<Page>

                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM 10-Q

(Mark One)

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

For the quarterly period ended March 31, 2003

                                       OR

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

For the transition period from _______________________ to ______________________

Commission file number: 0-26004

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

Delaware                                        13-3780260
--------------------------------------------------------------------------------
(State or other jurisdiction of         (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 __

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

<Page>

                         PART I. FINANCIAL INFORMATION
                          ITEM I. FINANCIAL STATEMENTS
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<Table>
<Caption>
                                                                        March 31,      December 31,
                                                                          2003             2002
---------------------------------------------------------------------------------------------------
<S>                                                                    <C>             <C>
ASSETS
Cash in commodity trading accounts                                     $24,685,434     $22,203,195
Net unrealized gain on open futures contracts                                7,251       1,068,894
Net unrealized gain on open forward contracts                                   --       1,238,514
Other receivables                                                            6,747           2,594
                                                                       -----------     ------------
Total assets                                                           $24,699,432     $24,513,197
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $ 1,055,881     $   890,827
Net unrealized loss on open forward contracts                              177,832              --
Management fees payable                                                     40,871          40,855
                                                                       -----------     ------------
Total liabilities                                                        1,274,584         931,682
                                                                       -----------     ------------
Commitments

Trust capital
Limited interests (99,897.807 and 104,401.272 interests
  outstanding)                                                          23,190,388      23,345,604
General interests (1,010 and 1,055 interests outstanding)                  234,460         235,911
                                                                       -----------     ------------
Total trust capital                                                     23,424,848      23,581,515
                                                                       -----------     ------------
Total liabilities and trust capital                                    $24,699,432     $24,513,197
                                                                       -----------     ------------
                                                                       -----------     ------------

Net asset value per limited and general interest ('Interests')         $    232.14     $    223.61
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
                 The accompanying notes are an integral part of these statements.
</Table>

                                       2

<Page>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       CONDENSED SCHEDULES OF INVESTMENTS
                                  (Unaudited)
<Table>
<Caption>
                                                  March 31, 2003                    December 31, 2002
                                         --------------------------------    --------------------------------
                                         Net Unrealized                      Net Unrealized
                                          Gain (Loss)                         Gain (Loss)
                                           as a % of       Net Unrealized      as a % of       Net Unrealized
Futures and Forward Contracts            Trust Capital      Gain (Loss)      Trust Capital      Gain (Loss)
-------------------------------------------------------------------------------------------------------------
<S>                                      <C>               <C>               <C>               <C>
Futures contracts purchased:
  Interest rates                                             $   85,641                          $  835,450
  Stock Indices                                                  (9,200)                            (80,419)
  Currencies                                                    (16,605)                                 --
  Commodities                                                  (586,201)                            486,370
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts purchased              (2.25)%          (526,365)           5.26%          1,241,401
                                                           --------------                      --------------
Futures contracts sold:
  Interest rates                                                 26,187                            (245,735)
  Stock indices                                                 (25,779)                             39,154
  Currencies                                                    (53,275)                                 --
  Commodities                                                   586,483                              34,074
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures
     contracts sold                            2.28             533,616           (0.73)           (172,507)
                                             ------        --------------        ------        --------------
Net unrealized gain on futures
  contracts                                    0.03%         $    7,251            4.53%         $1,068,894
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Forward contracts purchased:
  Net unrealized gain (loss) on
  forward contracts purchased                 (0.35)%        $  (81,438)           7.71%         $1,818,506
Forward currency contracts sold:
     Net unrealized loss on forward
     contracts sold                           (0.41)            (96,394)          (2.46)           (579,992)
                                             ------        --------------        ------        --------------
Net unrealized gain/(loss) on forward
  contracts                                   (0.76)%        $ (177,832)           5.25%         $1,238,514
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Futures Contracts
  British pound                                0.06%         $   14,369            0.30%         $   70,162
  Euro                                         0.18              42,903            1.36             321,999
  Japanese yen                                (0.14)            (31,631)           0.97             229,438
  Australian dollar                           (0.05)            (11,607)           0.23              53,087
  Swiss franc                                  0.13              29,511              --                  --
  Hong Kong dollar                             0.06              13,866              --                  --
  Other                                        0.00              (2,067)           0.03               8,042
  U.S. dollar                                 (0.21)            (48,093)           1.64             386,166
                                             ------        --------------        ------        --------------
     Total                                     0.03%         $    7,251            4.53%         $1,068,894
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Forward Contracts
  British pound                                0.07%         $   15,274              --%         $       --
  Canadian dollar                             (0.44)           (102,451)             --                  --
  Japanese yen                                (0.50)           (116,854)             --                  --
  Australian dollar                            0.02               4,824              --                  --
  Swiss franc                                  0.10              22,906              --                  --
  U.S. dollar                                 (0.01)             (1,531)           5.25           1,238,514
                                             ------        --------------        ------        --------------
     Total                                    (0.76)%        $ (177,832)           5.25%         $1,238,514
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
-------------------------------------------------------------------------------------------------------------
                      The accompanying notes are an integral part of these statements.
</Table>

                                       3

<Page>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
                                  (Unaudited)
<Table>
<Caption>
                                                                            Three months ended
                                                                                 March 31,
                                                                        ---------------------------
                                                                           2003            2002
---------------------------------------------------------------------------------------------------
<S>                                                                     <C>             <C>
REVENUES
Net realized gain (loss) on commodity transactions                      $ 3,755,029     $  (842,122)
Change in net unrealized gain/loss on open commodity positions           (2,477,989)     (1,104,472)
Interest income                                                              82,077         119,480
                                                                        -----------     -----------
                                                                          1,359,117      (1,827,114)
                                                                        -----------     -----------

EXPENSES
Commissions                                                                 365,491         452,900
Management fees                                                              94,412         113,109
                                                                        -----------     -----------
                                                                            459,903         566,009
                                                                        -----------     -----------
Net income (loss)                                                       $   899,214     $(2,393,123)
                                                                        -----------     -----------
                                                                        -----------     -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                                                       $   890,218     $(2,369,189)
                                                                        -----------     -----------
                                                                        -----------     -----------
General interests                                                       $     8,996     $   (23,934)
                                                                        -----------     -----------
                                                                        -----------     -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
  LIMITED AND GENERAL INTEREST
Net income (loss) per weighted average limited and general interest     $      8.53     $    (18.43)
                                                                        -----------     -----------
                                                                        -----------     -----------
Weighted average number of limited and general interests outstanding        105,456         129,886
                                                                        -----------     -----------
                                                                        -----------     -----------
---------------------------------------------------------------------------------------------------
</Table>

                     STATEMENT OF CHANGES IN TRUST CAPITAL
                                  (Unaudited)
<Table>
<Caption>
                                                              LIMITED        GENERAL
                                            INTERESTS        INTERESTS      INTERESTS        TOTAL
-----------------------------------------------------------------------------------------------------
<S>                                        <C>              <C>             <C>           <C>
Trust capital--December 31, 2002            105,456.272     $23,345,604     $235,911      $23,581,515
Net income                                           --         890,218        8,996          899,214
Redemptions                                  (4,548.465)     (1,045,434)     (10,447 )     (1,055,881)
                                           ------------     -----------     ---------     -----------
Trust capital--March 31, 2003               100,907.807     $23,190,388     $234,460      $23,424,848
                                           ------------     -----------     ---------     -----------
                                           ------------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                  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
                                 MARCH 31, 2003
                                  (Unaudited)

A. General

   These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'Managing Owner'), the
financial statements contain all adjustments (consisting of only normal
recurring adjustments) necessary to state fairly the financial position of
Diversified Futures Trust I (the 'Trust') as of March 31, 2003 and December 31,
2002 and the results of its operations for the three months ended March 31, 2003
and 2002. However, the operating results for the interim periods may not be
indicative of the results expected for the full year.

   Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with accounting principles generally
accepted in the United States of America have been omitted. It is suggested that
these financial statements be read in conjunction with the financial statements
and notes thereto included in the Trust's Annual Report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2002.

   The Managing Owner decided to pursue a diversified multi-manager approach for
the Trust. To implement the change from a single to a multi-manager strategy,
the Trust's advisory agreement with John W. Henry Company, Inc. (the 'Initial
Trading Manager') was terminated effective January 21, 2003. Three new trading
managers and programs have been selected to manage the Trust's assets. In
February 2003, the Managing Owner and the Trust entered into separate advisory
agreements with Appleton Capital Management Ltd., Graham Capital Management,
L.P. and Aspect Capital Limited (collectively the 'Trading Managers') for each
to manage on behalf of the Trust approximately 20%, 40% and 40%, respectively,
of the Trust's assets. From January 21, 2003 until each Trading Manager began
trading, all unallocated assets were invested in interest-bearing accounts.
Pursuant to the advisory agreements, each of the Trading Managers are to be paid
a monthly management fee equal to 1/6 of 1% (approximately 2% annually) and an
incentive fee of 20% of the 'New High Net Trading Profits' on the portion of
Trust assets allocated to each, which are the same rates that were paid to the
Initial Trading Manager. Each Trading Manager has assumed a portion of the
Initial Trading Manager's cumulative trading losses (aggregating approximately
65% of the loss carryforwards generated under the Initial Trading Manager) and,
therefore, will not collect any incentive fee until the profits generated on
their allocation of the Trust's assets exceed their assumed portion of the
losses incurred by the Initial Trading Manager, after appropriate adjustments.
The Trust did not incur commissions and management fees on the portion of assets
unallocated to trading (i.e. the portion of assets previously managed by the
Initial Trading Manager) until such time as each of the Trading Managers began
trading. The advisory agreements may be terminated for a variety of reasons,
including at the discretion of the Managing Owner.

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 three months
ended March 31, 2003 and March 31, 2002 were $365,491 and $452,900,
respectively.

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

                                       5

<Page>

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

   As of March 31, 2003, a non-U.S. affiliate of the Managing Owner owned 80
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 prior to settlement. As a result,
the Trust is generally subject only to the risk of loss arising from the change
in the value of the contracts. As such, the Trust considers the 'fair value' of
its derivative instruments to be the net unrealized gain or loss on the
contracts. The market risk associated with the Trust's commitments to purchase
commodities is limited to the gross or face amount of the contracts held.
However, when the Trust enters into a contractual commitment to sell
commodities, it must make delivery of the underlying commodity at the contract
price and then repurchase the contract at prevailing market prices or settle in
cash. Since the repurchase price to which a commodity can rise is unlimited,
entering into commitments to sell commodities exposes the Trust to unlimited
risk.

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

Credit Risk

   When entering into futures or forward contracts, the Trust is exposed to
credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign
futures exchanges is the clearinghouse associated with the particular exchange.
In general, clearinghouses are backed by their corporate members who are
required to share any financial burden resulting from the non-performance by one
of their members and, as such, should significantly reduce this credit risk. In
cases where the clearinghouse is not backed by the clearing members (i.e., some
foreign exchanges), it is normally backed by a consortium of banks or other
financial institutions. On the other hand, there is concentration risk on
forward transactions entered into by the Trust as PSI, the Trust's Commodity
Broker, is the sole counterparty. The Trust has entered into a master netting
agreement with PSI and, as a result, when applicable, presents unrealized gains
and losses on open forward positions as a net amount in the statements of
financial condition; however, counterparty non-performance on only certain of
the Trust's contracts may result in greater loss than non-performance on all of
the Trust's contracts. The amount at risk associated with counterparty
non-performance of all of the Trust's contracts is the net unrealized gain
included in the statements of financial condition. There can be no assurance
that any counterparty, clearing member or clearinghouse will meet its
obligations to the Trust.

   The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust and its trading manager to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies, which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for any one commodity or all commodities
combined; and generally limiting transactions to contracts which are traded in
sufficient volume to permit the taking and liquidating of positions.
Additionally, pursuant to the Advisory Agreements among the Trust, the Managing
Owner and its Trading Managers, the Trust shall automatically

                                       6

<Page>

terminate any trading manager if the net asset value allocated to that trading
manager declines by 33 1/3% from the value at the beginning of any year or since
the commencement of trading activities. Furthermore, the Amended and Restated
Declaration of Trust and Trust Agreement provides that the Trust will liquidate
its positions, and eventually dissolve, if the Trust experiences a decline in
the net asset value of 50% from the value at the beginning of any year or since
the commencement of trading activities. In each case, the decline in net asset
value is after giving effect for distributions and redemptions. The Managing
Owner may impose additional restrictions (through modifications of trading
limitations and policies) upon the trading activities of the trading manager as
it, in good faith, deems to be in the best interests of the Trust.

   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 March 31, 2003, such segregated assets totalled $18,755,469. Part
30.7 of the CFTC regulations also requires PSI to secure assets of the Trust
related to foreign futures trading, which totalled $5,937,216 at March 31, 2003.
There are no segregation requirements for assets related to forward trading.

   As of March 31, 2003, all of the Trust's open futures and forward contracts
mature within one year.

D. Financial Highlights

<Table>
<Caption>
                                                       Three Months Ended     Three Months Ended
                                                         March 31, 2003         March 31, 2002
                                                       -------------------    -------------------
<S>                                                    <C>                    <C>
Performance per Interest
  Net asset value, beginning of period                       $223.61                $182.24
                                                       -------------------    -------------------
  Net realized gain (loss) and change in net
     unrealized gain/loss on commodity transactions            12.11                 (14.99)
  Interest income                                               0.78                   0.92
  Expenses                                                     (4.36)                 (4.36)
                                                       -------------------    -------------------
  Net increase (decrease) for the period                        8.53                 (18.43)
                                                       -------------------    -------------------
  Net asset value, end of period                             $232.14                $163.81
                                                       -------------------    -------------------
                                                       -------------------    -------------------
Total return                                                    3.81%                (10.11)%
Ratio to average net assets (annualized)
  Interest income                                               1.29%                  2.12%
  Expenses                                                      7.23%                 10.02%
</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.

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last business day of any calendar quarter at the then current NAV per
Interest. Redemptions of limited interests and general interests for the three
months ended March 31, 2003 were $1,045,434 and $10,447, respectively.
Redemptions of limited interests and general interests from the commencement of
operations, January 5, 1995, to March 31, 2003 totalled $77,006,324 and
$647,820, respectively. Future redemptions will impact the amount of funds
available for investment in commodity contracts in subsequent periods.

   At March 31, 2003, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. 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 March 31, 2003 was $232.14, an
increase of 3.81% from the December 31, 2002 net asset value per Interest of
$223.61. Past performance is not necessarily indicative of future results.

   The Trust's trading gains/(losses) before commissions were $1,277,000 during
the three months ended March 31, 2003 compared to $(1,947,000) for the
corresponding period in the prior year. Due to the nature of the Trust's trading
activities, a period to period comparison of its trading results is not
meaningful. However, a detailed discussion of the Trust's current quarter
trading results is presented below.

                                       8

<Page>

Quarterly Market Overview

   Global economic activity for the first quarter of 2003 was characterized by
weakness and volatility. The U.S. economy exhibited signs of a slowdown as
consumers and businesses continued to reduce spending due to concerns regarding
the war in Iraq, SARS outbreak, high oil price premiums, weak corporate profits
and depressed global economies. With the exception of steady automobile orders
and existing home sales fueled by attractive interest rates, retail sales
continued to be sluggish. Labor market indicators were negative and
manufacturing contracted. Foreign economies generally mirrored that of the U.S.
In Europe and Asia, economic recovery appeared to have slowed, but Canada
recorded moderate economic expansion.

   Indices: Major global equity markets rallied early in the quarter but slid on
fears of an impending war with Iraq, possible terrorism and geopolitical
tension. Anticipation of a quick decisive victory in Iraq resulted in a brief
market run up in mid-March. However, toward the end of the quarter, markets were
whipsawed as investors responded to every turn of military events in the Middle
East. Ultimately, the markets ended the quarter lower as investors awaited a
resolution. The Dow Jones Industrial Average closed down 4.2% and the S&P 500
dropped 3.2%. Several encouraging earnings reports boosted the Nasdaq Composite
resulting in a net gain of 0.42% for the quarter. Japan's Nikkei 225 stock index
hit a 20-year low at the end of the first quarter.

   Interest rates: At both the January and March meetings, the U.S. Federal
Reserve left the federal funds rate unchanged at the 41-year low of 1.25%. In
mid-March, initial optimism for the Coalition Forces' success in Iraq resulted
in a shift by investors to junk bonds and stocks marking the worst setback for
the U.S. Treasury markets in 18 months. U.S. Treasury yields increased by 41
basis points from a 44-year low, incurring the biggest weekly increase in yield
since November 2001. Toward the end of the quarter, uncertainty about the war
led investors to take defensive positions, with the price of 10-year Treasury
notes ending the quarter up 3.81%. In Europe, the European Central Bank cut
interest rates by 0.25% in the beginning of March. The lowered interest rate
coupled with weak global economic growth prospects resulted in the strengthening
of European bond prices.

   Currencies: Perceptions of quick success in Iraq boosted the U.S. dollar
versus many foreign currencies. However, concerns that the war would disrupt the
U.S. economy strengthened the euro against the U.S. dollar. For the first time
in three years, the exchange rate between the euro and U.S. dollar reached
$1.10. As a result, the U.S. dollar ended the quarter down against the euro and
the Japanese yen. In Canada, the Bank of Canada increased its overnight interest
rate in March in response to inflation concerns, resulting in the strengthening
of the Canadian dollar.

   Energies: Price increases in the world oil markets at the beginning of the
first quarter were fed by concerns of supply disruptions due to the conflict in
Iraq, civil strife in Venezuela, anticipation of a Nigerian strike and tensions
on the Korean peninsula. In mid-March, anticipation of a quick resolution of the
war in Iraq coupled with the end of an extended cold snap in the northeastern
United States led to a significant reversal in energy prices. However, at
quarter-end, fears of the possibility of a prolonged war in Iraq and low
supplies pushed energy futures prices higher despite the securing of Iraqi oil
wells.

   Softs: Cocoa prices declined as a result of the continuing political
stability in the Ivory Coast. Expectations for less rain in the U.S. plains
states boosted wheat prices toward the end of the quarter and corn prices rose
as a result of bullish prospective planting and stocks data released by U.S.
Department of Agriculture. Soybean futures declined as a result of rain in key
growing regions in Southern Argentina and weaker overseas prices.

Quarterly Trust Performance

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

   Energies (+): Long natural gas positions resulted in net gains as prices rose
amid expectations of unseasonable cold weather in Northeastern U.S. and sharp
drawdown of storage levels.

   Interest rates (+): Concerns around the war in Iraq, poor performance in the
equity markets and weak global economies strengthened Japanese and U.S. Treasury
bond prices resulting in net gains for long positions.

                                       9
 
<PAGE>
<Page>

   Currencies (+): The U.S. dollar fell against many foreign currencies amid
concerns that the war in Iraq would disrupt the U.S. economy. Long Australian
dollar/U.S. dollar and euro/U.S. dollar cross-rate positions resulted in net
gains.

   Grain (+): Wheat prices rose amid expectation for less rain in the U.S. plain
states and long wheat positions resulted in net gains.

   Metals (-): Long aluminum, lead and nickel positions incurred losses as base
metal prices declined due to large inventories and reduced demand.

   Softs (-): Long cocoa positions resulted in net losses as prices declined due
to continued political stability in the Ivory Coast.

   Indices (-): Long positions in the Mini S&P, MEFIBEXPLUS and Nasdaq resulted
in losses as global equity markets declined due to uncertainty about the Middle
East and weak global economies.

   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 $37,000 for the three
months ended March 31, 2003 compared to the corresponding period in 2002. This
decrease was due to lower interest rates during the first quarter of 2003 versus
2002, offset in part by an increase in net assets as a result of strong trading
performance during the second and third quarters of 2002.

   Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance and
redemptions. Commissions for the three months ended March 31, 2003 decreased
approximately $87,000 compared to the corresponding period in 2002. This
decrease was due to the Trust not incurring commissions on the portion of assets
unallocated to trading until such time as each of the new Trading Managers began
trading as further discussed in Note A to the financial statements.

   Management fees are calculated on the Trust's net asset value at the end of
each month and, therefore, are affected by trading performance and redemptions.
Management fees for the three months ended March 31, 2003 decreased
approximately $19,000 compared to the corresponding period in 2002 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 Managers, as defined in the Advisory Agreements among the Trust, the
Managing Owner and the Trading Managers. No incentive fees were generated during
the three months ended March 31, 2003 and 2002.

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.

                                       10

<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--John W. Henry Company, Inc. was terminated as the
                           trading manager to the Trust effective January 21,
                           2003. During February 2003, the Trust entered into
                           separate advisory agreements with Appleton Capital
                           Management, Ltd., Graham Capital Management L.P.
                           and Aspect Capital Limited.

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

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

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

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

         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

                                       11

<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: May 15, 2003
     ----------------------------------------
     Steven Weinreb
     Chief Financial Officer

                                       12

<Page>


                                 CERTIFICATIONS

I, Eleanor L. Thomas, certify that:

   1.  I have reviewed this quarterly report on Form 10-Q of Diversified Futures
       Trust I (the 'Trust');

   2.  Based on my knowledge, this quarterly report does not contain any untrue
       statement of a material fact or omit to state a material fact necessary
       to make the statements made, in light of the circumstances under which
       such statements were made, not misleading with respect to the period
       covered by this quarterly report;

   3.  Based on my knowledge, the financial statements, and other financial
       information included in this quarterly report, fairly present in all
       material respects the financial condition, results of operations and cash
       flows of the Trust as of, and for, the periods presented in this
       quarterly report;

   4.  The Trust's other certifying officers and I are responsible for
       establishing and maintaining disclosure controls and procedures (as
       defined in Exchange Act Rules 13a-14 and 15d-14) for the Trust and we
       have:

        a)  designed such disclosure controls and procedures to ensure
            that material information relating to the Trust, including
            its consolidated subsidiaries, is made known to us by others
            within those entities, particularly during the period in
            which this quarterly report is being prepared;

        b)  evaluated the effectiveness of the Trust's disclosure
            controls and procedures as of a date within 90 days prior to
            the filing date of this quarterly report (the 'Evaluation
            Date'); and

        c)  presented in this quarterly report our conclusions about the
            effectiveness of the disclosure controls and procedures based
            on our evaluation as of the Evaluation Date;

   5.  The Trust's other certifying officers and I have disclosed, based on our
       most recent evaluation, to the Trust's auditors and the board of
       directors of the managing owner of the Trust:

        a)  all significant deficiencies in the design or operation of
            internal controls which could adversely affect the Trust's
            ability to record, process, summarize and report financial
            data and have identified for the Trust's auditors any
            material weaknesses in internal controls; and

        b)  any fraud, whether or not material, that involves management
            or other employees who have a significant role in the Trust's
            internal controls; and

   6.  The Trust's other certifying officers and I have indicated in this
       quarterly report whether or not there were significant changes in
       internal controls or in other factors that could significantly affect
       internal controls subsequent to the date of our most recent evaluation,
       including any corrective actions with regard to significant deficiencies
       and material weaknesses.

Date:  May 15, 2003                  /s/ Eleanor L. Thomas
                                     --------------------------------------
                                     Eleanor L. Thomas
                                     President (chief executive officer)
                                       of the managing owner of the Trust

I, Steven Weinreb, certify that:

   1.  I have reviewed this quarterly report on Form 10-Q of Diversified Futures
       Trust I (the 'Trust');

   2.  Based on my knowledge, this quarterly report does not contain any untrue
       statement of a material fact or omit to state a material fact necessary
       to make the statements made, in light of the circumstances under which
       such statements were made, not misleading with respect to the period
       covered by this quarterly report;

   3.  Based on my knowledge, the financial statements, and other financial
       information included in this quarterly report, fairly present in all
       material respects the financial condition, results of operations and cash
       flows of the Trust as of, and for, the periods presented in this
       quarterly report;

                                       13

<Page>

   4.  The Trust's other certifying officers and I are responsible for
       establishing and maintaining disclosure controls and procedures (as
       defined in Exchange Act Rules 13a-14 and 15d-14) for the Trust and we
       have:

        a)  designed such disclosure controls and procedures to ensure
            that material information relating to the Trust, including
            its consolidated subsidiaries, is made known to us by others
            within those entities, particularly during the period in
            which this quarterly report is being prepared;

        b)  evaluated the effectiveness of the Trust's disclosure
            controls and procedures as of a date within 90 days prior to
            the filing date of this quarterly report (the 'Evaluation
            Date'); and

        c)  presented in this quarterly report our conclusions about the
            effectiveness of the disclosure controls and procedures based
            on our evaluation as of the Evaluation Date;

   5.  The Trust's other certifying officers and I have disclosed, based on our
       most recent evaluation, to the Trust's auditors and the board of
       directors of the managing owner of the Trust:

        a)  all significant deficiencies in the design or operation of
            internal controls which could adversely affect the Trust's
            ability to record, process, summarize and report financial
            data and have identified for the Trust's auditors any
            material weaknesses in internal controls; and

        b)  any fraud, whether or not material, that involves management
            or other employees who have a significant role in the Trust's
            internal controls; and

   6.  The Trust's other certifying officers and I have indicated in this
       quarterly report whether or not there were significant changes in
       internal controls or in other factors that could significantly affect
       internal controls subsequent to the date of our most recent evaluation,
       including any corrective actions with regard to significant deficiencies
       and material weaknesses.

Date:  May 15, 2003                   /s/ Steven Weinreb
                                      --------------------------------------
                                      Steven Weinreb
                                      Chief Financial Officer
                                        of the managing owner of the Trust

                                       14