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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549



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FORM 10-Q



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(Mark One)

|x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|- | ---------------------------------------------------------------------------------------

For the quarter ended: March 31, 2007

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



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DIVERSIFIED FUTURES TRUST I

(Exact name of registrant as specified in its charter)



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|                                                               |  |                                     
|-------------------------------------------------------------- |  | ------------------------------------
|Delaware                                                       |  | 13-3780260                          
|(State or other jurisdiction of incorporation or organization) |  | (I.R.S. Employer Identification No.)
|                                                               | 
|900 King Street, Suite 100, Rye Brook, New York                |  | 10573                               
|(Address of principal executive offices)                       |  | (Zip Code)                          

(914) 307-7000

(Registrants telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)



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Indicate by check mark 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  x    No ̈

Indicate by check mark whether the registrant is a large accelerated
filer, an accelerated filer, or a non-accelerated filer. See definition of accelerated filer and large accelerated filer in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer ̈Accelerated filer ̈Non-accelerated filer  x

Indicate by check mark whether the Registrant is a shell company (ad defined in Rule 12b-2 of the Exchange Act).

Yes ̈No  x



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DIVERSIFIED FUTURES TRUST I

INDEX TO QUARTERLY REPORT ON FORM 10Q

MARCH 31, 2007



|                               |  |                                                                                                                 |  |   
|------------------------------ |  | --------------------------------------------------------------------------------------------------------------- |  | --
|                               |  | Page                                                                                                           
|PART I  FINANCIAL INFORMATION |  |                                                                                                                
|                               |  |                                                                                                                
|Item 1.                        |  | Financial Statements                                                                                            |  |   
|                               |  |                                                                                                                
|                               |  | Diversified Futures Trust I:                                                                                    |  |   
|                               |  |                                                                                                                
|                               |  | Statements of Financial Conditionas of March 31, 2007 (Unaudited) and December 31, 2006                         |  | 4 
|                               |  |                                                                                                                
|                               |  | Condensed Schedules of Investmentsas of March 31, 2007 (Unaudited) and December 31, 2006                        |  | 5 
|                               |  |                                                                                                                
|                               |  | Statements of Operationsfor the Three Months Ended March 31, 2007 and 2006 (Unaudited)                          |  | 6 
|                               |  |                                                                                                                
|                               |  | Statements of Changes in Trust Capitalfor the Three Months Ended March 31, 2007 and March 31, 2006 (Unaudited)  |  | 7 
|                               |  |                                                                                                                
|                               |  | Notes to Financial Statements (Unaudited)                                                                       |  | 8 
|                               |  |                                                                                                                
|                               |  | WCM Pool LLC:                                                                                                   |  |   
|                               |  |                                                                                                                
|                               |  | Statement of Financial Conditionas of March 31, 2007 (Unaudited)                                                |  | 17
|                               |  |                                                                                                                
|                               |  | Condensed Schedule of Investmentsas of March 31, 2007 (Unaudited)                                               |  | 18
|                               |  |                                                                                                                
|                               |  | Statement of Operationsfor the Three Months Ended March 31, 2007 (Unaudited)                                    |  | 19
|                               |  |                                                                                                                
|                               |  | Statement of Changes in Members Capital (Net Asset Value)for the Three Months Ended March 31, 2007 (Unaudited) |  | 20
|                               |  |                                                                                                                
|                               |  | Notes to Financial Statements (Unaudited)                                                                       |  | 21
|                               |  |                                                                                                                
|Item 2.                        |  | Managements Discussion and Analysis ofFinancial Condition and Results of Operations                            |  | 28
|                               |  |                                                                                                                
|Item 3.                        |  | Quantitative and Qualitative Disclosures About Market Risk                                                      |  | 39
|                               |  |                                                                                                                
|Item 4.                        |  | Controls and Procedures                                                                                         |  | 39
|                               | 
|PART II  OTHER INFORMATION    |  | 40                                                                                                             
|                               |  |                                                                                                                
|Item 1.                        |  | Legal Proceedings                                                                                               |  | 40
|                               |  |                                                                                                                
|Item 1.A.                      |  | Risk Factors                                                                                                    |  | 40
|                               |  |                                                                                                                
|Item 2.                        |  | Unregistered Sales of Equity Securities and Use of Proceeds                                                     |  | 40
|                               |  |                                                                                                                
|Item 3.                        |  | Defaults Upon Senior Securities                                                                                 |  | 40
|                               |  |                                                                                                                
|Item 4.                        |  | Submission of Matters to a Vote of Security Holders                                                             |  | 40
|                               |  |                                                                                                                
|Item 5.                        |  | Other Information                                                                                               |  | 40
|                               |  |                                                                                                                
|Item 6.                        |  | Exhibits                                                                                                        |  | 41



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PART I  FINANCIAL INFORMATION

Item 1. Financial Statements

[REMAINDER OF PAGE INTENTIONALLY LEFT BLANK;

FINANCIAL STATEMENTS TO FOLLOW]



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DIVERSIFIED FUTURES TRUST I

FINANCIAL STATEMENTS

March 31, 2007



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DIVERSIFIED FUTURES TRUST I

STATEMENTS OF FINANCIAL CONDITION

March 31, 2007 (Unaudited) and December 31, 2006



|                                                                                                                          |  |               |            |                  |   |            |  
|------------------------------------------------------------------------------------------------------------------------- |  | ------------- | ---------- | ---------------- | - | ---------- | -
|                                                                                                                          |  | March 31,2007 |            | December 31,2006 |  
|ASSETS                                                                                                                    |  |               |            |                  |   |            |  
|Cash in commodity trading accounts                                                                                        |  | $             | 502        |                  | $ | 14,297,622 |  
|Net unrealized (loss) on open futures contracts                                                                           |  |               | 0          |                  |   | (4,160     | )
|Net unrealized gain on open forward contracts                                                                             |  |               | 0          |                  |   | 76,103     |  
|Investment in WCM Pool LLC (105.91% and 0.00% of net asset value, respectively)                                           |  |               | 11,763,078 |                  |   | 0          |  
|                                                                                                                          |  |               |            |                  |   |            |  
|Total assets                                                                                                              |  | $             | 11,763,580 |                  | $ | 14,369,565 |  
|                                                                                                                          |  |               |            |                  |   |            |  
|LIABILITIES                                                                                                               |  |               |            |                  |   |            |  
|Redemptions payable                                                                                                       |  | $             | 614,863    |                  | $ | 1,330,406  |  
|Management fees payable                                                                                                   |  |               | 0          |                  |   | 23,867     |  
|Commissions payable                                                                                                       |  |               | 42,370     |                  |   | 36,168     |  
|                                                                                                                          |  |               |            |                  |   |            |  
|Total liabilities                                                                                                         |  |               | 657,233    |                  |   | 1,390,441  |  
|                                                                                                                          |  |               |            |                  |   |            |  
|TRUST CAPITAL                                                                                                             |  |               |            |                  |   |            |  
|Limited interests (54,631.424 and 57,632.560 interests outstanding) at March 31, 2007 and December 31, 2006,
respectively |  |               | 10,987,684 |                  |   | 12,835,254 |  
|General interests (590 and 646 interests outstanding) at March 31, 2007 and December 31, 2006, respectively               |  |               | 118,663    |                  |   | 143,870    |  
|                                                                                                                          |  |               |            |                  |   |            |  
|Total trust capital                                                                                                       |  |               | 11,106,347 |                  |   | 12,979,124 |  
|                                                                                                                          |  |               |            |                  |   |            |  
|Total liabilities and trust capital                                                                                       |  | $             | 11,763,580 |                  | $ | 14,369,565 |  
|                                                                                                                          |  |               |            |                  |   |            |  

Net Asset Value per Limited and General Interest



|               |  |                  
|-------------- |  | -----------------
|March 31, 2007 |  | December 31, 2006
|$201.12        |  | $222.71          

See accompanying notes.



4



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DIVERSIFIED FUTURES TRUST I

CONDENSED SCHEDULES OF INVESTMENTS

March 31, 2007 (Unaudited) and December 31, 2006



|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|-------------------------------------------------- |  | ------------------------------------------------ | - | ----------------- | ------------------------ | - | ----------------------------------------------- | ----- | -- | -------------------------- | - | -------- | -
|                                                   |  | March 31, 2007                                   |   | December 31, 2006 |                         
|                                                   |  | NetUnrealizedGain (Loss) as a % of Trust Capital |   |                   | NetUnrealizedGain (Loss) |   | NetUnrealizedGain (Loss)as a % of
Trust Capital |       |    | Net Unrealized Gain
(Loss) |  
|Futures and Forward Contracts                      |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|                                                   |  |                                                  |   |                  
|Futures contracts purchased:                       |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Commodities                                        |  | 0.00                                             | % |                   | $                        | 0 |                                                 | 0.37  | %  |                            | $ | 47,853   |  
|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Net unrealized gain on futures contracts purchased |  | 0.00                                             | % |                   |                          | 0 |                                                 | 0.37  | %  |                            |   | 47,853   |  
|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Futures contracts sold:                            |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Commodities                                        |  | 0.00                                             | % |                   |                          | 0 |                                                 | (0.40 | )% |                            |   | (52,013  | )
|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Net unrealized (loss) on futures contracts sold    |  | 0.00                                             | % |                   |                          | 0 |                                                 | (0.40 | )% |                            |   | (52,013  | )
|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Net unrealized (loss) on futures contracts         |  | 0.00                                             | % |                   | $                        | 0 |                                                 | (0.03 | )% |                            | $ | (4,160   | )
|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Forward contracts purchased:                       |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Net unrealized gain on forward contracts purchased |  | 0.00                                             | % |                   | $                        | 0 |                                                 | 1.49  | %  |                            | $ | 192,679  |  
|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Forward contracts sold:                            |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Net unrealized (loss) on forward contracts sold    |  | 0.00                                             | % |                   |                          | 0 |                                                 | (0.90 | )% |                            |   | (116,576 | )
|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  
|Net unrealized gain on forward contracts           |  | 0.00                                             | % |                   | $                        | 0 |                                                 | 0.59  | %  |                            | $ | 76,103   |  
|                                                   |  |                                                  |   |                   |                          |   |                                                 |       |    |                            |   |          |  

See accompanying notes.



5



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DIVERSIFIED FUTURES TRUST I

STATEMENTS OF OPERATIONS

For the Three Months Ended March 31, 2007 and 2006

(Unaudited)



|                                                                     |  |                              |            |   |      |   |          |  
|-------------------------------------------------------------------- |  | ---------------------------- | ---------- | - | ---- | - | -------- | -
|                                                                     |  | Three Months Ended March 31, |           
|                                                                     |  | 2007                         |            |   | 2006 |  
|NET LOSS FROM TRUST OPERATIONS                                       |  |                              |            |   |      |   |          |  
|REVENUES                                                             |  |                              |            |   |      |   |          |  
|Realized                                                             |  | $                            | 52,475     |   |      | $ | (151,619 | )
|Change in unrealized                                                 |  |                              | (71,943    | ) |      |   | 214,767  |  
|Interest income                                                      |  |                              | 22,776     |   |      |   | 182,321  |  
|                                                                     |  |                              |            |   |      |   |          |  
|Total revenues                                                       |  |                              | 3,308      |   |      |   | 245,469  |  
|                                                                     |  |                              |            |   |      |   |          |  
|EXPENSES                                                             |  |                              |            |   |      |   |          |  
|Brokerage commissions and other transaction fees                     |  |                              | 225,801    |   |      |   | 323,951  |  
|Management fees                                                      |  |                              | 0          |   |      |   | 83,469   |  
|                                                                     |  |                              |            |   |      |   |          |  
|Total expenses                                                       |  |                              | 225,801    |   |      |   | 407,420  |  
|                                                                     |  |                              |            |   |      |   |          |  
|NET LOSS FROM TRUST OPERATIONS                                       |  |                              | (222,493   | ) |      |   | (161,951 | )
|                                                                     |  |                              |            |   |      |   |          |  
|NET LOSS ALLOCATED FROM WCM POOL LLC:                                |  |                              |            |   |      |   |          |  
|REVENUES                                                             |  |                              |            |   |      |   |          |  
|Realized                                                             |  |                              | (1,297,006 | ) |      |   | 0        |  
|Change in unrealized                                                 |  |                              | 228,858    |   |      |   | 0        |  
|Interest income                                                      |  |                              | 123,544    |   |      |   | 0        |  
|                                                                     |  |                              |            |   |      |   |          |  
|Total revenues                                                       |  |                              | (944,604   | ) |      |   | 0        |  
|                                                                     |  |                              |            |   |      |   |          |  
|EXPENSES                                                             |  |                              |            |   |      |   |          |  
|Brokerage commissions and other transaction fees                     |  |                              | 23,680     |   |      |   | 0        |  
|Management fee                                                       |  |                              | 61,648     |   |      |   | 0        |  
|General and administrative                                           |  |                              | 5,488      |   |      |   | 0        |  
|                                                                     |  |                              |            |   |      |   |          |  
|Total expenses                                                       |  |                              | 90,816     |   |      |   | 0        |  
|                                                                     |  |                              |            |   |      |   |          |  
|NET LOSS ALLOCATED FROM WCM POOL LLC                                 |  |                              | (1,035,420 | ) |      |   | 0        |  
|                                                                     |  |                              |            |   |      |   |          |  
|NET LOSS                                                             |  | $                            | (1,257,913 | ) |      | $ | (161,951 | )
|                                                                     |  |                              |            |   |      |   |          |  
|NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL INTEREST           |  |                              |            |   |      |   |          |  
|Net loss per weighted average limited and general interest           |  | $                            | (21.87     | ) |      | $ | (2.26    | )
|                                                                     |  |                              |            |   |      |   |          |  
|Weighted average number of limited and general interests outstanding |  |                              | 57,514     |   |      |   | 71,502   |  
|                                                                     |  |                              |            |   |      |   |          |  

See accompanying notes.



6



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DIVERSIFIED FUTURES TRUST I

STATEMENTS OF CHANGES IN TRUST CAPITAL

For the Three Months Ended March 31, 2007 and 2006

(Unaudited)



|                                                   |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|-------------------------------------------------- |  | ---------- | - |  | ---------------- | ---------- | - | ---------------- | - | ------- | ----- |  | - | ---------- | -
|                                                   |  | Interests  |   |  | LimitedInterests |            |   | GeneralInterests |   |         | Total | 
|Three months ended March 31, 2007                  |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Trust capital at December 31, 2006                 |  | 58,278.560 |   |  | $                | 12,835,254 |   |                  | $ | 143,870 |       |  | $ | 12,979,124 |  
|Net loss for the three months ended March 31, 2007 |  |            |   |  |                  | (1,243,969 | ) |                  |   | (13,944 | )     |  |   | (1,257,913 | )
|Redemptions                                        |  | (3,057.136 | ) |  |                  | (603,601   | ) |                  |   | (11,263 | )     |  |   | (614,864   | )
|                                                   |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Trust capital at March 31, 2007                    |  | 55,221.424 |   |  | $                | 10,987,684 |   |                  | $ | 118,663 |       |  | $ | 11,106,347 |  
|                                                   |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Three months ended March 31, 2006                  |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Trust capital at December 31, 2005                 |  | 72,350.736 |   |  | $                | 16,635,191 |   |                  | $ | 177,537 |       |  | $ | 16,812,728 |  
|Net loss for the three months ended March 31, 2006 |  |            |   |  |                  | (160,241   | ) |                  |   | (1,710  | )     |  |   | (161,951   | )
|Redemptions                                        |  | (3,394.162 | ) |  |                  | (772,846   | ) |                  |   | (8,285  | )     |  |   | (781,131   | )
|                                                   |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  
|Trust capital at March 31, 2006                    |  | 68,956.574 |   |  | $                | 15,702,104 |   |                  | $ | 167,542 |       |  | $ | 15,869,646 |  
|                                                   |  |            |   |  |                  |            |   |                  |   |         |       |  |   |            |  

See accompanying notes.



7



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DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS

(Unaudited)

Note 1. ORGANIZATION



| | A. | General Description of the Trust
| | -- | --------------------------------

Diversified Futures
Trust I (the Trust) was organized under the Delaware Statutory Trust Act on May 18, 1994 and will continue until December 31, 2020 unless terminated sooner under the provisions of the Second Amended and Restated Declaration of
Trust and Trust Agreement (the Trust Agreement). The Trust was formed to engage in the speculative trading of commodity futures and forward contracts. The Trusts trustee is Wilmington Trust Company.

Effective January 1, 2007, Preferred Investment Solutions Corp., the Managing Owner (Preferred or Managing Owner), terminated
the Trading Advisor Agreements with Aspect Capital Limited and Graham Capital Management, L.P. Effective January 1, 2007, the Trust contributed its net assets to WCM Pool LLC (the Company) and received a Voting Membership Interest
in the Company. The Company was formed to function as an aggregate trading vehicle. At March 31, 2007, the sole members of the Company are the Trust, Diversified Futures Fund L.P. (DFF) and Kenmar Global Trust (KGT).
Preferred is the General Partner or Managing Owner of DFF and KGT and has been delegated administrative authority over the operations of the Company. The Company engages in the speculative trading of futures contracts. The financial statements of
the Company, including the condensed schedule of investments, are included in Section II of these financial statements and should be read in conjunction with the Trusts financial statements.



| | B. | Regulation
| | -- | ----------

As a registrant with the Securities and
Exchange Commission, the Trust is subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. As a commodity pool, the Trust is subject to the regulations of the Commodity Futures Trading
Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various
commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of the futures commission merchants (brokers) and interbank market makers through which the Company trades.



| | C. | The Offering
| | -- | ------------

On January 5, 1995, the Trust completed
its initial offering having raised $25,262,800 from the sale of 249,628 limited interests (Limited Interests) and 3,000 general interests (General Interests) (collectively, the Interests). Additional interests
were offered and sold monthly at the then current net asset value (NAV) per Interest until the continuous offering period expired on August 31, 1996. Additional contributions raised during the continuous offering period resulted in
additional proceeds to the Trust of $41,129,100 from the sale of 299,640 Limited Interests and 1,628 General Interests. General Interests were sold exclusively to the Managing Owner.

The Managing Owner is required to maintain at least a 1% interest in the Trust so long as it is acting as the Managing Owner.



8



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DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES



| | A. | Basis of Accounting
| | -- | -------------------

The statement of financial condition,
including the condensed schedule of investments, as of March 31, 2007, and the statements of operations and changes in trust capital for the three months ended March 31, 2007 and 2006 are unaudited. In the opinion of Preferred, the
financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial position of the Trust as of March 31, 2007 and the results of its operations for the three months ended
March 31, 2007 and 2006. The operating results for the interim periods may not be indicative of the results expected for the full year.

The financial statements of the Trust are prepared in accordance with accounting principles generally accepted in the United States of America. Such principles require the Managing Owner to make estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from
those estimates.

Commodity futures and forward transactions are reflected in the accompanying statements of financial condition on trade
date. Net unrealized gain or loss on open contracts (the difference between contract trade price and market price) is reflected in the statement of financial condition in accordance with Financial Accounting Standards Board Interpretation
No. 39  Offsetting of Amounts Related to Certain Contracts. The market value of futures (exchange-traded) contracts is based upon the closing quotation on the various futures exchanges on which the contract is traded. The fair
value of swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices. Any change in net unrealized gain or loss during the current period is reported in the statement of operations. Realized gains and
losses on commodity transactions are recognized in the period in which the contracts are closed.

The weighted average number of Limited and
General Interests outstanding was computed for purposes of disclosing net income (loss) per weighted average Limited and General Interest. The weighted average Limited and General Interests are equal to the number of interests outstanding at period
end, adjusted proportionately for interests redeemed based on their respective time outstanding during such year.

The Trust has elected not
to provide a Statement of Cash Flows as permitted by Statement of Financial Account Standards No. 102, Statement of Cash Flows  Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for
Resale.

Consistent with standard business practices in the normal course of business, the Trust has provided general indemnifications
to the Managing Owner, its Trading Advisor and others when they act, in good faith, in the best interests of the Trust. The Trust is unable to develop an estimate of the maximum potential amount of future payments that could potentially result from
any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote.



9



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DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)



| | A. | Basis of Accounting (Continued)
| | -- | -------------------------------

In July 2006, the
Financial Accounting Standards Board (FASB) issued FASB Interpretation No. 48 (FIN 48), Accounting for Uncertainty in Income Taxes  an interpretation of FASB Statement No. 109, which clarifies the
accounting for uncertainty in tax positions. FIN 48 requires that the Trust recognize in its financial statements, the impact of a tax position if that position is more likely than not of being sustained on audit, based on the technical merits of
the position. The provisions of FIN 48 are effective for fiscal years beginning after December 15, 2006, with the cumulative effect of the change in accounting principle recorded as an adjustment to opening retained earnings. Preferred as
Managing Owner of the Trust has evaluated the impact of adopting FIN 48 on the Trusts financial statements. In Preferreds opinion, the adoption of FIN 48 has no material impact on the Trust, as the Trusts tax position is based on
established tax precedence for the tax treatment of investment partnerships as flow through tax entities.

In September 2006, the FASB
issued SFAS No. 157, Fair Value Measurements, which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The provisions of SFAS No. 157 are effective for
fiscal years beginning after November 15, 2007. The Trust is currently evaluating the impact of adopting SFAS No. 157 on its financial statements. At this time, the impact to the Trusts financial statements has not been determined.

Cash represents amounts deposited with clearing brokers, a portion of which are restricted for purposes of meeting margin requirements,
which typically range from 0% to 35% of the notional amounts of the derivatives traded. The Trust receives interest on all cash balances held by the clearing brokers at prevailing rates.



| | B. | Income Taxes
| | -- | ------------

The Trust is treated as a partnership for
Federal income tax purposes. As such, the Trust is not required to provide for, or pay, any Federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the individual Interest holders. The Trust may be
subject to other state and local taxes in jurisdictions in which it operates.



10



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DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)



| | C. | Investment in WCM Pool LLC
| | -- | --------------------------

The investment in the Company
is reported in the Trusts statement of financial condition at the net asset value as reported by the Company. The Trust records its proportionate share of the Companys income or loss in the statement of operations. Valuation of futures
contracts by the Company is discussed in the notes to the Companys financial statements included in Section II of this report.



| | D. | Profit and Loss Allocation, Distributions and Redemptions
| | -- | ---------------------------------------------------------

Net income or loss for both financial and tax reporting purposes is allocated monthly to all interest holders on a pro rata basis on each interest holders number of interests outstanding during the month.

Distributions (other than redemptions of interests) are made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the
respective capital accounts of the interest holders. The Managing Owner has not and does not intend to make any distributions.

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.



| | E. | Foreign currency transaction
| | -- | ----------------------------

The Trusts functional
currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of
the statement of financial condition. Income and expense items denominated in currencies other than U.S. dollars are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S.
dollars are reported in operations currently.

Note 3. FEES



| | A. | Organizational and General and Administrative Costs
| | -- | ---------------------------------------------------

Preferred pays all administrative costs for services it performs for the Trust. Administrative costs include, but are not limited to, those discussed in Note 4 below.



| | B. | Management and Incentive Fees
| | -- | -----------------------------

Pursuant to the advisory
agreements, Appleton, Graham and Aspect were paid a monthly management fee equal to 1/6 of 1% (a 2% annual rate) and an incentive fee of 20% of the New High Net Trading Profits on the portion of Trust assets allocated to each. Effective
January 1, 2007, the Trust pays its pro-rata share of management and incentive fees as disclosed in Note 1 through its investment in the Company.



11



---

DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 3. FEES (CONTINUED)



| | C. | Commissions
| | -- | -----------

The Managing Owner, on behalf of the Trust,
entered into a brokerage agreement with Prudential Financial Derivatives LLC (PFD) to act as commodity broker for the Trust. Under the terms of the agreement, the Trust pays the Managing Owner commissions at a flat rate of approximately
..65 of 1% per month (7.75% per annum) of the Trusts NAV as of the first day of each month. Under the agreement, PFDs execution costs (including floor brokerage expenses, clearing and exchange fees) will be paid out of the total fees
paid by the Trust to the Managing Owner.

Note 4. RELATED PARTIES

The Managing Owner or third parties engaged by the Managing Owner perform services for the Trust which include, but are not limited to: brokerage services; accounting and financial management; registrar, transfer and
assignment function; investor communications; printing and other administrative services. Except for costs related to brokerage services, Preferred pays all 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, 2007 and 2006
were $249,481 and $323,951, respectively.

Note 5. INVESTMENT IN WCM POOL LLC

Effective January 1, 2007, the Trust invested its assets in WCM Pool LLC. The Trusts investment in WCM Pool LLC represents approximately 69.36%
of the net asset value of the Company at March 31, 2007. The investment in the Company is subject to the Organization Agreement of the Company.

Summarized information for the Trusts investment in the Company is as follows:



|             |  |                                  |   |             |   |              |  |   |                                           |   |  |   |          |   |  |   |           
|------------ |  | -------------------------------- | - | ----------- | - | ------------ |  | - | ----------------------------------------- | - |  | - | -------- | - |  | - | ----------
|             |  | Net Asset ValueDecember 31, 2006 |   | Investments |   | Gain/ (Loss) |  |   | Net Asset Value Redemption March 31, 2007
|WCM Pool LLC |  | $                                | 0 |             | $ | 12,966,087   |  | $ | (1,035,420                                | ) |  | $ | (167,589 | ) |  | $ | 11,763,078
|             |  |                                  |   |             |   |              |  |   |                                           |   |  |   |          |   |  |   |           

The Trust may make additional contributions to, or redemptions from, the Company on a monthly
basis.



12



---

DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 6. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS

The Trusts investment in the Company is subject to the market and credit risks of the futures contracts, options on futures contracts, forward currency contracts and other financial instruments held or sold short by the Company. The
Trust bears the risk of loss only to the extent of the market value of its investments and, in certain specific circumstances, distributions and redemptions received.

The Trust has cash on deposit with financial institutions. In the event of a financial institutions insolvency, recovery of cash on deposit may be limited to account insurance or other protection afforded such
deposits. The Managing Owner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The unitholders bear the risk of loss only to the extent
of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

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 its other assets. At March 31, 2007 and December 31, 2006, such segregated assets totaled $38 and $8,808,029,
respectively. Part 30.7 of the CFTC regulations also requires the Trusts futures commission merchant to secure assets of the Trust related to foreign futures trading which totaled $371 and $993,947 at March 31, 2007 and December 31,
2006, respectively. There are no segregation requirements for assets related to forward trading.



13



---

DIVERSIFIED FUTURES TRUST I

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 7. FINANCIAL HIGHLIGHTS

The following
information presents per interest performance data and other supplemental financial data for the three months ended March 31, 2007 and 2006. This information has been derived from information presented in the financial statements.



|                                                                                        |  |                              |        |    |      |   |        |   
|--------------------------------------------------------------------------------------- |  | ---------------------------- | ------ | -- | ---- | - | ------ | --
|                                                                                        |  | Three Months Ended March 31, |       
|                                                                                        |  | 2007                         |        |    | 2006 |  
|Per Interest Performance                                                                |  |                              |        |    |      |   |        |   
|(for an interest outstanding throughout the entire period)                              |  |                              |        |    |      |   |        |   
|Net asset value, beginning of period                                                    |  | $                            | 222.71 |    |      | $ | 232.38 |   
|                                                                                        |  |                              |        |    |      |   |        |   
|Net realized and change in net unrealized gain (loss) on commodity transactions(1), (5) |  |                              | (18.62 | )  |      |   | 0.91   |   
|Interest income(1), (5)                                                                 |  |                              | 2.54   |    |      |   | 2.55   |   
|Expenses(1), (5)                                                                        |  |                              | (5.51  | )  |      |   | (5.70  | ) 
|                                                                                        |  |                              |        |    |      |   |        |   
|Net (decrease) for the period                                                           |  |                              | (21.59 | )  |      |   | (2.24  | ) 
|                                                                                        |  |                              |        |    |      |   |        |   
|Net asset value, end of period                                                          |  | $                            | 201.12 |    |      | $ | 230.14 |   
|                                                                                        |  |                              |        |    |      |   |        |   
|Total Return(3)                                                                         |  |                              |        |    |      |   |        |   
|Total return before incentive fees                                                      |  |                              | (9.69  | )% |      |   | (0.96  | )%
|Incentive fees                                                                          |  |                              | 0.00   | %  |      |   | 0.00   | % 
|                                                                                        |  |                              |        |    |      |   |        |   
|Total return after incentive fees                                                       |  |                              | (9.69  | )% |      |   | (0.96  | )%
|                                                                                        |  |                              |        |    |      |   |        |   
|Supplemental Data                                                                       |  |                              |        |    |      |   |        |   
|Ratios to average net asset value:(5)                                                   |  |                              |        |    |      |   |        |   
|Net investment loss before incentive fees(2), (4)                                       |  |                              | (5.48  | )% |      |   | (5.49  | )%
|Incentive fees(3)                                                                       |  |                              | 0.00   | %  |      |   | 0.00   | % 
|                                                                                        |  |                              |        |    |      |   |        |   
|Net investment loss after incentive fees                                                |  |                              | (5.48  | )% |      |   | (5.49  | )%
|                                                                                        |  |                              |        |    |      |   |        |   
|Interest income(4)                                                                      |  |                              | 4.71   | %  |      |   | 4.45   | % 
|                                                                                        |  |                              |        |    |      |   |        |   
|Incentive fees(3)                                                                       |  |                              | 0.00   | %  |      |   | 0.00   | % 
|Other expenses(4)                                                                       |  |                              | 10.19  | %  |      |   | 9.94   | % 
|                                                                                        |  |                              |        |    |      |   |        |   
|Total net expenses                                                                      |  |                              | 10.19  | %  |      |   | 9.94   | % 
|                                                                                        |  |                              |        |    |      |   |        |   

Total returns are calculated based on the change in value of an interest during the period. An
individual interestholders total returns and ratios may vary from the above total returns and ratios based on the timing of redemptions.



---

|(1) | Interest income per interest and expenses per interest are calculated by dividing interest income and
expenses by the weighted average number of interests outstanding during the period. Net realized and change in net unrealized gain (loss) on commodity transactions is a balancing amount necessary to reconcile the change in net asset value per
interest with the other per interest information.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Represents interest income less total expenses (exclusive of incentive fees).
|--- | -----------------------------------------------------------------------------

|(3) | Not annualized.
|--- | ---------------

|(4) | Annualized.
|--- | -----------

|(5) | Includes the Trusts proportionate share of income and expenses of WCM Pool LLC for the three
months ended March 31, 2007.
|--- | --------------------------------------------------------------------------------------------------------------------------



14



---

---

SECTION II



---



---

WCM POOL LLC

FINANCIAL STATEMENTS

March 31, 2007



---

WCM POOL LLC

STATEMENT OF FINANCIAL CONDITION

March 31, 2007 (Unaudited)



|                                         |  |   |           
|---------------------------------------- |  | - | ----------
|ASSETS                                   |  |   |           
|Equity in broker trading accounts        |  |   |           
|Cash in commodity trading accounts       |  | $ | 16,661,322
|Interest receivable                      |  |   | 65,942    
|Net unrealized gain on open contracts    |  |   | 333,251   
|                                         |  |   |           
|Total assets                             |  | $ | 17,060,515
|                                         |  |   |           
|LIABILITIES                              |  |   |           
|Accrued expenses                         |  | $ | 7,880     
|Commissions payable                      |  |   | 2,694     
|Management fee payable                   |  |   | 28,530    
|Subscriptions received in advance        |  |   | 62,546    
|                                         |  |   |           
|Total liabilities                        |  |   | 101,650   
|                                         |  |   |           
|MEMBERS CAPITAL (Net Asset Value)       |  |   |           
|Member DFF LP                            |  |   | 3,284,415 
|Member DFT I                             |  |   | 11,763,078
|Member KGT                               |  |   | 1,911,372 
|                                         |  |   |           
|Total members capital (Net Asset Value) |  |   | 16,958,865
|                                         |  |   |           
|Total liabilities and members capital   |  | $ | 17,060,515
|                                         |  |   |           

See accompanying notes.



17



---

WCM POOL LLC

CONDENSED SCHEDULE OF INVESTMENTS

March 31, 2007 (Unaudited)



|                                                   |  |                                                  |    |  |                          |         |  
|-------------------------------------------------- |  | ------------------------------------------------ | -- |  | ------------------------ | ------- | -
|Futures Contracts                                  |  | NetUnrealizedGain (Loss) as a % of Trust Capital |    |  | NetUnrealizedGain (Loss) |        
|Futures contracts purchased:                       |  |                                                  |    |  |                          |         |  
|Commodities                                        |  | 0.24                                             | %  |  | $                        | 41,040  |  
|Currencies                                         |  | 1.10                                             | %  |  |                          | 186,134 |  
|Interest rates                                     |  | (0.26                                            | )% |  |                          | (44,937 | )
|Stock indices                                      |  | 0.83                                             | %  |  |                          | 141,524 |  
|                                                   |  |                                                  |    |  |                          |         |  
|Net unrealized gain on futures contracts purchased |  | 1.91                                             | %  |  |                          | 323,761 |  
|                                                   |  |                                                  |    |  |                          |         |  
|Futures contracts sold:                            |  |                                                  |    |  |                          |         |  
|Commodities                                        |  | (0.36                                            | )% |  |                          | (61,360 | )
|Currencies                                         |  | 0.06                                             | %  |  |                          | 10,217  |  
|Interest rates                                     |  | 0.36                                             | %  |  |                          | 60,633  |  
|                                                   |  |                                                  |    |  |                          |         |  
|Net unrealized gain on futures contracts sold      |  | 0.06                                             | %  |  |                          | 9,490   |  
|                                                   |  |                                                  |    |  |                          |         |  
|Net unrealized gain on futures contracts           |  | 1.97                                             | %  |  | $                        | 333,251 |  
|                                                   |  |                                                  |    |  |                          |         |  

See accompanying notes.



18



---

WCM POOL LLC

STATEMENT OF OPERATIONS

For the Period January 1, 2007 to March 31, 2007

(Unaudited)



|                      |  |   |            |  
|--------------------- |  | - | ---------- | -
|REVENUES              |  |   |            |  
|Realized              |  | $ | (1,868,661 | )
|Change in unrealized  |  |   | 333,251    |  
|Interest income       |  |   | 177,426    |  
|                      |  |   |            |  
|Total revenues        |  |   | (1,357,984 | )
|                      |  |   |            |  
|EXPENSES              |  |   |            |  
|Brokerage commissions |  |   | 33,982     |  
|Management fee        |  |   | 88,511     |  
|Operating expenses    |  |   | 7,880      |  
|                      |  |   |            |  
|Total expenses        |  |   | 130,373    |  
|                      |  |   |            |  
|NET LOSS              |  | $ | (1,488,357 | )
|                      |  |   |            |  

See accompanying notes.



19



---

WCM POOL LLC

STATEMENT OF CHANGES IN MEMBERS CAPITAL (NET ASSET VALUE)

For the Period January 1, 2007 to March 31, 2007

(Unaudited)



|                                                          |  |                  |           |   |              |   |            |           |  |   |           |   |  |   |            |  
|--------------------------------------------------------- |  | ---------------- | --------- | - | ------------ | - | ---------- | --------- |  | - | --------- | - |  | - | ---------- | -
|                                                          |  | Members Capital |          
|                                                          |  | MemberDFF LP     |           |   | Member DFT I |   |            | MemberKGT |  |   | Total     |  
|For the period January 1, 2007 to March 31, 2007          |  |                  |           |   |              |   |            |           |  |   |           |   |  |   |            |  
|Balances at January 1, 2007                               |  | $                | 0         |   |              | $ | 0          |           |  | $ | 0         |   |  | $ | 0          |  
|Additions                                                 |  |                  | 3,617,593 |   |              |   | 12,966,087 |           |  |   | 2,100,000 |   |  |   | 18,683,680 |  
|Net loss for the period January 1, 2007 to March 31, 2007 |  |                  | (288,754  | ) |              |   | (1,035,420 | )         |  |   | (164,183  | ) |  |   | (1,488,357 | )
|Redemptions                                               |  |                  | (44,424   | ) |              |   | (167,589   | )         |  |   | (24,445   | ) |  |   | (236,458   | )
|                                                          |  |                  |           |   |              |   |            |           |  |   |           |   |  |   |            |  
|Balances at March 31, 2007                                |  | $                | 3,284,415 |   |              | $ | 11,763,078 |           |  | $ | 1,911,372 |   |  | $ | 16,958,865 |  
|                                                          |  |                  |           |   |              |   |            |           |  |   |           |   |  |   |            |  

See accompanying notes.



20



---

WCM POOL LLC

NOTES TO FINANCIAL STATEMENTS

(Unaudited)

Note 1. ORGANIZATION



| | A. | General Description of the Company
| | -- | ----------------------------------

WCM Pool LLC (the
Company) is a limited liability company organized under the laws of Delaware on November 20, 2006 and commenced operations on January 1, 2007. The Company will terminate on December 31, 2056 unless terminated sooner under
the provisions of the Organization Agreement. The Company was formed to engage in the speculative trading of a diversified portfolio of futures contracts, options on futures contracts and forward currency contracts and may, from time to time, engage
in cash and spot transactions. Preferred Investment Solutions Corp. (Preferred) is the Managing Member of the Company. The Company currently consists of three members: Diversified Futures Fund L.P. (Member DFF LP),
Diversified Futures Trust I (Member DFT I) and Kenmar Global Trust (Member KGT) (collectively, the Members). Preferred is also the Managing Owner or General Partner of each of the Members. Upon making the initial
capital contribution, each Member received Voting Membership Interests.

The Company is a Member managed limited liability company that is
not registered in any capacity with, or subject directly to regulation by the Commodity Futures Trading Commission or the United States Securities and Exchange Commission.



| | B. | The Trading Advisor
| | -- | -------------------

The Company entered into an advisory
agreement with Winton Capital Management Limited (the Trading Advisor) to make the trading decisions for the Company. The Trading Advisor manages approximately 100% of the assets of the Company pursuant to its Diversified Program
Portfolio.

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES



| | A. | Basis of Accounting
| | -- | -------------------

The statement of financial condition,
including the condensed schedule of investments, as of March 31, 2007 and the statements of operations and changes in members capital (net asset value) for the periods January 1, 2007 to March 31, 2007, are unaudited. In the
opinion of Preferred, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of March 31, 2007, and the results of operations for the periods
January 1, 2007 to March 31, 2007. The operating results for these interim periods may not be indicative of the results expected for a full year.

The financial statements of the Company are prepared in accordance with accounting principles generally accepted in the United States of America, which require the use of estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from
these estimates.



21



---

WCM POOL LLC

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)



| | A. | Basis of Accounting (Continued)
| | -- | -------------------------------

Commodity futures and
foreign exchange transactions are reflected in the accompanying statement of financial condition on the trade date. Net unrealized gain or loss on open contracts (the difference between contract trade price and market price) is reflected in the
financial statements in accordance with Financial Accounting Standards Board Interpretation No. 39  Offsetting of Amounts Related to Certain Contracts. The market value of futures (exchange-traded) contracts is based upon the
closing quotation on the various futures exchanges on which the contract is traded. The values which will be used by the Company for open forward positions will be provided by its administrator, who obtains market quotes from data vendors and third
parties. Any change in net unrealized gain or loss during the current period is reported in the statement of operations. Realized gains and losses on transactions are recognized in the period in which the contracts are closed. Brokerage commissions
include other trading fees and are charged to expense when incurred.

The Company has elected not to provide a Statement of Cash Flows as
permitted by Statement of Financial Accounting Standards No. 102, Statement of Cash Flows  Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale.

Consistent with standard business practices in the normal course of business, the Company has provided general indemnifications to its Trading Advisor and
others when they act, in good faith, in the best interests of the Company. The Company is unable to develop an estimate of the maximum potential amount of future payments that could potentially result from any hypothetical future claim, but expects
the risk of having to make any payments under these general business indemnifications to be remote.

In July 2006, the Financial Accounting
Standards Board (FASB) issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109 (FIN 48), which clarifies the accounting for uncertainty
in tax positions. FIN 48 requires that the Company recognize in its financial statements, the impact of a tax position if that position is more likely than not of being sustained on audit, based on the technical merits of the position. The
provisions of FIN 48 are effective for fiscal years beginning after December 15, 2006, with the cumulative effect of the change in accounting principle recorded as an adjustment to opening retained earnings. Preferred as Managing Owner of the
Company has evaluated the impact of adopting FIN 48 on the Companys financial statements. In Preferreds opinion, the adoption of FIN 48 has no material impact on the Company, as the Companys tax position is based on established tax
precedence for the tax treatment of investment partnerships as flow through tax entities.



22



---

WCM POOL LLC

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)



| | A. | Basis of Accounting (Continued)
| | -- | -------------------------------

In September 2006, the
FASB issued SFAS No. 157, Fair Value Measurements, which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The provisions of SFAS No. 157 are effective
for fiscal years beginning after November 15, 2007. The Company is currently evaluating the impact of adopting SFAS No. 157 on its financial statements. At this time, the impact to the Companys financial statements has not been
determined.

Cash represents amounts deposited with clearing brokers, a portion of which are restricted for purposes of meeting margin
requirements, which typically range from 0% to 35% of the notional amounts of the derivatives traded. The Company receives interest on all cash balances held by the clearing brokers at prevailing interest rates.



| | B. | Income Taxes
| | -- | ------------

The Company is treated as a partnership for
Federal income tax purposes. As such, the Company is not required to provide for, or pay, any Federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the Members. The Company may be subject to other
state and local taxes in jurisdictions in which it operates.



| | C. | Capital Accounts
| | -- | ----------------

The Company accounts for subscriptions,
allocations and redemptions on a per member capital account basis.

The Company allocates profits and losses, prior to calculation of the
incentive fee, for both financial and tax reporting purposes to its Members monthly on a pro rata basis based on each Members pro rata capital in the Company during the month. Each Member is then charged with the applicable incentive fee.
Distributions (other than redemptions of capital) may be made at the sole discretion of the Members on a pro rata basis in accordance with the Members respective capital balances. The Company has not and does not presently intend to make any
distributions.



| | D. | Foreign Currency Transactions
| | -- | -----------------------------

The Companys
functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at
the date of the statement of financial condition. Income and expense items denominated in currencies other than U.S. dollars are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation
to U.S. dollars are reported in operations currently.

Note 3. FEES



| | A. | Operating Expenses
| | -- | ------------------

Operating expenses of the Company are
paid for by the Company.



23



---

WCM POOL LLC

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 3. FEES (CONTINUED)



| | B. | Management and Incentive Fees
| | -- | -----------------------------

The Company pays the
Trading Advisor a management fee at an annual rate of 2% of the Companys Net Assets determined as of the close of business each month. For purposes of determining the management fee, any distributions, redemptions or reallocation of assets
made as of the day of the month shall be added back to the assets and there shall be no reduction for (i) the management fees calculated or (ii) any accrued but unpaid incentive fees due the Trading Advisor.

Additionally, the members of the Company pay the Trading Advisor a quarterly incentive fee of 20% (the Incentive Fee) of New High Net
Trading Profits (as defined in the Advisory Agreement).

Note 4. INCOME TAXES

There have been no differences between the tax basis and book basis of Members capital since inception of the Company.

Note 5. DEPOSITS WITH COMMODITY BROKER

The Company
deposits funds with a commodity broker subject to CFTC regulations and various exchange and commodity broker requirements. Margin requirements are satisfied by the deposit of cash with such commodity broker. The Company earns interest income on
assets deposited with the commodity broker.

Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

Investments in the Company are made subject to the terms of the Organization Agreement.

The Company is not required to make distributions, but could do so at the discretion of the Members. A Member can request and receive redemption of
capital, subject to the terms in the Organization Agreement.

Note 7. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS

The Company 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 Companys investment activities (credit risk).



24



---

WCM POOL LLC

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 7. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS (CONTINUED)

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 Companys net assets being traded, significantly exceeds
the Companys future cash requirements since the Company intends to close out its open positions prior to settlement. As a result, the Company is generally subject only to the risk of loss arising from the change in the value of the contracts.
As such, the Company 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 Companys commitments to purchase commodities is limited to the
gross or face amount of the contract held. However, when the Company 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 Company 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 effect among the derivative instruments the Company holds and the liquidity and inherent volatility of the markets in which the Company trades.

Credit Risk

When entering into
futures or forward contracts, the Company 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, a clearinghouse is backed by its 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 Company, as the Companys forward broker is the sole counterparty. The Company has entered into a master netting agreement with its forward broker 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. The amount at risk associated with counterparty non-performance of all of the Companys contracts is the net unrealized
gain included in the statement of financial condition; however, counterparty non-performance on only certain of the Companys contracts may result in greater loss than non-performance on all of the Companys contracts. There can be no
assurance that any counterparty, clearing member or clearinghouse will meet its obligations to the Company.



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WCM POOL LLC

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 7. DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS (CONTINUED)

Credit Risk (Continued)

Preferred attempts to minimize both credit and market risks by requiring the
Company and its Trading Advisor to abide by various trading limitations and policies. Preferred 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 Company, Preferred and the Trading Advisor, the Company shall automatically terminate the Trading Agreement, if the net asset value allocated to the Trading Advisor
declines by 40% from the value at the beginning of any year or since the effective date of the Advisory Agreement. The decline in net asset value is after giving effect for distributions, subscriptions and redemptions.

The Company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 Company all assets of the Company relating to domestic futures trading and is not allowed to commingle such assets with its other
assets. At March 31, 2007, such segregated assets totaled $15,388,356. Part 30.7 of the CFTC regulations also requires the Companys futures commission merchant to secure assets of the Company related to foreign futures trading which
totaled $158,561 at March 31, 2007. There are no segregation requirements for assets related to forward trading.

As of March 31,
2007, all open futures contracts mature within eighteen months.



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WCM POOL LLC

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 8. FINANCIAL HIGHLIGHTS

The following
information presents the financial highlights of the Company for the period January 1, 2007 to March 31, 2007. This information has been derived from information presented in the financial statements.



|                         |  |                    |    |  |             |    |  |           |   
|------------------------ |  | ------------------ | -- |  | ----------- | -- |  | --------- | --
|                         |  | First Quarter 2007 |   
|                         |  | MemberDFF LP       |    |  | MemberDFT I |    |  | MemberKGT |   
|Total return(1)          |  | (8.20              | )% |  | (8.20       | )% |  | (8.33     | )%
|                         |  |                    |    |  |             |    |  |           |   
|Total expenses(2)        |  | (2.88              | )% |  | (2.88       | )% |  | (2.89     | )%
|                         |  |                    |    |  |             |    |  |           |   
|Net investment income(2) |  | 1.04               | %  |  | 1.04        | %  |  | 1.05      | % 
|                         |  |                    |    |  |             |    |  |           |   

---

Total returns and ratios to average net asset value
are calculated for Members capital taken as a whole. An individual Members total returns and ratios may vary from the above returns and ratios based on the timing of additions and redemptions.



|(1) | Not annualized and includes realized and unrealized gains (losses) on securities transactions.
|--- | ----------------------------------------------------------------------------------------------

|(2) | Annualized.
|--- | -----------

Note 9. SUBSEQUENT EVENT

Effective March 31, 2007, the Managing Owner of Futures Strategic
Trust terminated its Trading Advisor agreement with Graham Capital Management, L.P. and allocated those assets to the Company, effective April 1, 2007.



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Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations

This report on Form
10Q (the Report) for the quarter ending March 31, 2007 (First Quarter 2007) includes forward-looking statements that reflect the current expectations of Preferred Investment Solutions Corp.
(Preferred or the Managing Owner), the managing owner of Diversified Futures Trust I (Registrant), about the future results, performance, prospects and opportunities of Registrant. The
Managing Owner has tried to identify these forward-looking statements by using words such as may, will, expect, anticipate, believe, intend, should,
estimate or the negative of those terms or similar expressions. These forward-looking statements are based on information currently available to the Managing Owner and are subject to a number of risks, uncertainties and other factors,
both known, such as those described in this Report, and unknown, that could cause Registrants actual results, performance, prospects or opportunities to differ materially from those expressed in, or implied by, these forward-looking
statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the Federal securities laws, the
Managing Owner undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for
any other reason after the date of this Report.

Introduction

General

Diversified Futures Trust I (Registrant), a Delaware business trust, was organized
under the Delaware Statutory Trust Act on May 18, 1994 and will terminate on December 31, 2020 unless terminated sooner under the provisions of the Second Amended and Restated Declaration of Trust and Trust Agreement (the Trust
Agreement). Registrants trustee is Wilmington Trust Company. The Registrant was formed to engage in the speculative trading of commodity futures and forward contracts. The Registrants fiscal year for book and tax purposes ends
on December 31.

The Registrant is engaged solely in the business of commodity futures and forward trading; therefore, presentation of industry
segment information is not applicable.

On February 3, 2003, the Managing Owner and the Registrant entered into an advisory agreement (the
Appleton Advisory Agreement) with Appleton Capital Management Ltd. (Appleton) to manage approximately 20% of Registrants assets. On February 7, 2003, the Managing Owner and Registrant entered into an
advisory agreement (the Graham Advisory Agreement) with Graham Capital Management, L.P. (Graham) to manage approximately 40% of Registrants assets. On February 14, 2003, the Managing Owner and
Registrant entered into an advisory agreement (the Aspect Advisory Agreement) with Aspect Capital Limited (Aspect) to manage approximately 40% of Registrants assets. Registrant terminated the Appleton
Advisory Agreement, Graham Advisory Agreement and Aspect Advisory Agreement effective December 31, 2006.

Prior to January 1, 2007 (including
First Quarter 2006 and First Quarter 2005), all trading decisions for Registrant were made by Appleton, Graham and Aspect.

Effective January 1, 2007,
Registrant became a member of and allocated all of its assets to WCM Pool LLC (the Trading Vehicle), a Delaware limited liability company, and received a voting membership interest in the Trading Vehicle and became party to the
Trading Vehicles Organization Agreement. The Trading Vehicle was formed to function as an aggregate trading vehicle for its members. Registrant, Futures Strategic Trust, Diversified Futures Fund, L.P. and Kenmar Global Trust are the sole
members of the Trading Vehicle. Preferred is the managing owner/general partner of each of these Trading Vehicle members has been delegated administrative authority over the operations of the Trading Vehicle. The Trading Vehicle engages in the
speculative trading of futures and forwards contracts. The Trading Vehicle has entered into an advisory agreement (the Trading Vehicle Advisory Agreement) with Winton Capital Management Limited (Winton), whereby
Winton makes the trading decisions for the Trading Vehicle and, in turn, Registrant, pursuant to Wintons Diversified Program.



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The term Trading Advisor, as used herein, refers either to Appleton, Graham, Aspect or Winton,
depending upon the applicable period discussed. The term Trading Advisory Agreement, as used herein, refers either to the Appleton Advisory Agreement, Graham Advisory Agreement, Aspect Advisory Agreement or Trading Vehicle
Advisory Agreement, depending upon the applicable period discussed.

Managing Owner and its Affiliates

Preferred has been the managing owner of Registrant since October 1, 2004. Prior to that date, Prudential Securities Futures Management Inc. served as managing owner
of Registrant. The term Managing Owner, as used herein, refers either to Prudential Securities Futures Management Inc. or Preferred, depending upon the applicable period discussed.

The Managing Owner is required to maintain at least a 1% interest in Registrant so long as it is acting as Registrants Managing Owner.

Competition

The Managing Owner and its
affiliates have formed, and may continue to form, various entities to engage in the speculative trading of futures and forward contracts that have certain of the same investment policies as Registrant.

Registrant does not currently, and does not intend in the future to, solicit the sale of additional Interests. As such, Registrant does not compete with other entities
to attract new fund participants. However, to the extent that a Trading Advisor recommends similar or identical trades to Registrant and other accounts that it manages, Registrant may compete with those accounts, as well as with other market
participants, for the execution of the same or similar trades.

Employees

Registrant has no employees. Management and administrative services for Registrant are performed by the Managing Owner or third parties pursuant to the Trust Agreement,
as further discussed in Notes 3 and 4 to Registrants financial statements included in its annual report for the year ended December 31, 2006 (Registrants 2006 Annual Report), which is filed as an exhibit to
Registrants Form 10-K for the fiscal year ended December 31, 2006.

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the
application of appropriate accounting rules and guidance. Applying these policies requires the Managing Owner to make judgments, estimates and assumptions in connection with the preparation of Registrants financial statements. Actual results
may differ from the estimates used.

The Managing Owner has evaluated Registrants financial statements and related disclosures and has determined
that the policies discussed below are critical accounting policies because they involve estimates, judgments and assumptions that are particularly complex, subjective or uncertain. For a further discussion of Registrants significant accounting
policies, see Note 2 to Registrants financial statements for the year ended December 31, 2006, which is filed as an exhibit to Registrants annual report on Form 10K for the fiscal year ended December 31, 2006.

The valuation of Registrants investments that are not traded on a United States or internationally recognized futures exchange is a critical accounting policy. The
market values of futures (exchange traded) contracts is verified by Registrants administrator, which obtains valuation data from third party data providers such as Bloomberg and Reuters and compares those prices with Registrants clearing
broker. The market value of currency swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3 PM on the last business day of the reporting period. All values assigned by the
administrator and confirmed by the Managing Owner are final and conclusive as to all of Registrants unitholders.



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As such, if actual results vary from estimates used, they are not anticipated to have a material impact on the financial
statements and related disclosures.

Registrant records all investments at fair value in its financial statements, with changes in fair value reported as a
component of Trading Profits (Losses) in the Statements of Income (Loss). Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates are involved in determining fair value in the
absence of an active market closing price.

In July 2006, the Financial Accounting Standards Board (FASB) issued FASB Interpretation
No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109 (FIN 48), which clarifies the accounting for uncertainty in tax positions. FIN 48 requires that Registrant
recognize in its financial statements, the impact of a tax position if that position is more likely than not of being sustained on audit, based on the technical merits of the position. The provisions of FIN 48 are effective for fiscal years
beginning after December 15, 2006, with the cumulative effect of the change in accounting principle recorded as an adjustment to opening retained earnings. The Managing Owner has evaluated the impact of adopting FIN 48 on Registrants
financial statements. In the Managing Owners opinion, the adoption of FIN 48 has no material impact on Registrant, as Registrants tax position is based on established tax precedence for the tax treatment of investment partnerships as
flow through tax entities.

In September 2006, the FASB issued Statement of Financial Accounting Standards (SFAS) No. 157,
Fair Value Measurements, which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The provisions of SFAS No. 157 are effective for fiscal years beginning
after November 15, 2007. Registrant is currently evaluating the impact of adopting SFAS No. 157 on its financial statements. At this time, the impact to Registrants financial statements has not been determined.

Liquidity and Capital Resources

Registrant commenced operations on
January 5, 1995 with gross proceeds of $25,262,800 allocated to commodities trading. Additional contributions raised through the continuous offering of limited interests (Limited Interests) and general interests
(General Interests and, together with the Limited Interests, Interests) of beneficial ownership in Registrant through August 31, 1996 resulted in additional gross proceeds to Registrant of $41,129,100. The
continuous offering period ended on August 31, 1996.

Limited Interests in Registrant may be redeemed on a monthly basis. For First Quarter 2007,
redemptions of Limited Interests and General Interests were $603,601 and $11,263, respectively. For First Quarter 2006, redemptions of Limited Interests and General Interests were $772,846 and $8,285, respectively. For First Quarter 2005,
redemptions of Limited Interests and General Interests were $542,461 and $0, respectively. Redemptions of Limited Interests and General Interests for the period January 5, 1995 to March 31, 2007 were $87,299,606 and $742,727, respectively.
Future redemptions will impact the amount of funds available for investment in commodity contracts in subsequent periods.

At March 31, 2007, 100% of
Registrants net assets were allocated to commodities trading through its investment in the Trading Vehicle. A significant portion of Registrants net assets invested in the Trading Vehicle was held in cash, which was used as margin for
trading in commodities. In as much as the sole business of Registrant is to trade in commodities, Registrant continues to own such liquid assets to be used as margin. The clearing broker credits the Trading Vehicle (and, in turn, Registrant, as a
member of the Trading Vehicle) with interest income on 100% of its average daily equity maintained in its accounts with the clearing broker during each month at competitive interest rates.

The commodities contracts may be 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



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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
Trading Vehicle (and, in turn, Registrant) from promptly liquidating its commodity futures positions.

Since Registrants business is to trade futures
and forward contracts (through its investment in the Trading Vehicle), 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).
Registrant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 Registrants speculative trading as well as the development of drastic market occurrences could result in losses considerably beyond Registrants experience to date and could ultimately lead
to a loss of all of substantially all of investors capital. The Managing Owner attempts to minimize these risks by requiring Registrant, the Trading Vehicle and the Trading Advisor 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. For a further discussion of the credit and market risks associated with Registrants futures and forward contracts, see Note 6 to
Registrants financial statements for the year ended December 31, 2006, which is filed as an exhibit to Registrants annual report on Form 10K for the fiscal year ended December 31, 2006.

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

Market Overview

Following is a market overview for First Quarter 2007 and First Quarter 2006:

First Quarter 2007

The US Federal Reserve
(the Fed) remained on hold throughout First Quarter 2007 after having moved away from the tightening bias cycle in the fourth quarter of 2006. As the second quarter of 2007 began, the Federal Open Market Committee minutes indicate
a growing concern with the potential for an economic slowdown, but at the same time, inflation remains the Feds primary focus. Treasury yields were in an almost constant downtrend in the fourth quarter of 2006 and hit an eleven month low last
November, but the pattern in First Quarter 2007 was more two sided. Some steepening of the yield curve was noted during First Quarter 2007.

Housing
persists as a major focus and potentially the largest threat to the US economy. The February housing report did exhibit something of a bounce in housing as starts rose 9% in February 2007 after falling 14% in January 2007. The more forward-looking
housing permits declined for the twelfth time in thirteen months. Housing starts are down more than 26% and housing permits more than 28% from 2006, to put the situation in perspective. In addition, inventories are burdensome and the median home
sale price fell over 1% year-on-year. Ongoing concerns in the sub-prime mortgage sector had an impact on the housing sector, but its potential spread into the prime mortgage sector seems to have been contained for the moment.

On the inflation front, the Core Personal Consumption Price Index, one of the Feds closely watched measures, rose 0.3% in February 2007, the most since August 2006
and most importantly year-on-year it rose above the Feds target. The Consumer Price Index (CPI) was up 0.4% and the Core CPI rose 0.2% as food and energy prices climbed. During First Quarter 2007, food is up dramatically
within the CPI. Meanwhile, the Producer Price Index (PPI) has also risen, unexpectedly jumping 1.8% in February 2007, with the Core rising 0.4% during that same period.

Fourth quarter 2006 Gross Domestic Product (GDP) was revised upwards slightly but economists forecast the first quarter 2007 figures to remain steady.
Healthy unemployment data from the fourth quarter of 2006 extended into First Quarter 2007, including an increase in non-farm payrolls and a decline to 4.4% in the unemployment rate. Consumer Confidence numbers were off a bit in the quarter, but



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remained relatively strong. Retail sales were relatively weak for the quarter, but still above year ago levels. Manufacturing indices were mixed but
construction spending held well. As the second quarter begins, the US economy seems to be lagging as indicated in the International Monetary Fund projections while Asia and Europe appear considerably more buoyant.

The Eurozones economy seems to have solid momentum, as does the UK, after a strong First Quarter 2007 performance. Not surprisingly, the euro rose to a two-year
high. Global imbalances were a focus in the quarter, evidenced particularly by the yen carry trade. The European Central Bank (ECB) held rates steady at the April meeting after hiking them 25 basis points in March, and ECB
President Trichet sounded hawkish in his latest commentary. The Bank of England increased rates 25 basis points in January to 5.25%. The Swiss National Bank also increased rates 25 basis points to 2.25%. Of note, European and Asian equity markets
surged late in the first quarter and featured strong earnings and robust merger and acquisition (M&A) activity.

The Bank of Japan
continues to pursue a conservative policy as it remained on hold in April after a 0.25% increase in February. The Japanese economy displayed a mixed pattern of economic data that shows the economy generally improving, albeit modestly, with little
inflation threat. China continued its expansion, growing over 10% in the quarter despite forecasts from many of a significant slowdown. The Peoples Bank of China has been in a tightening mode, but this has not slowed the growth pace. The Bank
of Canada was on hold during the quarter. However, there is speculation that the Reserve Bank of Australia could raise rates in May.

Currencies:The US Dollar ended a negative month and quarter on a weak note after the US imposed trade sanctions on paper imports against China, the first time in 23 years that US duty law has been applied to imports from that country. Some describe the
move as a potential watershed event in US/Peoples Republic of China relations; currency traders viewed the action as important. Throughout February and March, the yen was the currency in focus, with the carry trade drawing the most attention.
While the attention was warranted at the time, the crisis quieted by the end of March.

The euro closed the quarter with a slight gain from
year-end. Mostly strong European Union (EU) economic data were noted, including solid numbers for the German economy, considered the regions engine of growth. The German VAT increase has not caused the dire
consequences some projected. German unemployment fell to a six-year low, while data from France and Italy has been mostly buoyant. The British pound closed out the quarter modestly higher over the 2006 finish. The Chinese yuan gained against the
dollar in the first quarter.

The latest US Trade Report showed the nations deficit narrowing in January, the fourth narrowing in five months.
Exports hit record levels and imports declined slightly. Capital goods exports achieved record levels but the petroleum deficit widened. The deficit with China widened, while the deficit with the EU was the lowest since January 2004.

Energies:Crude oil futures were mixed during the quarter, but finished up slightly overall. March featured an increased terror premium, mostly related to the
Iran/UK naval hostage situation. OPEC production was supportive and the latest Department of Energy (DOE) data show crude inventories slightly lower than last year. A series of refinery outages, some expected maintenance and some
unanticipated repairs added to the bullish scenario for crude prices. Buoyant product demand and reduced imports also lent support. Gasoline futures finished the quarter up strongly. Despite a recent surge in pump prices, demand remains slightly
higher than last year. Lower overall European gasoline production and the various US refinery outages point to continuing tight supplies, supported by strong crude prices.

Heating oil prices ended the quarter more than 11% higher than they were at the start of 2007. The DOE reports that inventories are below last seasons, while demand remains near 2006 levels. The winter
temperature overall was slightly above normal but the February cold snap increased demand considerably.

Natural gas prices were quite volatile during the
first quarter of the year and ended up over 17% higher than at the start of the year. The weather will play a key role in the coming weeks; El Niño years have historically led to warmer than normal summers, a potentially bullish influence to
accompany forecasters predictions of an active hurricane season.



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Grains:The corn market saw a 23% increase in prices
overall for the quarter. However, after a robust start spurred on by bullish USDA Supply/Demand reports in January and February, March brought no new data and the market began to fade. On March 30th, the release of the annual Planting Intentions Report drove prices sharply lower with its estimates of a 15% increase in estimated corn acreage. The soybean
market went into a sideways stall during March, in deference to the price-appreciating pattern seen during the first two months of the quarter. The increase in corn acreage came at the expense of many other crops, not the least of which was
soybeans, projected by the report to be down 11% in acreage. In addition, the auspices of a threatening hurricane season, combined with this summers expected El Niño conditions, has some market participants questioning supply
predictions. Wheat prices broke down through the quarters supporting price floor during March. Given the ongoing drought conditions in Australia, one of the worlds largest wheat growing and exporting nations, and the expected higher corn
prices that will necessitate longer cattle grazing, farmers are reported to be intending to increase plantings by 10%. Cotton prices languished in a range for the entire quarter. Not even a surprising 20% plantings report reduction in cotton acreage
could spur the market, given the current supply overhang stemming from the non-recourse Loan Program provisions.

Indices:US equity markets turned
in mixed and volatile performance for the quarter as a whole. The Dow Jones Industrial Average ended in negative territory, while the S&P 500 and NASDAQ indices managed meager gains. The UK/Iran political crisis, fears surrounding the Japanese
yen carry trade, imposition of trade sanctions on China and sub-prime mortgage market concerns were all major issues affecting the markets. Uncertainty was one of the buzzwords of the quarter, but US and global market inflows and spectacular M&A
activity pointed in the bullish direction.

The brisk flow of foreign capital into European equities during the quarter was also a contributing factor in
the increase in European equities. Heavy M&A, solid earnings and mostly buoyant EU and UK economic data led the way from a fundamental perspective.

Asian equities experienced a volatile ride in the quarter, but after being under severe pressure due to carry trade and liquidity related factors in February and into early March, they rallied back strongly to all-time highs in late March.

Interest Rates:US treasuries engaged in erratic and, at times, volatile trading patterns in March, but ended the quarter higher overall. Early in
the month, bonds attracted considerable flight to safety and risk aversion support as related to carry trade and sub-prime concerns but that lessened considerably by months end with some of the buying reversed. The final week of March saw the
yield curve steepening with the majority of the move at the long end. Housing remains a primary concern and perhaps the greatest risk to the US economy.

Outside of the US, the European Central Bank (ECB) raised rates in March as but held steady in April as they look to slow ample liquidity and growth in Germany, France and Italy. ECB President Trichet expressed concerns
about demand growth and increasing wage demands, particularly in Germany. The Bank of England held rates unchanged at both the March and April meetings. Recent UK inflation data has shown improvement, lessening the potential for a near term rate
hike. The Bank of Japan was also on hold given that recent economic data from Japan has been mixed. In China, the Peoples Bank continues to tighten liquidity as the economy roars ahead at a near 11% GDP pace. The Bank of Canada and Reserve
Bank of Australia were on hold during the quarter.

Metals:Both gold and silver prices struggled a bit in March, but continued their overall upward
trend during the quarter. Platinum prices ended higher for the quarter, with increased volatility. Sister metal palladium also rose on buoyant industrial demand. Copper prices were highly volatile during the first quarter, as virtually all
commodities were impacted by the global liquidity crunch related primarily to the yen carry trade. Import data from China has signaled continued strong demand. Nickel prices surged over 42% during the quarter on continued supply deficits. Demand
levels for stainless steel continue to expand. Aluminum ended the quarter virtually unchanged and has been one of the quietest of the metal markets. Zinc prices fell over 20% during the quarter mostly due to high levels of exports from China. Lead
prices advanced as did tin prices, the latter impacted somewhat by Indonesian supply disruptions.



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Softs:Sugar prices fell over 15% during First Quarter 2007, reflecting a growing global surplus and slow physical
sugar sales in March. Coffee prices also ended the quarter approximately 15% lower primarily due to improved crop prospects from Brazil. Cocoa prices, on the other hand, rose to their highest levels since May of 2003 on estimates of a smaller than
expected West African crop yield and indications that end users are not well hedged. Live cattle prices rose slightly for the quarter. However, improved feeding conditions in the Midwest dampened enthusiasm somewhat. Although hogs have benefited
from recent rises in retail beef prices, hog prices during the quarter were weighed down with seasonally slack demand and the USDA corn report.

First Quarter 2006

Markets in both the U.S. and Europe seemed to overlook numerous geopolitical issues in the First Quarter 2006.

In the U.S., a major event for the first quarter was the transition in Federal Reserve (Fed) leadership from Alan Greenspan to Ben
Bernanke. For months prior to the transition there was concern that the change could result in considerable volatility in fixed income and equity markets. The transition, however, appears seamless.

For much of the first quarter, the answer to the question of when the Fed might be approaching the end of the rate hike cycle changed depending on the latest economic
data. By quarters end it became apparent that the Fed was not finished, and that there were likely two, and possibly three, additional 25 basis point moves to come. Yields reflected this as the benchmark 10-year Note moved from 4.395% at the
end of 2005 to 4.853% at the end of March 2006. The 2-year Note stood at 4.845% at the end of the quarter, versus 4.535% at the end of 2005. The reintroduction of the 30-year bond in February proved to be a success, with strong foreign bidding. In
regard to the yield curve, Chairman Bernanke stated on numerous occasions that the inverted curve was not a harbinger of deteriorating economic fundamentals, but rather related to strong foreign demand. The yield curve inversion between
the 2 and 10-year Notes was as much as 16 basis points in early March, but as the second quarter began, the curve was out of inversion.

The first quarter
economic data was positive with limited inflation. Fourth quarter Gross Domestic Product (GDP) was revised up to 1.7%. The Conference Boards March Consumer Confidence reading of 107.2 showed a strong consumer sector, despite
higher gas prices. The first quarter saw solid growth in durable goods and factory orders, and manufacturing confidence indicators were upbeat. Housing concerns persisted, and there is evidence of some slowing as mortgage rates increase, but a
housing bubble seems to have been averted.

Equity markets finished the first quarter on a strong note, after a mixed pattern in January and February. The
S&P 500 had its best first quarter in 7 years with a 3.7% gain, and the Dow Jones Industrial Average also rose 3.7%. NASDAQ led the first quarter rally with a 6.1% gain. The U.S. dollar was volatile in the first quarter. The Japanese yen
finished March at 117.68 versus the U.S. dollar, little changed from the end of December, while the Euro was at 1.2116 versus the U.S. dollar, down 2.4% for the quarter.

The Eurozone showed evidence of economic improvement in the first quarter. Data was mostly positive, with a few exceptions such as German Unemployment at 11.4%. On the other hand, German business confidence, as
measured by the widely followed IFO Indicator, rose to a 15-year high of 105.4 in March. Data emanating from France and other Euro nations was mostly positive. The European Central Bank (ECB) raised rates twice in the last four
months, and at least two additional moves are anticipated. Eurozone CPI has been advancing at around 2.3%, above the 2.0% ECB target, which adds to the probability of a rate hike.

In addition to steady economic growth, European equity markets soared in the first quarter as international fund managers were active buyers. In the first quarter, the DAX rose 10.4%, the CAC rose



34



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10.7% and the Stoxx 600, a broad measure of various European equity exchanges, was up 7.9%. Oil in excess of $60 per barrel appears to have caused less
impact on global growth than anticipated. Europe had been thought to be more vulnerable than the U.S. but that has not been the case as energys percentage of GDP has declined materially in recent years.

The Bank of England held rates steady, as the U.K. lagged the other European Union countries. The British pound finished the quarter slightly higher versus the U.S.
dollar and the FTSE was up 6.2%.

The major economic development in Japan was the end of that nations long-standing deflationary period. In late
March, the Bank of Japan (BOJ) took the first steps toward ending their ultra-easy monetary policy. The BOJ did not, however, alter its zero interest rate policy. The Japanese banking system continues to recover, and
the Nikkei increased 5.9% in the first quarter.

Elsewhere in Asia, China remains strong with GDP growth in excess of 9%. The Chinese currency revaluation
is progressing slowly. Korea maintained a strong growth trend for the period, but the Bank of Korea held rates unchanged at its most recent meeting. India continues to emerge as an economic power.

The natural resource oriented economies of Canada, Australia and New Zealand continue to perform well from an economic standpoint, but their currencies did not reflect
this. The Bank of Canada continued to raise rates, helping the Canadian dollar to reach a 14-year high of 87.9 U.S. cents in February but then began to weaken to around 86.5 cents. The Australian and New Zealand Dollars were hurt by tighter global
liquidity as an international monetary tightening trend emerged. New Zealands currency moved to a 22 month low around 60.5 U.S. cents while the Australian dollar dipped to an 18 month low of 70.73 cents.

Currencies: Currency sector trading was difficult in the first quarter due to considerable market volatility. At quarter end, the U.S. dollar had gained
approximately 2.3% versus the Euro, despite two rate hikes in four months from the ECB and the rising U.S. deficits. The federal deficit hit a record $119 billion in February, while the fourth quarter current account deficit widened by 21.3% to a
record $224.9 trillion. The Japanese yen ended March at 117.68 versus the U.S. dollar, virtually unchanged from Decembers 117.80 but well ahead of Februarys 115.74, as the BOJ implemented initial steps toward moving away from their
long-standing ultra-easy monetary stance. The Japanese fiscal year ended on March 31 and the yen benefited from some late quarter repatriation. The Chinese yuan strengthened to 8.017 versus the U.S. dollar compared to 8.0369 at the
end of February, and the lowest since China dropped its long-standing peg to the U.S. dollar last summer. Mounting political pressure and tariff threats have been keeping Chinese officials on the defensive but progress remains slow. The yen was a
beneficiary of the yuans movement.

Energies: There was a lot of activity in the petroleum sector from both a geopolitical and supply/demand
perspective. Concerns surrounding Irans nuclear enrichment program, seemingly endless violence and civil war like conditions in Iraq, the uncertainty surrounding Hamas in the Palestinian territory and the ongoing Nigerian civil unrest created
an atmosphere of uncertainty. These geopolitical concerns were supportive of prices for crude oil, unleaded gasoline and heating oil in the first quarter.

Unleaded gasoline also got a boost due to the fact that repairs at Hovensa Oils St. Croix refinery, the second largest refinery in the Western Hemisphere, are taking longer than anticipated. With several other refineries
non-operational due to necessary periodic maintenance, critical times could lie ahead for unleaded gasoline where current supplies are ample but not overly above normal. Unfortunately, prices at the pump have been rising and will continue to
increase as refiners strain to meet new mandated EPA requirements. However, the consumer continues to show little price resistance as consumption ran about 2% ahead of last year during March.

Natural gas suffered the biggest loss in the first quarter in the sector. Given that natural gas is almost exclusively a U.S. domestic market, it failed to benefit from
the above geopolitical concerns and focused mostly on supply/demand considerations, which are negative.



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Grains: The sector was mixed for the quarter. Corn and wheat both started the year on a weak note after
end-of-year-rallies. The price retreats abated towards the end of January, when prices reversed, and proceeded to rally through the month of February and into March, when improved weather conditions across the growing regions resulted in increased
producer selling pressure on prices. Conversely, soybean prices found little in the way of price support during the first quarter of 2006, including an absence of Chinese interest in buying U.S. Soybeans.

Indices: After trading in a variable pattern with modest gains for much of January and February, U.S. equity markets turned in a solid March to finish the first
quarter on a positive note. Both the S&P 500 and the Dow Jones Industrial Average advanced 3.7%, and the NASDAQ rallied 6.1%. Stronger than expected earnings and the brisk pace of merger and acquisition (M&A) activity were
two of the underlying factors supporting the equity market strength.

Major European and Asian equity markets were even stronger. Germanys DAX
finished the first quarter up 10.4% and Frances CAC finished the first quarter up 10.7% on generally positive data and improving business confidence combined with a strong run of M&A activity. Meanwhile, despite mostly lackluster economic
activity, Londons FTSE rose 6.2%. Asian markets featured a surge in the Nikkei in March, closing at 17,059, the highest monthly close since August 2000. Japan has persisted as a favorite of international fund managers for many months and other
Asian markets are also experiencing strong interest.

Interest Rates: The first quarter saw the end of the tenure of Fed Chairman Alan Greenspan. In
his first days after assuming his role of Chairman, Mr. Bernanke made it clear that he would, at least initially, extend the philosophy of his predecessor. He also made it clear that he is not soft on inflation as the first FOMC meeting under
his leadership issued a statement that leaned modestly to the tightening side. Prior to the meeting, there was a growing perception the Fed was about finished in the rate hike cycle, but after the statement it became apparent that the Fed would
probably raise rates two or three more times. Early in March, the inversion of the yield curve, which was initiated at the end of January, was further extended, and at one point, the 2-year yield was as much as 16 points over the 10-year. By the end
of March, the curve inversion disappeared.

In Europe, the ECB raised rates twice and subsequent statements from ECB President Jean-Claude Trichet have
strongly hinted at a further tightening of monetary policy. Eurozone economic data was improved and high oil prices were doing little to thwart growth or confidence from the consumer or business. Most major European equity markets reached record
levels. The U.K. lagged on the economic front, and no rate changes are anticipated in the near future.

In Japan, the BOJ initiated the process of
gradually moving away from the nations long-standing ultra easy monetary policy. However, the BOJ did not alter the zero interest rate policy. Japan is exiting a long period of deflation and recent economic data have been
encouraging.

The Bank of Canada extended its rate hike cycle with another 25 point increase and further increases are a near certainty. Korea and
Australia may also move to tighten monetary policy.

Metals: Base and precious metals had a strong first quarter. After rising over 60% in 2005,
copper rose another 27% in the first quarter of 2006. In addition to the strong demand patterns from China, Japan and India, there were significant problems on the supply side in the first quarter. These included an ongoing strike at Groupo Mexico
and serious production constraints in Indonesia, Zambia and Chile. Zinc also had an exceptionally strong quarter, rising 39%. The rest of the base metals benefited from the overall strength in copper and zinc. Aluminum was up 10% and nickel was up
12.5% for the quarter.

Meanwhile, gold rose 13% for the quarter and traded at a 25-year high. Geopolitical concerns surrounding Iran, Iraq and the newly
elected Palestinian government combined with higher oil prices to stabilize gold. Silver followed gold higher and also benefited from the anticipated launch of the silver ETF.

Softs: After rising 62% last year, sugar rallied 21% in the first quarter of 2006. The market is experiencing a supply/demand deficit, including a recent surge in Chinese orders. The demand for ethanol
continues to increase, and with crude oil prices showing little inclination to retreat, demand could accelerate. Brazil continues to divert a large percentage of its output toward ethanol.



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The reinstatement of the Japanese ban on U.S. beef imports hit the live cattle market and prices fell almost 15% for the
quarter. Live hogs did not fare much better, falling almost 10% for the quarter. Asian demand was decent but supply was more than ample.

Sector
Performance

Due to the nature of Registrants trading activities, a period-to-period comparison of its trading results is not meaningful. However,
a discussion of Registrants trading results for the major sectors in which Registrant traded for First Quarter 2007 and First Quarter 2006 are presented below.

First Quarter 2007

Currencies: (-) Losses were experienced in the Australian dollar, British pound,
Canadian dollar, Czech koruna, euro, Japanese yen vs. euro cross, Japanese yen, Mexican peso, Polish zloty, South African rand and Swiss franc. Gains were made in the Brazilian real, British pound versus Japanese yen cross, Hungarian forint and New
Zealand dollar.

Energies: (-)Losses were experienced in gas oil, gasoline, heating oil and natural gas. Gains were experienced in Brent crude and
crude oil.

Grains: (-)Losses were experienced in corn, soybeans, soybean meal and wheat. Gains were experienced in canola oil, cotton and soybean
oil.

Indices: (-) Losses were experienced in the CAC 40, the DJ Stoxx 50, the Dow Jones Industrial Average, the FTSE 100, the Hang Seng, the Nasdaq
100, the Nikkei, the Russell 2000, the S&P MIB 30, the S&P 500 and the Taiwan Index. Gains were experienced in the Australian All Ordinaries, the DAX, the IBEX 35, the S&P Mid-Cap 400 and the S&P TSE 60.

Interest Rates: (-)Losses were experienced in Australian Bank Bills and 3-year and 10-year Bonds, Canadian Bank Acceptances and Bonds, Euribor, Eurodollar,
Euroswiss, German 2-year, 5-year, 10-year and 30-year Bonds, Swiss Bonds, U.K. Gilts, U.S. Treasury Bonds and U.S. 2-year, 5-year and 10-year Treasury Notes. Gains were experienced in Euroyen, Japanese Government Bonds, New Zealand Treasury Bills
and Short Sterling.

Metals: (+)Losses were experienced in copper, platinum, silver and zinc. Gains were experienced in aluminum, gold, lead
and nickel.

Softs (-):Losses were experienced in cattle, coffee and hogs. Gains were experienced in cocoa and sugar.

First Quarter 2006

Currencies: (-) The
currency sector was down for the first quarter of 2006. Long positions in the Australian dollar versus the Euro and short positions in the Norwegian Krone and the Japanese yen versus the U.S. dollar negatively impacted the portfolio.

Energies: (-) Overall, energies yielded a negative return for the portfolio in the first quarter of 2006. Losses were generated primarily on long and short
positions in crude oil, unleaded gasoline and Brent crude, as well as on short positions in gas oil.

Grains: (-) The grains sector was down for the
first quarter of 2006, primarily due to long and short positions in soybean oil and wheat, and short positions in corn.



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Indices: (+) Long positions in the CAC 40, the IBEX 35, the Dow Jones STOXX 50 and the FTSE 100 were
profitable in the first quarter of 2006.

Interest Rates: (+) The interest rate sector was up for the first quarter of 2006, primarily due to
short positions in Euribor, Eurodollar and the German 2-year and 5-year Bonds.

Metals: (+) The metals sector was profitable for the first
quarter of 2006, with long positions in copper, zinc, silver, aluminum and gold providing the largest profits.

Softs: (+) The sector produced
a positive for the first quarter of 2006 on gains from short positions in live hogs and long positions in sugar.

Results of Operations

The net asset value (Net Asset Value) per Interest as of March 31, 2007 was $201.12, a decrease of 9.69% from the December 31, 2006 Net
Asset Value per Interest of $222.71. The Net Asset Value per Interest as of March 31, 2006 was $230.14, a decrease of 0.96% from the December 31, 2005 Net Asset Value per Interest of $232.38. The Net Asset Value per Interest as of
March 31, 2005 was $221.06, a decrease of 6.98% from the December 31, 2004 Net Asset Value per Interest of $237.65. Past performance is not necessarily indicative of future results.

Registrants trading gains/(losses) before commissions and related fees during First Quarter 2007, First Quarter 2006 and First Quarter 2005 were approximately
($1,088,000), $63,000 and ($1,067,000), respectively.

Interest income is earned on the average daily equity maintained with the clearing broker at
competitive interest rates and, therefore, varies monthly according to interest rates, trading performance and redemptions. Interest income was approximately $146,000 for the First Quarter 2007, a decrease of approximately $36,000 as compared to
First Quarter 2006 primarily due to the impact of reduced average net asset levels. Higher interest rates during the First Quarter 2007 as compared to First Quarter 2006 did not fully offset the impact of the average redemptions. Interest income
during the First Quarter 2006 was approximately $182,000, an increase of approximately $66,000 as compared to the First Quarter 2005 primarily due to higher overall interest rates during the First Quarter 2006 as compared to the First Quarter 2005.
Interest income during the First Quarter 2005 was approximately $116,000, an increase of approximately $53,000 as compared to the First Quarter 2004 primarily due to higher overall interest rates during the First Quarter 2005 versus the First
Quarter 2004.

Commissions are calculated on Registrants Net Asset Value at the beginning of each month and therefore, vary according to monthly
trading performance and redemptions. Other transaction fees consist of National Futures Association, exchange and clearing fees as well as floor brokerage costs and give-up charges, which are based on the number of trades the Trading Advisor
executes, as well as which exchange, clearing firm or bank on, or through, which the contract is traded. Commissions and other transaction fees during the First Quarter 2007 were approximately $249,000, a decrease of approximately $74,000 as
compared to First Quarter 2006 primarily due to a decline in the average net asset levels caused by redemptions and trading losses. Commissions and other transaction fees during the First Quarter 2006 were approximately $324,000, a decrease of
approximately $41,000 as compared to the First Quarter 2005 primarily due to a decline in the average net asset levels caused by redemptions and negative trading performance. Commissions and other transaction fees during the First Quarter 2005 were
approximately $365,000, a decrease of approximately $109,000 as compared to the First Quarter 2004 primarily due to a decline in the average net asset levels caused by negative trading performance and redemptions.

Management fees are calculated on the net asset value of Registrants investment in the Trading Vehicle at the end of each month, and therefore, are affected by
weekly trading performance and redemptions. Management fees were approximately $62,000 for the First Quarter 2007, a decrease of approximately $22,000 in First Quarter 2007 as compared to First Quarter 2006 primarily due to a decline in the average
net asset levels caused by redemptions and trading losses. Management fees were approximately



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$83,000 for the First Quarter 2006, a decrease of approximately $8,000 as compared to First Quarter 2005 primarily due to a decline in the average net asset
levels caused by redemptions and trading losses. Management fees were approximately $92,000 for the First Quarter 2005, a decrease of approximately $33,000 in First Quarter 2005 as compared to First Quarter 2004 primarily due to a decline in the
average net asset levels caused by redemptions and trading losses.

Incentive fees, which are based on the New High Net Trading Profits (as
defined in the Advisory Agreement) generated by the Trading Advisor, are accrued monthly and are ultimately determined as of the close of business on the last business day of each calendar quarter. No incentive fees were earned during First Quarter
2007, First Quarter 2006 or First Quarter 2005.

Inflation

Inflation has had no material impact on the operations or on the financial condition of Registrant from inception through March 31, 2007.

Off-Balance Sheet Arrangements and Contractual Obligations

As of March 31, 2007, Registrant had not utilized special purpose entities
to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification
provisions related to certain risks service providers, such as our accountants, undertake in performing services which are in the best interests of Registrant. While Registrants exposure under such indemnification provisions cannot be
estimated, these general business indemnifications are not expected to have a material impact on Registrants financial position.

Registrants
contractual obligations are with the Managing Owner and the Trading Vehicle and, as a result of its investment in the Trading Vehicle, with the Trading Advisor and the Trading Vehicles commodity broker. Management fees payable by Registrant to
the Trading Advisor and the Managing Owner are calculated as a fixed percentage of Registrants Net Asset Value. Incentive fees payable by the Trading Vehicle to the Trading Advisor are at a fixed rate, calculated as a percentage of the Trading
Vehicles New High Net Trading Profits. As such, the Managing Owner cannot anticipate the amounts to be paid for future periods as Net Asset Values and New High Net Trading Profits are not known until a future date.
Commissions payable to the Trading Vehicles commodity broker are based on a cost per executed trade and, as such, the Managing Owner cannot anticipate the amount that will be required under the brokerage agreement, as the level of executed
trades are not known until a future date. These agreements are effective for one-year terms, renewable automatically for additional one-year terms unless terminated. Additionally, these agreements may be terminated by either party thereto for
various reasons. For a further discussion of Registrants contractual obligations, see Notes 1, 3 and 4 to Registrants financial statements for the year ended December 31, 2006, which is filed as an exhibit to Registrants
annual report on Form 10K for the fiscal year ended December 31, 2006.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Information regarding quantitative and qualitative
disclosures about market risk is not required pursuant to Item 305(e) of Regulation S-K.

Item 4. Controls and Procedures

As of the end of the period covered by this Report, the Managing Owner carried out an
evaluation, under the supervision and with the participation of certain officers of the Managing Owner, including the Managing Owners Co-Chief Executive Officers and Director of Fund Administration (who, in these capacities, function as the
Co-Chief Executive Officers and Principal Financial/Accounting Officer, respectively, of Registrant), of the design and operation of Registrants disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the
Securities and Exchange Act of 1934, as amended (the Exchange Act)). Based upon that evaluation, the Managing Owners Co-Chief Executive Officers and Director of Fund Administration concluded that Registrants disclosure
controls and procedures are effective.



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In designing and evaluating Registrants disclosure controls and procedures (as defined in Rules 13a-15(e) or
15d-15(e) of the Exchange Act), the Managing Owner recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurances of achieving the desired control objectives, as Registrants are
designed to do, and the Managing Owner necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures. Registrant believes that its disclosure controls and procedures provide such
reasonable assurance.

There have not been any changes in Registrants internal controls over financial reporting (as defined in Rules 13a 
15(f) and 15d  15(f) under the Exchange Act) during the fiscal quarter to which this Report relates that have materially affected, or are reasonably likely to materially affect, Registrants internal controls over financial reporting.

PART II  OTHER INFORMATION

Item 1. Legal Proceedings

There are no legal proceedings pending by or against Registrant or the Managing Owner, or to
which Registrant or Managing Owner was a party during the period covered by this Report.

Item 1.A. Risk Factors

There have been no changes from risk factors as previously disclosed in Registrants Form
10-K for the fiscal year ended December 31, 2006.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

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



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Item 6. Exhibits:



|     |  |                                                                                                                                       
|---- |  | --------------------------------------------------------------------------------------------------------------------------------------
|31.1 |  | Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)                                                       
|     | 
|31.2 |  | Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)                                                       
|     | 
|32.1 |  | Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith)
|     | 
|32.2 |  | Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith)

[Remainder of page left blank intentionally.]



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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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:                         |  | Preferred Investment Solutions Corp., its managing
owner                                           |  |                   
|                            |  |                                                                                                   
|By:                         |  | /s/ Kenneth A. Shewer                                                                              |  | Date: May 14, 2007
|Name:                       |  | Kenneth A. Shewer                                                                                  |  |                   
|Title:                      |  | Co-Chief Executive Officer (Principal Executive
Officer)                                           |  |                   
|                            |  |                                                                                                   
|By:                         |  | /s/ David K. Spohr                                                                                 |  | Date: May 14, 2007
|Name:                       |  | David K. Spohr                                                                                     |  |                   
|Title:                      |  | Senior Vice President and Director of Fund Administration (Principal Financial/Accounting Officer) |  |