26,529, respectively. Redemptions of limited and general interests
from commencement of operations, January 5, 1995 to September 30, 1998 totalled
$40,044,842 and $274,499, respectively. Future redemptions will impact the
amount of funds available for investment in commodity contracts in subsequent
periods.
 
Year 2000 Risk
 
   Investment funds, like financial and business organizations and individuals
around the world, depend on the smooth functioning of computer systems. The year
2000, however, holds the potential for a significant disruption in the operation
of these systems. Many computer systems in use today cannot distinguish the year
2000 from the year 1900 because of the way in which dates are encoded. This is
commonly known as the 'Year 2000 Problem.' The Trust could be adversely affected
if computer systems used by it or any third party with whom it has a material
relationship do not properly perform date comparisons and calculations
concerning dates on or after January 1, 2000, which in turn could have a
negative impact on the handling or determination of trades and prices and the
services provided to the Trust.
 
   The Trust has engaged third parties to perform primarily all of the services
it needs. Accordingly, the Trust's Year 2000 problems, if any, are not its own
but those that center on the ability of the Managing Owner, Prudential
Securities Incorporated, its Trading Manager and any other third party with whom
the Trust has a material relationship (individually, a 'Service Provider,' and
collectively, the 'Service Providers') to address and correct problems that may
cause their systems not to function as intended as a result of the Year 2000
Problem.
 
   The Trust has received assurances from its Managing Owner and Prudential
Securities Incorporated that they anticipate being able to continue their
operations without any material adverse impact from the Year
 
                                       8
<PAGE>
2000 Problem. Although other Service Providers, such as the Trust's Trading
Manager, have not made similar representations to the Trust, the Trust has no
reason to believe that these Service Providers will not take steps necessary to
avoid any material adverse impact on the Trust, though there can be no assurance
that this will be the case. The costs or consequences of incomplete or untimely
resolution of the Year 2000 Problem by the Service Providers, or by governments,
exchanges, clearing houses, regulators, banks and other third parties, are
unknown to the Trust at this time, but could have a material adverse impact on
the operations of the Trust. The Managing Owner will promptly notify the Trust's
limited owners in the event it determines that the Year 2000 Problem will have a
material adverse impact on the Trust's operations.
 
   The Trust has considered various alternatives as a contingency plan. If the
Year 2000 Problems are systemic, for example, the federal government, the
banking system, exchanges or utilities are affected materially, there may be no
adequate contingency plan for the Trust to follow other than to suspend
operations. If the Year 2000 Problems are related to one or more of the other
Service Providers selected by the Trust, the Trust believes that each such
Service Provider is prepared to address any Year 2000 Problems which arise that
could have a material adverse impact on the Trust's operations.
 
Results of Operations
 
   The net asset value per Interest as of September 30, 1998 was $200.98, an
increase of 4.84% from the December 31, 1997 net asset value per Interest of
$191.70. Additionally, the return for the quarter ended September 30, 1998 was
an increase of 17.45%.
 
   Third quarter trading resulted in gains for the Trust. Profitable sectors
included the financial, grain and meat sectors. Partially offsetting gains were
losses in the currency, metal, soft, energy and index sectors. The continuing
effects of June's Japanese yen intervention resulted in a rough start for the
Trust's third quarter. As global stock markets declined, other markets began to
shift in directions favoring the Trust's positions. The financial sector began
the quarter with considerable volatility. As the quarter progressed, the sector
began to draw attention as the falling U.S. stock market and Presidential
scandal unfolded. This 'flight-to-quality' resulted in significant profits for
the Trust, particularly German ten-year, U.S. ten-year, Japanese, U.S. Treasury
and Eurodollar bonds. Grain sector positions benefited from quality growing
weather early on in the quarter. This caused prices of corn and wheat to plunge,
thereby profiting the Trust's short exposure. Losses experienced during the
quarter offset gains. Currency trading was unprofitable as volatility not seen
in some time flowed into the markets as a response to global economic
uncertainty. Specifically, the Trust incurred losses in British pound, Japanese
yen and Australian dollar positions. In the metal sector, worries about
declining silver warehouse inventories pushed prices higher resulting in losses.
Copper positions held by the Trust also declined in value.
 
   Interest income is earned on net assets held at PSI and, therefore, varies
monthly according to interest rates, trading performance, and redemptions.
Interest income decreased approximately $304,000 and $126,000 for the nine and
three months ended September 30, 1998 compared to the corresponding periods in
1997. These decreases were primarily due to a lower net assets in the Trust as a
result of redemptions and weak trading performance during the first six months
of 1998.
 
   Commissions are calculated on the Trust's net asset value at the beginning of
the month and, therefore, vary according to trading performance and redemptions.
Commissions for the nine and three months ended September 30, 1998 decreased
approximately $500,000 and $201,000 compared to the corresponding periods in
1997. These decreases were primarily due to lower monthly net asset values as a
result of redemptions and weak trading performance during the first six months
of 1998.
 
   All trading decisions for the Trust are made by John W. Henry & Company, Inc.
(the 'Trading Manager'). Management fees are calculated on the Trust's net asset
value at the end of each month and, therefore, are affected by trading
performance and redemptions. Management fees for the nine and three months ended
September 30, 1998 decreased approximately $255,000 and $85,000 compared to the
corresponding periods in 1997 for the same reasons commissions decreased as
discussed above.
 
   Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Manager. Incentive fees of approximately $98,000
were generated during the three months ended September 30, 1998 as a result of
favorable trading performance during the period.
 
                                       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--None
 
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, dated as of September 13,
               1994)
 
          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, dated as of September
               13, 1994)
 
         27.1--Financial Data Schedule (filed herewith)
 
        (b) Reports on Form 8-K--None
 
                                       10
<PAGE>
                                   SIGNATURES
 
   Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
 
Diversified Futures Trust I
 
By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner
 
     By: /s/ Steven Carlino                       Date: November 13, 1998
     ----------------------------------------
     Steven Carlino
     Vice President
     Chief Accounting Officer for the Registrant
 
                                       11