<Page>


                                                         2002
-------------------------------------------------------------------------------
Diversified Futures Trust I                              Annual
                                                         Report



<Page>

                          Letter to Limited Owners for
                          DIVERSIFIED FUTURES TRUST I




                                       1

<Page>

PricewaterhouseCoopers (LOGO)

                                           PricewaterhouseCoopers LLP
                                           1177 Avenue of the Americas
                                           New York, NY 10036
                                           Telephone (646) 471-4000
                                           Facsimile (646) 471-4100

                       Report of Independent Accountants

To the Managing Owner and
Limited Owners of
Diversified Futures Trust I

In our opinion, the accompanying statements of financial condition, including
the condensed schedules of investments, and the related statements of
operations, and changes in trust capital present fairly, in all material
respects, the financial position of Diversified Futures Trust I at December 31,
2002 and 2001, and the results of its operations and changes in trust capital
for each of the three years in the period ended December 31, 2002 in conformity
with accounting principles generally accepted in the United States of America.
These financial statements are the responsibility of the Managing Owner; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these statements in accordance with
auditing standards generally accepted in the United States of America which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by the Managing Owner, and evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

February 24, 2003

                                       2

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                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
                                                                               December 31,
                                                                      -------------------------------
                                                                          2002              2001
-----------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
ASSETS
Cash in commodity trading accounts                                     $22,203,195      $  23,096,296
Net unrealized gain (loss) on open futures contracts                     1,068,894           (80,717)
Net unrealized gain on open forward contracts                            1,238,514          1,281,566
                                                                      -------------     -------------
Net equity                                                              24,510,603         24,297,145
Other receivable                                                             2,594              4,852
                                                                      -------------     -------------
Total assets                                                           $24,513,197      $  24,301,997
                                                                      -------------     -------------
                                                                      -------------     -------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $   890,827      $     591,415
Management fees payable                                                     40,855             40,503
                                                                      -------------     -------------
Total liabilities                                                          931,682            631,918
                                                                      -------------     -------------
Commitments

Trust capital
Limited interests (104,401.272 and 128,587.499 interests
outstanding)                                                            23,345,604         23,433,353
General interests (1,055 and 1,299 interests outstanding)                  235,911            236,726
                                                                      -------------     -------------
Total trust capital                                                     23,581,515         23,670,079
                                                                      -------------     -------------
Total liabilities and trust capital                                    $24,513,197      $  24,301,997
                                                                      -------------     -------------
                                                                      -------------     -------------

Net asset value per limited and general interests ('Interests')        $    223.61      $      182.24
                                                                      -------------     -------------
                                                                      -------------     -------------
-----------------------------------------------------------------------------------------------------
<Caption>
             The accompanying notes are an integral part of these statements.
</Table>

                                       3

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       CONDENSED SCHEDULE OF INVESTMENTS
<Table>
<Caption>
                                                               Year Ended December 31,
                                         --------------------------------------------------------------------
                                                       2002                                2001
                                         --------------------------------    --------------------------------
                                         Net Unrealized                      Net Unrealized
                                          Gain (Loss)                         Gain (Loss)
                                           as a % of       Net Unrealized      as a % of       Net Unrealized
Futures and Forward Contracts            Trust Capital      Gain (Loss)      Trust Capital      Gain (Loss)
-------------------------------------------------------------------------------------------------------------
<S>                                      <C>               <C>               <C>               <C>               <C>
Futures contracts purchased:
  Interest rates                                             $  835,450                          $   20,022
  Stock Indices                                                 (80,419)                            (18,901)
  Commodities                                                   486,370                            (194,643)
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts purchased               5.26%          1,241,401           (0.82)%          (193,522)
                                                                                               --------------
Futures contracts sold:
  Interest rates                                               (245,735)                            241,725
  Stock indices                                                  39,154              --                  --
  Commodities                                                    34,074                            (128,920)
                                                           --------------                      --------------
     Net unrealized gain (loss) on
     futures contracts sold                   (0.73)           (172,507)           0.48             112,805
                                             ------        --------------        ------        --------------
Net unrealized gain (loss) on futures
  contracts                                    4.53%         $1,068,894           (0.34)%        $  (80,717)
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Forward contracts purchased:
  Net unrealized gain on forward
  contracts purchased                          7.71%         $1,818,506            0.01%         $    2,425
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Forward contracts sold:
  Japanese yen/U.S. dollar--crossrates        (1.78)%          (419,284)           6.01%          1,423,296
  Other                                       (0.68)           (160,708)          (0.61)%          (144,155)
                                             ------        --------------        ------        --------------
     Net unrealized gain (loss) on
     forward contracts sold                   (2.46)%          (579,992)           5.40%          1,279,141
                                             ------        --------------        ------        --------------
Net unrealized gain on forward
  contracts                                    5.25%         $1,238,514            5.41%         $1,281,566
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Futures Contracts
  British pound                                0.30%         $   70,162            0.10%         $   24,354
  Euro                                         1.36             321,999            1.23             291,620
  Japanese yen                                 0.97             229,438           (0.36)            (84,540)
  Canadian dollar                              0.03               8,042            0.11              26,431
  Australian dollar                            0.23              53,087            0.16              36,474
  U.S. dollar                                  1.64             386,166           (1.58)           (375,056)
                                             ------        --------------        ------        --------------
     Total                                     4.53%          1,068,894           (0.34)%        $  (80,717)
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
Settlement Currency--Forward Contracts
     U.S. dollar                               5.25%         $1,238,514            5.41%         $1,281,566
                                             ------        --------------        ------        --------------
                                             ------        --------------        ------        --------------
<Caption>
-------------------------------------------------------------------------------------------------------------
            The accompanying notes are an integral part of these statements.
</Table>

                                       4

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
<Table>
<Caption>
                                                                   Year Ended December 31,
                                                           ----------------------------------------
                                                              2002          2001           2000
---------------------------------------------------------------------------------------------------
<S>                                                        <C>           <C>            <C>
REVENUES
Net realized gain (loss) on commodity transactions         $6,729,323    $ 4,895,823    $(1,013,488)
Change in net unrealized gain/loss on open commodity
  positions                                                 1,106,559     (4,344,337)     4,077,833
Interest income                                               475,355      1,108,696      1,954,128
                                                           ----------    -----------    -----------
                                                            8,311,237      1,660,182      5,018,473
                                                           ----------    -----------    -----------
EXPENSES
Commissions                                                 1,844,194      2,101,789      2,440,604
Management fees                                               488,417        541,645      1,128,866
Incentive fees                                              1,069,763             --             --
                                                           ----------    -----------    -----------
                                                            3,402,374      2,643,434      3,569,470
                                                           ----------    -----------    -----------
Net income (loss)                                          $4,908,863    $  (983,252)   $ 1,449,003
                                                           ----------    -----------    -----------
                                                           ----------    -----------    -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                                          $4,859,737    $  (973,419)   $ 1,434,508
                                                           ----------    -----------    -----------
                                                           ----------    -----------    -----------
General interests                                          $   49,126    $    (9,833)   $    14,495
                                                           ----------    -----------    -----------
                                                           ----------    -----------    -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND
GENERAL INTEREST
Net income (loss) per weighted average limited and
  general interest                                         $    41.42    $     (6.92)   $      7.27
                                                           ----------    -----------    -----------
                                                           ----------    -----------    -----------
Weighted average number of limited and general interests
  outstanding                                                 118,525        142,013        199,216
                                                           ----------    -----------    -----------
                                                           ----------    -----------    -----------

<Caption>
---------------------------------------------------------------------------------------------------
</Table>

                     STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
                                                              LIMITED        GENERAL
                                             INTERESTS       INTERESTS      INTERESTS        TOTAL
-----------------------------------------------------------------------------------------------------
<S>                                         <C>             <C>             <C>           <C>
Trust capital--December 31, 1999            233,362.868     $40,158,237     $405,705      $40,563,942
Net income                                                    1,434,508       14,495        1,449,003
Redemptions                                 (80,203.834)    (12,636,745)    (127,636 )    (12,764,381)
                                            -----------     -----------     ---------     -----------
Trust capital--December 31, 2000            153,159.034      28,956,000      292,564       29,248,564
Net loss                                                       (973,419)      (9,833 )       (983,252)
Redemptions                                 (23,272.535)     (4,549,228)     (46,005 )     (4,595,233)
                                            -----------     -----------     ---------     -----------
Trust capital--December 31, 2001            129,886.499      23,433,353      236,726       23,670,079
Net income                                                    4,859,737       49,126        4,908,863
Redemptions                                 (24,430.227)     (4,947,486)     (49,941 )     (4,997,427)
                                            -----------     -----------     ---------     -----------
Trust capital--December 31, 2002            105,456.272     $23,345,604     $235,911      $23,581,515
                                            -----------     -----------     ---------     -----------
                                            -----------     -----------     ---------     -----------

<Caption>
-----------------------------------------------------------------------------------------------------
          The accompanying notes are an integral part of these statements.
</Table>

                                       5

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                         NOTES TO FINANCIAL STATEMENTS

A. General

   Diversified Futures Trust I (the 'Trust') was organized under the Delaware
Statutory Trust Act on May 18, 1994 and will continue until December 31, 2014
unless terminated sooner under the provisions of the 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. The managing owner
of the Trust is Prudential Securities Futures Management Inc. (the 'Managing
Owner'), a wholly owned subsidiary of Prudential Securities Incorporated
('PSI'), which, in turn, is an indirect wholly owned subsidiary of Prudential
Financial, Inc. ('Prudential'). PSI was the principal underwriter for the Trust
and is its commodity broker ('Commodity Broker'). 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.

   In February 2003, Prudential and Wachovia Corp. ('Wachovia') announced an
agreement to combine each company's respective retail securities brokerage and
clearing operations within a new firm, which will be headquartered in Richmond,
Virginia. Under the agreement, Prudential will have a 38% ownership interest in
the new firm and Wachovia will own 62%. The transaction, which includes the
securities brokerage, securities clearing, and debt capital markets operations
of PSI, but does not include the equity sales, trading and research operations
or commodity brokerage and derivative operations of PSI, is anticipated to close
in the third quarter of 2003. The Managing Owner, as well as the Commodity
Broker, will continue to be indirect wholly owned subsidiaries of Prudential.

   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 Trading Managers

   Since inception through January 21, 2003, all trading decisions were made for
the Trust by John W. Henry & Company, Inc. (the 'Initial Trading Manager'), an
independent commodity trading manager. The Initial Trading Manager traded the
Trust's assets pursuant to four of its trading programs: the Financial and
Metals Portfolio; the Global Financial Portfolio; the Original Investment
Program; and the G-7 Currency Portfolio. The Managing Owner decided to pursue a
diversified multi-manager approach for the Trust. To implement the change from a
single to multi-manager strategy, the Trust's advisory agreement with the
Initial Trading Manager was terminated effective January 21, 2003. Three new
trading managers and programs have been selected by the Managing Owner to manage
the Trust's assets as further discussed in Note H. The Managing Owner retains
the authority to override trading instructions that violate the Trust's trading
policies.

B. Summary of Significant Accounting Policies

Basis of accounting

   The financial statements of the Trust are prepared in accordance with
accounting principles generally accepted in the United States of America.

   Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value is reflected as net unrealized gain or
loss. The market value of each contract is based upon the closing quotation on
the exchange, clearing firm or bank on, or through, which the contract is
traded. Net unrealized gain or loss on open contracts denominated in foreign
currencies and foreign currency holdings are translated into U.S. dollars at the
exchange rates prevailing on the last business day of the year. Realized gains
and losses on commodity transactions are recognized in the period in which the
contracts are closed.

                                       6

<Page>

   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 year 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 Accounting Standards No. 102, 'Statement of Cash
Flows--Exemption of Certain Enterprises and Classification of Cash Flows from
Certain Securities Acquired for Resale.'

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.

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 based 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. No distributions have been
made since inception.

   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.

New accounting guidance

   In November 2002, the Financial Accounting Standards Board issued
Interpretation No. 45 ('FIN 45'), Guarantor's Accounting and Disclosure
Requirements for Guarantees, Including Indirect Guarantees of Indebtedness of
Others, which the Trust adopted at December 31, 2002. FIN 45 elaborates on the
disclosures to be made by a guarantor in its financial statements about its
obligations under certain guarantees that it has issued. Consistent with
standard business practices in the normal course of business, the Trust has
provided general indemnifications to the Managing Owner, its trading managers
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.

C. Fees

Organizational and general and administrative costs

   PSI or its affiliates paid the costs of organizing the Trust and offering its
Interests and pay the routine operational, administrative, legal and auditing
expenses of the Trust.

Management and incentive fees

   The Trust pays the Initial Trading Manager a monthly management fee and
quarterly incentive fee. Effective on October 1, 2000, the Advisory Agreement
among the Trust, the Managing Owner and the Initial Trading Manager was amended
(the 'Amended Advisory Agreement'). The Amended Advisory Agreement reduced the
monthly management fee paid to the Initial Trading Manager from 1/3 of 1% (a 4%
annual rate) of the Trust's NAV as of the end of each month to 1/6 of 1% (a 2%
annual rate). Additionally, if the Initial Trading Manager achieves 'New High
Net Trading Profits' (as defined in the Amended Advisory Agreement), the Initial
Trading Manager will earn a 20% incentive fee as compared to a 15% incentive fee
previously paid. The Managing Owner terminated the Trust's Amended Advisory
Agreement with the Initial Trading Manager, effective January 21, 2003. See Note
A and H for a further discussion concerning a change in trading managers.

                                       7

<Page>

Commissions

   The Managing Owner, on behalf of the Trust, entered into an agreement with
PSI as commodity broker whereby the Trust pays a fixed monthly fee for brokerage
services rendered. The monthly fee equals .64583 of 1% (7.75% per annum) of the
Trust's NAV as of the first day of each month. From this fee, PSI pays all of
the Trust's execution (including floor brokerage expenses and NFA, clearing and
exchange fees) and account maintenance costs.

D. Related Parties

   The Managing Owner and its affiliates perform services for the Trust which
include, but are not limited to: brokerage services; accounting and financial
management; registrar, transfer and assignment functions; investor
communications; printing and other administrative services. Except for costs
related to brokerage services, PSI or its affiliates pay 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 years ended
December 31, 2002, 2001 and 2000 were $1,844,194, $2,101,789 and $2,440,604,
respectively.

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

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

   As of December 31, 2002, a non-U.S. affiliate of the Managing Owner owned 80
Limited Interests of the Trust.

E. Income Taxes

   There have been no differences between the tax basis and book basis of
Interest holders' capital since inception of the Trust.

F. Derivative Instruments and Associated Risks

   The Trust is exposed to various types of risks associated with the derivative
instruments and related markets in which it invests. These risks include, but
are not limited to, risk of loss from fluctuations in the value of derivative
instruments held (market risk) and the inability of counterparties to perform
under the terms of the Trust's investment activities (credit risk).

Market Risk

   Trading in futures and forward contracts (including foreign exchange)
involves entering into contractual commitments to purchase or sell a particular
commodity at a specified date and price. The gross or face amount of the
contracts, which is typically many times that of the Trust's net assets being
traded, significantly exceeds the Trust's future cash requirements since the
Trust intends to close out its open positions prior to settlement. As a result,
the Trust is generally subject only to the risk of loss arising from the change
in the value of the contracts. As such, the Trust considers the 'fair value' of
its derivative instruments to be the net unrealized gain or loss on the
contracts. The market risk associated with the Trust's commitments to purchase
commodities is limited to the gross or face amount of the contracts held.
However, when the Trust enters into a contractual commitment to sell
commodities, it must make delivery of the underlying commodity at the contract
price and then repurchase the contract at prevailing market prices or settle in
cash. Since the repurchase price to which a commodity can rise is unlimited,
entering into commitments to sell commodities exposes the Trust to unlimited
risk.

   Market risk is influenced by a wide variety of factors, including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the

                                       8

<Page>

diversification effects among the derivative instruments the Trust holds and the
liquidity and inherent volatility of the markets in which the Trust trades.

Credit Risk

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

   The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust and its trading manager to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies, which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for any one commodity or all commodities
combined; and generally limiting transactions to contracts which are traded in
sufficient volume to permit the taking and liquidating of positions.
Additionally, pursuant to the Advisory Agreement among the Trust, the Managing
Owner and the trading manager, the Trust shall automatically terminate the
trading manager if the net asset value allocated to the trading manager declines
by 33 1/3% from the value at the beginning of any year or since the commencement
of trading activities. Furthermore, the Amended and Restated Declaration of
Trust and Trust Agreement provides that the Trust will liquidate its positions,
and eventually dissolve, if the Trust experiences a decline in the net asset
value of 50% from the value at the beginning of any year or since the
commencement of trading activities. In each case, the decline in net asset value
is after giving effect for distributions and redemptions. The Managing Owner may
impose additional restrictions (through modifications of trading limitations and
policies) upon the trading activities of the trading manager as it, in good
faith, deems to be in the best interests of the Trust.

   PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to the Trust all assets of the Trust relating to
domestic futures trading and is not to commingle such assets with other assets
of PSI. At December 31, 2002, such segregated assets totalled $7,240,423. Part
30.7 of the CFTC regulations also requires PSI to secure assets of the Trust
related to foreign futures trading which totalled $16,031,666 at December 31,
2002. There are no segregation requirements for assets related to forward
trading.

   As of December 31, 2002, all of the Trust's open futures and forward
contracts mature within one year.

                                       9

<Page>

G. Financial Highlights

<Table>
<Caption>
                                                                  Year Ended December 31,
                                                           --------------------------------------
                                                                 2002                 2001
                                                           -----------------    -----------------
<S>                                                        <C>                  <C>
Performance per Interest
  Net asset value, beginning of period                          $182.24              $190.97
                                                           -----------------    -----------------
  Net realized gain and change in net unrealized
     gain/loss on commodity transactions                          66.56                 2.17
  Interest income                                                  4.03                 7.70
  Expenses                                                       (29.22)              (18.60)
                                                           -----------------    -----------------
  Net increase (decrease) for the period                          41.37                (8.73)
                                                           -----------------    -----------------
  Net asset value, end of period                                $223.61              $182.24
                                                           -----------------    -----------------
                                                           -----------------    -----------------
Total return                                                      22.70%               (4.57)%
Ratio to average net assets
  Interest income                                                  1.99%                4.12%
  Expenses, including 4.47% of incentive fees for 2002            14.22%                9.82%
</Table>

      These financial highlights represent the overall results of the Trust
during the years ended December 31, 2002 and 2001. An individual interest
owner's actual results may differ depending on the timing of redemptions.

H. Subsequent Event

   The Managing Owner decided to pursue a diversified multi-manager approach for
the Trust. To implement the change from a single to a multi-manager strategy,
the Trust's advisory agreement with the Initial Trading Manager was terminated
effective January 21, 2003. Three new trading managers and programs have been
selected to manage the Trust's assets. On February 3, 2003, the Managing Owner
and the Trust entered into an advisory agreement with Appleton Capital
Management Ltd. ('Appleton') to manage approximately 20% of the Trust's assets
pursuant to Appleton's 25% Risk Program. On February 7, 2003, the Managing Owner
and the Trust entered into on advisory agreement with Graham Capital Management,
L.P. ('Graham') to manage approximately 40% of the Trust's assets utilizing
Graham's Global Diversified Program at 1.5x leverage. Lastly, on February 14,
2003 the Managing Owner and the Trust entered into an advisory agreement with
Aspect Capital Limited ('Aspect') to manage on behalf of the Trust approximately
40% of the Trust's assets employing Aspect's Diversified Program. From January
21, 2003 until each trading manager began trading, all unallocated assets were
invested in interest-bearing accounts. Pursuant to the advisory agreements, each
of the trading managers (Appleton, Graham and Aspect) are to be paid a monthly
management fee equal to 1/6 of 1% (approximately 2% annually) and an incentive
fee of 20% of the 'New High Net Trading Profits' on the portion of Trust assets
allocated to each, which are the same rates that were paid to the Initial
Trading Manager. The Trust did not incur commissions and management fees on the
portion of assets unallocated to trading (i.e. the portion of assets previously
managed by the Initial Trading Manager) until such time as Appleton, Graham and
Aspect began trading. The advisory agreements may be terminated for a variety of
reasons, including at the discretion of the Managing Owner.

                                       10

<Page>

--------------------------------------------------------------------------------

      I hereby affirm that, to the best of my knowledge and belief, the
information contained herein relating to Diversified Futures Trust I is accurate
and complete.

     PRUDENTIAL SECURITIES
     FUTURES MANAGEMENT INC.
     (Managing Owner)

     /s/ Steven Weinreb
     By: Steven Weinreb
     Chief Financial Officer
--------------------------------------------------------------------------------

                                       11

<Page>

                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
               MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
                      CONDITION AND RESULTS OF OPERATIONS

Liquidity and Capital Resources

   The Trust commenced operations on January 5, 1995 with gross proceeds of
$25,262,800 allocated to commodities trading. The Trust continued to offer
Interests on a monthly basis until the continuous offering period ended on
August 31, 1996, resulting in additional gross proceeds to the Trust of
$41,129,100.

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last business day of any calendar quarter at the then current NAV per
Interest. Redemptions of Limited Interests for the years ended December 31,
2002, 2001 and 2000 were $4,947,486, $4,549,228 and $12,636,745, respectively.
Redemptions of General Interests for the years ended December 31, 2002, 2001 and
2000 were $49,941, $46,005 and $127,636, respectively. Redemptions of Limited
and General Interests from the commencement of operations, January 5, 1995, to
December 31, 2002 totalled $75,960,890 and $637,373, respectively. Future
redemptions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.

   At December 31, 2002, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
100% of the interest it earns on the average net assets in these accounts.

   The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as 'daily limits.' During
a single day, no trades may be executed at prices beyond the daily limit. Once
the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Trust from promptly liquidating its commodity
futures positions.

   Since the Trust's business is to trade futures and forward contracts, its
capital is at risk due to changes in the value of these contracts (market risk)
or the inability of counterparties to perform under the terms of the contracts
(credit risk). The Trust's exposure to market risk is influenced by a number of
factors including the volatility of interest rates and foreign currency exchange
rates, the liquidity of the markets in which the contracts are traded and the
relationships among the contracts held. The inherent uncertainty of the Trust's
speculative trading as well as the development of drastic market occurrences
could result in monthly losses considerably beyond the Trust's experience to
date and could ultimately lead to a loss of all or substantially all of
investors' capital. The Managing Owner attempts to minimize these risks by
requiring the Trust and its Trading Manager to abide by various trading
limitations and policies which include limiting margin amounts, trading only in
liquid markets and permitting the use of stop loss provisions. See Note F to the
financial statements for a further discussion on the credit and market risks
associated with the Trust's futures and forward contracts.

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

Results of Operations

   The net asset value per Interest as of December 31, 2002 was $223.61 an
increase of 22.70% from the December 31, 2001 net asset value per Interest of
$182.24, which was a decrease of 4.57% from the December 31, 2000 net asset
value per Interest of $190.97. The CISDM Fund/Pool Qualified Universe Index
(formerly known as the Zurich Fund/Pool Qualified Universe Index) returned
11.99% and 7.52% for the years ended December 31, 2002 and 2001, respectively.
The CISDM Fund/Pool Qualified Universe Index is the dollar weighted, total
return of all commodity pools tracked by Managed Account Reports, LLC. Past
performance is not necessarily indicative of future results.

                                       12

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   The Trust's trading gains before commissions for the years ended December 31,
2002, 2001 and 2000, were $7,836,000, $551,000 and $3,064,000, respectively. Due
to the nature of the Trust's trading activities, a period to period comparison
of its trading results is not meaningful. However, a detailed discussion of the
trading results for the year ended December 31, 2002 is presented below.

   Net losses for the Trust were experienced in the metals and softs sector.
Profits were the result of gains in the currency, interest rate, index, energy
and grain sectors.

   Gold and other precious metals soared throughout most of the first half of
the year in response to weaknesses in the U.S. dollar and global equity markets
and instability in the Middle East. Base metals also began the year on a rise as
global economic activity showed signs of recovery. Gold prices reversed at
second quarter-end as a result of profit taking by traders and the sentiment
that U.S. and Japanese central banks would support the U.S. dollar. Gold ended
the year above $300 an ounce. Base metal prices fell in the second half of the
year due to weak economies and decreased industrial production. Gains earned by
long gold positions in the first and fourth quarters of the year were not
sufficient to offset losses incurred during the rest of the year resulting in
net losses for the Trust.

   Long positions in sugar resulted in losses in the first half of the year as
prices fell on news that the Brazilian sugar crop would be larger than expected.
Decreased Vietnamese exports and increased demand in the second quarter and the
threat of frosts in Brazil in the third quarter resulted in losses for short
coffee positions. Towards the end of the year, short sugar positions benefited
as prices fell due to plentiful supplies and high expectations for a large crop.
The gains were insufficient to offset losses resulting in a net loss for the
Trust.

   In foreign exchange markets, the U.S. dollar began the year strong against
most major foreign currencies as the U.S. economy exhibited signs of recovery.
The trend reversed in the second quarter as weak U.S. economic growth in
relation to other economies and concerns regarding accounting irregularities in
major U.S. corporations drove the dollar downward. Most European currencies and
the euro were weak early in the year but rallied in March amid hopes of an
economic recovery. In the third quarter, the euro surpassed parity with the U.S.
dollar as investors1 desire for U.S. assets decreased, but ended the quarter
lower. The British pound rose against the U.S. dollar early in the year amid
perceived strength in the British economy and gained as a result of positive
economic data. Towards the end of the year, the U.S. dollar began the fourth
quarter up amid evidence of a firming U.S. economy, but traded lower against
many major foreign currencies in December. The market reacted to the sluggish
U.S. economy, weaker foreign demand for the U.S. dollar and expectations of war
with Iraq. Long euro/U.S. dollar, Swiss franc/U.S. dollar and Australian
dollar/U.S. dollar cross-rate positions in the second and fourth quarters
resulted in net gains for the Trust.

   Global bond markets trended lower through most of the first quarter amid
growing prospects for imminent interest rate hikes by central banks. In the
U.S., interest rates rose towards the end of the first quarter in response to
stronger than expected economic data and indications that the Federal Reserve
(the 'Fed') would lean towards increasing rates in the near future. The Fed kept
rates unchanged at 1.75% throughout the first three quarters of the year. Other
central banks, including the European Central Bank and the Bank of Japan,
generally followed the lead of the Fed leaving rates unchanged and foreign bond
markets rose as well. In the second half of the year, the Japanese bond market
was particularly strong as the Japanese economy continued to struggle with
recession and investors fled to bonds for safety. Global bond prices in the
fourth quarter were slightly weaker as interest rates rose in response to the
stock market rally and optimism on economic prospects. This trend reversed when
the Fed cut interest rates by 50 basis points to 1.25%, a new 40-year low, at
its first quarterly meeting in November. This was the first rate cut of 2002,
following 11 cuts in 2001. The Fed also switched its economic outlook for the
near future from a bias toward 'economic weakness' to 'balanced'. U.S., Japanese
and European bond markets ended the year strong resulting in net gains for long
European and U.S. Treasury bond positions.

   Equity indexes began the year choppily due to a continuing weak economy and
concerns about balance sheet reporting and accounting irregularities. Positive
data and hopes of an economic recovery boosted stock markets towards the middle
of the first quarter. However, as investor confidence collapsed in response to
concerns about accounting transparency at some firms, heightened tension in the
Middle East, and decreased corporate sales and profits, global equity markets
moved sharply lower throughout the second quarter. This resulted in investors
re-evaluating their outlook for a near-term economic recovery. Equity markets
rallied in mid October, triggered by a surge of global economic optimism, but
fell once again towards the end of the year providing a negative return for the
third consecutive year. Overall, equity

                                       13

<Page>

markets around the world showed poor performance for 2002. In the U.S., the Dow
Jones Industrial Average was down 16.76% for the year while the S&P 500 was down
23.37%. The London FTSE returned a negative 24.48% and the Hong Kong Hang Seng
Index ended the year down 18.21%. Overall, short positions in the NASDAQ, London
FTSE and Nikkei Dow resulted in net gains for the Trust.

   Energy markets were volatile at the beginning of the year, but rose toward
the first quarter-end as the escalating conflict in the Middle East prompted
fears of an interruption in supplies. This, together with hopes for increased
U.S. energy demand due to a recovering economy, reinforced the normal seasonal
upward pressure on energy prices. Energy prices declined in the second quarter
amid increased U.S. stock suggesting ample supply for the summer season and
anticipation that Russia would discontinue output restrictions. Through the end
of the year, energy markets climbed as fears of impending war with Iraq and the
Venezuelan oil strike pushed crude oil prices up significantly. Crude oil rose
from the low $20's per barrel earlier in the year to approximately $30 a barrel
at year-end. Net gains for the Trust resulted from long natural gas and crude
oil positions.

   Drought in the mid-western U.S. during the second half of the year drove
price increases in corn, wheat and soybean markets. Long positions in corn and
wheat resulted in gains for the Trust.

   Interest income is earned on the average net assets held at PSI and,
therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased $633,000 for the year ended December 31,
2002 compared to 2001. This decrease was primarily due to lower interest rates
during 2002 compared to 2001, in addition to lower net assets in the Trust
during 2002 versus 2001 as a result of redemptions. Interest income decreased
$845,000 for the year ended December 31, 2001 compared to 2000. This decrease
was primarily due to lower net assets during 2001 as a result of redemptions and
weak trading performance. Additionally, interest rates were lower during 2001
versus 2000.

   Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance and
redemptions. Commissions decreased $258,000 for the year ended December 31, 2002
compared to 2001 and $339,000 for the year ended December 31, 2001 compared to
2000 primarily due to lower net asset values in the Trust during the respective
periods as described in the discussion on interest income above.

   All trading decisions for the Trust were made by the Initial Trading Manager.
Management fees are calculated on the Trust's net asset value at the end of each
month and, therefore, are affected by trading performance and redemptions.
Additionally, effective on October 1, 2000, The advisory agreement among the
Trust, the Managing Owner and the Initial Trading Manager was amended. The
Amended Advisory Agreement reduced the monthly management fee paid to the
Initial Trading Manager from 1/3 of 1% (a 4% annual rate) of the Trust's net
asset value to 1/6 of 1% (a 2% annual rate). Additionally, if the Initial
Trading Manager achieves a new trading high as defined in the Amended Advisory
Agreement, then the Initial Trading Manager will earn a 20% incentive fee as
compared to a 15% incentive fee previously paid. Management fees decreased
$53,000 and $587,000 for the years ended December 31, 2002 and 2001 compared to
the corresponding periods in the prior years for the same reasons commissions
decreased as discussed above in addition to the reduced monthly management fee
paid to the Initial Trading Manager effective October 1, 2000. Effective January
21, 2003 the Managing Owner and the Trust terminated the Amended Advisory
Agreement with the Initial Trading Manager as further discussed in Note H of the
annual report.

   Incentive fees were based on the New High Net Trading Profits generated by
the Initial Trading Manager, as defined in the Amended Advisory Agreement among
the Trust, the Managing Owner and the Initial Trading Manager. Incentive fees of
$1,070,000 were incurred for the year ended December 31, 2002 as a result of
strong trading performance during the second and third quarters. No incentive
fees were incurred during the years ended December 31, 2001 and 2000.

Inflation

   Inflation has had no material impact on operations or on the financial
condition of the Trust from inception through December 31, 2002.

                                       14

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                               OTHER INFORMATION

   The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 2002 was $99.

   The Trust's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited owners without charge upon written
request to:

        Diversified Futures Trust I/0TH
        Peck Slip Station
        P.O. Box 2303
        New York, New York 10273-0005

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<Page>

0TH
Peck Slip Station                             PRESORTED
P.O. Box 2303                                  STANDARD
New York, NY 10273-0005                      U.S. POSTAGE
                                                PAID
                                           Automatic Mail


DFT1/17152