<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, 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>
                                                                        June 30,       December 31,
                                                                          2001             2000
<S>                                                                    <C>             <C>
---------------------------------------------------------------------------------------------------
ASSETS
Cash                                                                   $26,501,022     $26,730,111
Net unrealized gain on open futures contracts                              376,944       4,674,695
Net unrealized gain on open forward contracts                               18,649         870,491
Other receivables                                                            7,746           7,523
                                                                       -----------     ------------
Total assets                                                           $26,904,361     $32,282,820
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 1,197,632     $ 2,980,451
Management fees payable                                                     44,841          53,805
                                                                       -----------     ------------
Total liabilities                                                        1,242,473       3,034,256
                                                                       -----------     ------------
Commitments

Trust capital
Limited interests (136,291.886 and 151,627.034 interests
  outstanding)                                                          25,405,211      28,956,000
General interests (1,377 and 1,532 interests outstanding)                  256,677         292,564
                                                                       -----------     ------------
Total trust capital                                                     25,661,888      29,248,564
                                                                       -----------     ------------
Total liabilities and trust capital                                    $26,904,361     $32,282,820
                                                                       -----------     ------------
                                                                       -----------     ------------

Net asset value per limited and general interest ('Interests')         $    186.40     $    190.97
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
</TABLE>
         The accompanying notes are an integral part of these statements.

                                       2

<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,
                                             ---------------------------    ---------------------------
                                                2001            2000           2001            2000
<S>                                          <C>             <C>            <C>             <C>
-------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
  transactions                               $ 5,374,481     $(3,011,731)   $  (897,668)    $(1,187,476)
Change in net unrealized gain/loss on open
  commodity positions                         (5,149,593)     (1,303,068)    (2,221,820)     (1,805,644)
Interest income                                  702,831       1,061,363        303,415         497,138
                                             -----------     -----------    -----------     -----------
                                                 927,719      (3,253,436)    (2,816,073)     (2,495,982)
                                             -----------     -----------    -----------     -----------
EXPENSES
Commissions                                    1,117,862       1,437,787        557,556         654,302
Management fees                                  288,163         726,446        138,262         327,203
                                             -----------     -----------    -----------     -----------
                                               1,406,025       2,164,233        695,818         981,505
                                             -----------     -----------    -----------     -----------
Net loss                                     $  (478,306)    $(5,417,669)   $(3,511,891)    $(3,477,487)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
ALLOCATION OF NET LOSS
Limited interests                            $  (473,530)    $(5,363,480)   $(3,476,771)    $(3,442,703)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
General interests                            $    (4,776)    $   (54,189)   $   (35,120)    $   (34,784)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
NET LOSS PER WEIGHTED AVERAGE LIMITED AND
  GENERAL INTEREST
Net loss per weighted average limited and
  general interest                           $     (3.22)    $    (24.53)   $    (24.37)    $    (16.69)
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
Weighted average number of limited and
  general interests outstanding                  148,627         220,854        144,094         208,345
                                             -----------     -----------    -----------     -----------
                                             -----------     -----------    -----------     -----------
-------------------------------------------------------------------------------------------------------
</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 loss                                                       (473,530)      (4,776 )       (478,306)
Redemptions                                 (15,490.148)     (3,077,259)     (31,111 )     (3,108,370)
                                           ------------     -----------     ---------     -----------
Trust capital--June 30, 2001                137,668.886     $25,405,211     $256,677      $25,661,888
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
</TABLE>
         The accompanying notes are an integral part of these statements.

                                       3

<Page>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS
                                 JUNE 30, 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 state fairly the financial position of
Diversified Futures Trust I (the 'Trust') as of June 30, 2001 and the results
of its operations for the six and three months ended June 30, 2001 and 2000.
However, the operating results for these 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 six months
ended June 30, 2001 and 2000 were $1,117,862 and $1,437,787, respectively, and
for the three months ended June 30, 2001 and 2000 were $557,556 and $654,302,
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, 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

                                       4

<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 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 (subject to the recent opt out provisions discussed
below) and is not allowed to commingle such assets with other assets of PSI. At
June 30, 2001, such segregated assets totalled $17,105,594. Part 30.7 of the
CFTC regulations also requires PSI to secure assets of the Trust related to
foreign futures trading, which totalled $9,772,372 at June 30, 2001. There are
no segregation requirements for assets related to forward trading.

   The CFTC recently promulgated rules that allow futures commission merchants
to permit certain customers, including the Trust, to opt out of segregation with
regard to trading on certain exchanges, but PSI has not done so to date. If the
Trust were to opt out, its funds could be held in a broader and riskier range of
investments.
                                       5

<Page>
   As of June 30, 2001, the Trust's open futures and forward contracts mature
within one year.

   At June 30, 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            $        --          $ 172,150          $ 1,022,561          $      --
     Stock indices                      --             64,500              221,700                 --
     Currencies                    337,350              1,013            1,479,050            111,600
     Commodities                   271,854            123,179              881,010            131,336
  Foreign exchanges
     Interest rates                197,456             57,108              870,562                 --
     Stock indices                  10,300            107,153              388,967             27,913
     Commodities                    90,565              5,478              127,439             45,745
Forward Contracts:
  Currencies                       235,283            216,634              882,242             11,751
                            -----------------   -----------------   -----------------   -----------------
                               $ 1,142,808          $ 747,215          $ 5,873,531          $ 328,345
                            -----------------   -----------------   -----------------   -----------------
                            -----------------   -----------------   -----------------   -----------------
</Table>

D. Financial Highlights

<Table>
<Caption>
                                                          Six months ended     Three months ended
                                                           June 30, 2001         June 30, 2001
                                                         ------------------    ------------------
<S>                                                      <C>                   <C>
Performance per Interest
  Net asset value, beginning of period                        $ 190.97              $ 210.78
                                                         ------------------    ------------------
  Net realized gain (loss) and change in net
     unrealized gain/loss on commodity transactions                .19                (21.65)
  Interest income                                                 4.71                  2.10
  Expenses                                                       (9.47)                (4.83)
                                                         ------------------    ------------------
  Decrease for the period                                        (4.57)               (24.38)
                                                         ------------------    ------------------
  Net asset value, end of period                              $ 186.40              $ 186.40
                                                         ------------------    ------------------
                                                         ------------------    ------------------
Total return                                                     (2.39)%              (11.57)%
Ratio to average net assets
  Interest income                                                 4.90%                 4.34%
  Expenses                                                        9.80%                 9.96%
</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 net asset value
per Interest. Redemptions of limited interests and general interests for the six
months ended June 30, 2001 were $3,077,259 and $31,111, respectively; for the
three months ended June 30, 2001 were $1,185,702 and $11,930, respectively; and
from the commencement of operations, January 5, 1995, to June 30, 2001 totalled
$69,541,435 and $572,537, respectively. Future redemptions will impact the
amount of funds available for investment in commodity contracts in subsequent
periods.

   At June 30, 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 June 30, 2001 was $186.40, a decrease
of 2.39% from the December 31, 2000 net asset value per Interest of $190.97, and
a decrease of 11.57% from the March 31, 2001 net asset value per Interest of
$210.78.

   The Trust's gross trading gains/(losses) were $225,000 and ($3,119,000)
during the six and three months ended June 30, 2001 compared to ($4,315,000) and
($2,993,000) 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.

                                       7

<Page>
Quarterly Market Overview

   The global economy remained sluggish during the second quarter of 2001 and as
a result, U.S. and global stock markets continued their downward trend. In the
U.S., heightened concerns regarding cutbacks in industrial production and future
sales caused downward revisions of corporate earnings. Business investment and
capital spending were weak and appeared to be decreasing further, reflecting in
part the downtrend in manufacturing output. Labor demand weakened considerably
and unemployment rose. Consumer spending held up relatively well despite
deceleration in income, reduced household net worth, and deterioration in
consumer sentiment. Economic activity in foreign industrial countries
decelerated as well, due in part to softening of the U.S. economy, weakness in
world high-tech markets and the downward adjustment in global equity prices.
Expansion in Europe, including the United Kingdom, and Canada slowed
significantly, while the Japanese economy slowed after a brief rebound late last
year. In addition, economic growth in many developing countries softened,
reflecting in part weaker external demand. In the U.S., overall inflation, as
measured by the Consumer Price Index (CPI), increased slightly, but was held
down by a deceleration in energy prices.

   As a result of weak global economies, equity markets continued to perform
poorly during most of the quarter. In April, U.S. equity markets, particularly
the NASDAQ, rallied briefly after the U.S. Federal Reserve (Fed) called an
unscheduled meeting to lower interest rates before falling once again amid
continuing softening economies and fears of weak corporate earnings. Markets
rose briefly once again in June following the U.S. Federal Reserve's 25 basis
point interest rate cut. This smaller than anticipated rate reduction seemed to
signal a cessation of the Fed's recent series of aggressive rate cuts and caused
many investors to exit the bond market and invest in equities.

   Interest rate instruments trended upward throughout most of the quarter as
major central banks cut short-term interest rates in an attempt to bolster
slowing economies. The U.S. Federal Reserve cut rates three times during the
quarter lowering rates from 4.50% to 3.75%. The European Central Bank and the
Bank of England cut interest rates by 25 basis points in May. This was the third
interest rate reduction in five months for the Bank of England. Global bonds
reversed downward towards quarter-end as the Fed cut rates by only 25 basis
points, driving many investors out of interest rate instruments and into
equities.

   In foreign exchange markets, the Japanese yen started the quarter strong
before weakening against the U.S. dollar and other foreign currencies. This
followed a government report that Japan's GDP shrank in the first quarter,
generating fears that the Japanese economy may be slipping into recession. The
Canadian dollar posted gains against the U.S. dollar as economic reports showed
a 1.7% increase in exports to the U.S. in June. The British pound reached a 15
year low against the U.S. dollar in June amid concern that England would join
the European Monetary Union. The euro declined against the U.S. dollar as well,
amid signs of continuing weakness in the European economy.

   Energy prices fell in response to growing inventory levels of crude oil and
related products. The American Petroleum Institute reported that the U.S.
gasoline supply had reached its highest level in two years. Swelling energy
inventories fed fears of an overall weakening demand for fuels in the slowing
global economy. Additionally, the market fell when tropical storm Allison caused
less damage along the Gulf Coast than was originally feared.

Quarterly Trust Performance

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

   Interest Rates (-): Prices of most interest rate instruments trended upward
throughout most of the quarter due to short-term interest rate cuts by major
central banks in an attempt to bolster slowing economies. Short positions in
U.S. government and euro bonds resulted in losses for the Trust.

   Stock indices (-): Weak global economies and concerns regarding corporate
earnings resulted in continued poor performance in the equity markets. NASDAQ,
DAX and Nikkei Dow positions resulted in losses for the Trust.

   Currencies (-): After a strong start, the Japanese yen declined against the
U.S. dollar and many European currencies as the Japanese economy exhibited signs
of weakness. Long Japanese yen and yen/U.S. dollar cross-rate positions resulted
in losses. Short Australian dollar positions resulted in losses in April as this
currency rallied following a 50 basis point interest rate cut by the Reserve
Bank of Australia.
                                       8

<Page>
   Metals (-): Gold prices rallied to a ten month high in May before reversing
course amid rumors that Russia would sell a portion of its gold reserve. Long
gold positions incurred losses for the Trust. Rate cuts by U.S. and European
central banks stirred fears of inflation driving silver prices higher. Short
silver positions incurred losses for the Trust.

   Energies (+): Short natural gas positions resulted in gains as increased
inventories and weakening demand drove prices downward.

   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 $359,000 and $194,000 for
the six and three months ended June 30, 2001 compared to the corresponding
periods in 2000. These decreases were primarily due to lower net assets in the
Trust during 2001 versus 2000 as a result of redemptions. Strong trading
performance during the fourth quarter of 2000 helped to mitigate this decline
in net assets at the start of the 2001 year. Additionally, interest rates were
lower during 2001 versus 2000.

   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, 2001
decreased approximately $320,000 and $97,000 compared to the corresponding
periods in 2000. These decreases were primarily due to lower monthly net asset
values in the Trust during 2001 versus 2000 as a result of redemptions. Strong
trading performance during the fourth quarter of 2000 helped to mitigate this
decline in net assets at the start of the 2001 year.

   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, 2001 decreased approximately $438,000 and $189,000 compared to the
corresponding periods 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 values of redemptions and trading performance as further described in the
discussion on commissions 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. As of October 1, 2000, the incentive fee
was increased from 15% to 20%. No incentive fees were generated during the six
and three months ended June 30, 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--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)

          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: August 13, 2001
     ----------------------------------------
     Steven Carlino
     Vice President and Treasurer
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