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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549



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FORM 10-K



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(Mark One)

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

For the fiscal year ended December 31, 2006

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)

Registrants telephone number, including area code: (914) 307-7000



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Securities registered pursuant
to Section 12(b) of the Act:

None

Securities registered pursuant to Section 12(g) of the Act:

Limited Interests

(Title of class)



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Indicate by check mark if the Registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities
Act.    Yes ̈No  x

Indicate by check mark if the Registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the
Act.    Yes ̈No  x

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 ̈No  x

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained,
to the best of Registrants knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K ̈

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 (as defined in Rule 12b-2 of the Exchange
Act).    Yes ̈No  x

DOCUMENTS INCORPORATED BY REFERENCE

Registrants Annual Report to Unitholders for the year ended December 31, 2006 is incorporated by reference into Parts II and IV of this Annual Report on Form 10-K



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DIVERSIFIED FUTURES TRUST I

(a Delaware Business Trust)



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TABLE OF CONTENTS



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|           |  |                                                                                                                  |  |   
|---------- |  | ---------------------------------------------------------------------------------------------------------------- |  | --
|           |  | PAGE                                                                                                            
|PART I     |  |                                                                                                                 
|           |  |                                                                                                                 
|Item 1.    |  | Business                                                                                                         |  | 3 
|Item 1A.   |  | Risk Factors                                                                                                     |  | 4 
|Item 1B.   |  | Unresolved Staff Comments                                                                                        |  | 8 
|Item 2.    |  | Properties                                                                                                       |  | 8 
|Item 3.    |  | Legal Proceedings                                                                                                |  | 8 
|Item 4.    |  | Submission of Matters to a Vote of Security Holders                                                              |  | 8 
|           | 
|PART II    |  |                                                                                                                 
|           |  |                                                                                                                 
|Item 5.    |  | Market for the Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities |  | 8 
|Item 6.    |  | Selected Financial Data                                                                                          |  | 8 
|Item 7.    |  | Managements Discussion and Analysis of Financial Condition and Results of Operation                             |  | 9 
|Item 7A.   |  | Quantitative and Qualitative Disclosures About Market Risk                                                       |  | 13
|Item 8.    |  | Financial Statements and Supplementary Data                                                                      |  | 13
|Item 9.    |  | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure                             |  | 14
|Item 9A.   |  | Controls and Procedures                                                                                          |  | 14
|Item 9B.   |  | Other Information                                                                                                |  | 14
|           | 
|PART III   |  |                                                                                                                 
|           |  |                                                                                                                 
|Item 10.   |  | Directors, Executive Officers and Corporate Governance                                                           |  | 14
|Item 11.   |  | Executive Compensation                                                                                           |  | 17
|Item 12.   |  | Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters                   |  | 17
|Item 13.   |  | Certain Relationships and Related Transactions, and Director Independence                                        |  | 17
|Item 14.   |  | Principal Accounting Fees and Services                                                                           |  | 17
|           | 
|PART IV    |  |                                                                                                                 
|           |  |                                                                                                                 
|Item 15.   |  | Exhibits, Financial Statement Schedules                                                                          |  | 19
|           |  | Financial Statements and Financial Statement Schedules                                                           |  | 19
|           |  | Exhibits                                                                                                         |  | 19
|           | 
|SIGNATURES |  |                                                                                                                 



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PART I



|Item 1. | Business
|------- | --------

General

Diversified Futures Trust I ( Registrant or the Trust), 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). The
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.

On January 5, 1995, the Registrant 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) and, together with the Limited Units, (collectively, the Interests or the Units) and commenced
operations. Following the close of the initial offering period, additional Interests were offered and sold monthly at their month-end net asset value per Interest during a continuous offering period (Continuous Offering Period),
which expired on August 31, 1996. Additional contributions raised during the Continuous Offering Period resulted in additional proceeds to the Registrant 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 Registrant is engaged solely in the business of commodity futures and forward trading;
therefore, presentation of industry segment information is not applicable.

Managing Owner and its Affiliates

Preferred Investment Solutions Corp. (Preferred or the Managing Owner) has been the managing owner of the Trust since
October 1, 2004. Prior to that date, Prudential Securities Futures Management Inc. served as managing owner of the Trust. 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 the Registrant so long as it is
acting as the Registrants Managing Owner.

The Trading Advisors

Since inception through January 21, 2003, trading decisions for the Registrant were made by John W. Henry & Company, Inc. (the Initial Trading Advisor), an independent commodity
trading advisor which managed 100% of the Registrants assets pursuant to four trading programs developed by the Initial Trading Advisor. The Managing Owner, decided to pursue a diversified multi-manager approach for the Registrant. To
implement the change from a single-to a multi-manager strategy, the Registrants advisory agreement with the Initial Trading Advisor was terminated effective January 21, 2003. Three new Trading Advisors and programs have been selected to
manage the Registrants assets. 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 the Registrants assets. On February 7, 2003 the Managing Owner and the Registrant entered into an advisory agreement (the Graham Advisory Agreement) with
Graham Capital Management, L.P. (Graham) to manage approximately 40% of the Registrants assets. Lastly, on February 14, 2003, the Managing Owner and the Registrant entered into an advisory agreement (the Aspect
Advisory Agreement) with Aspect Capital Limited (Aspect) to manage approximately 40% of the Registrants assets. The Managing Owner retains the authority to override trading instructions that violate the
Registrants trading policies.

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 the Registrant.

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

Employees

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



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Available information

The Trust files quarterly, annual and current reports with the Securities and Exchange Commission (SEC). These reports are available to read and copy at the SECs Public Reference Facilities in Washington, D.C. at 459
Fifth Street, N.W., Washington, D.C. 20549. Please call the SECs toll free number, 1-800-SEC-0330, for further information. The Trust does not maintain a website where these reports are posted. However, the Trusts filings are posted on
the SECs website at htttp://www.sec.gov.



|Item 1A. | Risk Factors
|-------- | ------------

THE RISKS YOU FACE

You Should Not Rely on Past Performance in Deciding Whether to Buy Interests

Each Trading Advisor selected by the Managing Owner to manage the assets of the Trust has a performance history through the date of its selection by the Managing Owner. You must consider, however, the uncertain significance of past
performance, and you should not rely on the Trading Advisors or the Managing Owners records to date for predictive purposes. You should not assume that any Trading Advisors future trading decisions will create profit, avoid
substantial losses or result in performance for the Trust that is comparable to that Trading Advisors or to the Managing Owners past performance. In fact, as a significant amount of academic study has shown, futures funds more frequently
than not underperform the past performance records included in their prospectuses.

Price Volatility May Possibly Cause the Total Loss of Your
Investment

Futures and forward contracts have a high degree of price variability and are subject to occasional rapid and substantial changes.
Consequently, you could lose all or substantially all of your investment in the Trust.

Speculative and Volatile Markets Combined With Highly Leveraged
Trading May Cause the Trust to Incur Substantial Losses.

The markets in which the Trust trades are speculative, highly leveraged and involve a
high degree of risk. Each Trading Advisors trading considered individually involves a significant risk of incurring large losses, and there can be no assurance that the Trust will not incur such losses. Futures and forward prices are volatile.
Volatility increases risk, particularly when trading with leverage. Trading on a highly leveraged basis, as does the Trust, even in stable markets involves risk; doing so in volatile markets necessarily involves a substantial risk of sudden,
significant losses. Due to such leverage, even a small movement in price could cause large losses for the Trust. Market volatility will increase the potential for large losses. Market volatility and leverage mean that the Trust could incur
substantial losses, potentially impairing its equity base and ability to achieve its long-term profit objectives even if favorable market conditions subsequently develop.

Fees and Commissions are Charged Regardless of Profitability and May Result in Depletion of Trust Assets

The Trust
is subject to the fees and expenses which are payable irrespective of profitability in addition to performance fees which, are payable based on the profitability of the Trust, and, as a multi-advisor fund, upon each Trading Advisors
performance. Consequently, the expenses of the Trust could, over time, result in significant losses to your investment therein.

Market Conditions May
Impair Profitability

The trading systems used by certain Trading Advisors are technical, trend-following methods. The profitability of trading under
these systems depends on, among other things, the occurrence of significant price trends, which are sustained movements, up or down, in futures and forward prices. Such trends may not develop; there have been periods in the past without price
trends. The likelihood of Interests being profitable could be materially diminished during periods when events external to the markets themselves have an important impact on prices. During such periods, the Trading Advisors historic price
analysis could establish positions on the wrong side of the price movements caused by such events.

Discretionary Trading Strategies May Incur
Substantial Losses

Discretionary traders, while they may utilize market charts, computer programs and compilations of quantifiable fundamental
information to assist them in making trading decisions, make such decisions on the basis of their own judgment and trading instinct, not on the basis of trading signals generated by any program or model. Such traders may be more prone to
subjective judgments, which may have greater potentially adverse effects on their performance than systematic traders, which emphasize eliminating the effects of emotionalism on their trading. Reliance on trading judgment may, over time,
produce less consistent trading results than implementing a systematic approach. Discretionary traders, like trend-following traders, are unlikely to be profitable unless major price movements occur. Discretionary traders are highly unpredictable,
and can incur substantial losses even in apparently favorable markets.

Systematic Trading Strategies May Incur Substantial Losses

A systematic trader will generally rely to some degree on judgmental decisions concerning, for example, what markets to follow and commodities to trade, when to liquidate
a position in a contract which is about to expire and how large a position to



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take in a particular commodity. Although these judgmental decisions may have a substantial effect on a systematic traders performance, such
traders primary reliance is on trading programs or models that generate trading signals. The systems utilized to generate trading signals are changed from time to time (although generally infrequently), but the trading instructions generated
by the systems being used are followed without significant additional analysis or interpretation. Therefore, systematic trading may incur substantial losses by failing to capitalize on market trends that their systems would otherwise have exploited
by applying their generally mechanical trading systems by judgmental decisions of employees. Furthermore, any trading system or trader may suffer substantial losses by misjudging the market. Systematic traders tend to rely on computerized programs,
and some consider the prospect of disciplined trading, which largely removes the emotion of the individual trader from the trading process, advantageous. Due to their reliance upon computers, systematic traders are generally able to incorporate a
significant amount of data into a particular trading decision. However, when fundamental factors dominate the market, trading systems may suffer rapid and severe losses due to their inability to respond to such factors until such factors have had a
sufficient effect on the market to create a trend of enough magnitude to generate a reversal of trading signals, by which time a precipitous price change may already be in progress, preventing liquidation at anything but substantial losses.

Decisions Based Upon Fundamental Analysis May Not Result in Profitable Trading

Traders that utilize fundamental trading strategies attempt to examine factors external to the trading market that affect the supply and demand for a particular futures and forward contracts in order to predict future
prices. Such analysis may not result in profitable trading because the analyst may not have knowledge of all factors affecting supply and demand, prices may often be affected by unrelated factors, and purely fundamental analysis may not enable the
trader to determine quickly that previous trading decisions were incorrect. In addition, because of the breadth of fundamental data that exists, a fundamental trader may not be able to follow developments in all such data, but instead may specialize
in analyzing a narrow set of data, requiring trading in fewer markets. Consequently, a fundamental trader may have less flexibility in adverse markets to trade other futures and forward markets than traders that do not limit the number of markets
traded as a result of a specialized focus.

Increase in Assets Under Management May Affect Trading Decisions

The more equity a Trading Advisor manages, the more difficult it may be for that Trading Advisor to trade profitably because of the difficulty of trading larger positions
without adversely affecting prices and performance. Accordingly, such increases in equity under management may require one or more of the Trading Advisors to modify trading decisions for the Trust, which could have a detrimental effect on your
investment in such Trust.

You cannot be Assured of the Trading Advisors Continued Services Which May Be Detrimental to Trust

You cannot be assured that any Trading Advisor will be willing or able to continue to provide advisory services to the Trust for any length of time. There is severe
competition for the services of qualified trading advisors, and the Trust may not be able to retain satisfactory replacement or additional trading advisors on acceptable terms or a current Trading Advisor may require the Trust to pay higher fees in
order to be able to retain such Trading Advisor.

Limited Ability to Liquidate Your Investment

There is no secondary market for the Units. While the Units have redemption rights, there are restrictions, and possible fees assessed. Transfers of Units are subject to
limitations, and the Managing Owner may deny a request to transfer if it determines that the transfer may result in adverse legal or tax consequences for the Trust.

Possible Illiquid Markets May Exacerbate Losses

Futures and forward positions cannot always be liquidated at the
desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as when foreign governments may take or be subject to political actions,
which disrupt the markets in their currency or major exports, can also make it difficult to liquidate a position. Such periods of illiquidity and the events that trigger them are difficult to predict and there can be no assurance that any Trading
Advisor will be able to do so. There can be no assurance that market illiquidity will not cause losses for the Trust. The large size of the positions which a Trading Advisor is expected to acquire for the Trust increases the risk of illiquidity by
both making its positions more difficult to liquidate and increasing the losses incurred while trying to do so.

The risk of loss due to potentially
illiquid markets is more acute in respect of over-the-counter instruments than in respect of exchange-traded instruments because the performance of those contracts is not guaranteed by an exchange or clearinghouse and the Trust will be at risk to
the ability of the counterparty to the instrument to perform its obligations thereunder. Because these markets are not regulated, there are no specific standards or regulatory supervision of trade pricing and other trading activities that occur in
those markets.

Because the Trust does not Acquire Any Asset with Intrinsic Value, the Positive Performance of Your Investment Is Wholly Dependent Upon
an Equal and Offsetting Loss

Futures trading is a risk transfer economic activity. For every gain there is an equal and offsetting loss rather than an
opportunity to participate over time in general economic growth. Unlike most alternative investments, an investment in the Trust does not involve acquiring any asset with intrinsic value. Overall stock and bond prices could rise significantly and
the economy as a whole prospers; while the Trust trades unprofitably.



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Failure of Futures Trading to be Non-Correlated to General Financial Markets Will Eliminate Benefits of
Diversification

Historically, managed futures generally have been non-correlated to the performance of other asset classes such as stocks and bonds.
Non-correlation means that there is no statistically valid relationship between the past performance of futures and forward contracts on the one hand and stocks or bonds on the other hand. Non-correlation should not be confused with negative
correlation, where the performance would be exactly opposite between two asset classes. Because of this non-correlation, the Trust cannot be expected to be automatically profitable during unfavorable periods for the stock market, or vice-versa. The
futures and forward markets are fundamentally different from the securities markets in that for every gain in futures and forward trading, there is an equal and offsetting loss. If the Trust does not perform in a manner non-correlated with the
general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in the Units of the Trust and the Trust may have no gains to offset your losses from other investments.

Trading on Commodity Exchanges Outside the United States is Not Subject to U.S. Regulation

Trading Advisors are expected to engage in some or all of its trading on behalf of the Trust on commodity exchanges outside the United States. Trading on such exchanges is not regulated by any United States
governmental agency and may involve certain risks not applicable to trading on United States exchanges. In trading contracts denominated in currencies other than U.S. dollars, the Trust will be subject to the risk of adverse exchange-rate movements
between the dollar and the functional currencies of such contracts. Investors could incur substantial losses from trading on foreign exchanges by the Trust to which such investors would not have been subject had the Trading Advisors limited their
trading to U.S. markets.

Various Actual and Potential Conflicts of Interest May Be Detrimental to Unitholders

The Trust is subject to actual and potential conflicts of interests involving the Managing Owner, the Trading Advisors, and various brokers and servicing agents. The
Managing Owner, the Trading Advisors, and their respective principals, all of which are engaged in other investment activities, are not required to devote substantially all of their time to the Trusts business, which also presents the
potential for numerous conflicts of interest with the Trust. As a result of these and other relationships, parties involved with the Trust have a financial incentive to act in a manner other than in the best interests of the Trust and its
Unitholders. The Managing Owner has not established any formal procedure to resolve conflicts of interest. Consequently, investors will be dependent on the good faith of the respective parties subject to such conflicts to resolve them equitably.
Although the Managing Owner attempts to monitor these conflicts, it is extremely difficult, if not impossible, for the Managing Owner to ensure that these conflicts do not, in fact, result in adverse consequences to the various Trust.

The Trust may be subject to certain conflicts with respect to its clearing broker (Clearing Broker), its futures broker (Futures
Broker), and any executing broker including, but not limited to, conflicts that result from receiving greater amounts of compensation from other clients, purchasing opposite or competing positions on behalf of third party accounts traded
through the Clearing Broker, the Futures Broker and executing brokers.

Unitholders Taxed Currently

Unitholders are subject to tax each year on their allocable share of the income or gains (if any) of the Trust, whether or not they receive distributions. Moreover, the
Managing Owner does not intend to make any distributions to Unitholders in respect of the Trust. Consequently, Unitholders will be required either to redeem Units or to make use of other sources of funds to discharge their tax liabilities in respect
of any profits earned by the Trust.

In comparing the profit objectives of the Trust with the performance of more familiar securities in which one might
invest, prospective investors must recognize that if they purchased equity or debt, there probably would be no tax due on the appreciation in the value of such holdings until disposition. In the case of the Trust, on the other hand, a significant
portion of any appreciation in the net asset value per Unit must be paid in taxes by the Unitholders of the Trust every year, resulting in a substantial cumulative reduction in their net after-tax returns. Because Unitholders will be taxed currently
on their allocable share of the income or gains of the Trust, if any, the Trust may trade successfully but investors nevertheless would have recognized significantly greater gains on an after-tax basis had they invested in conventional stocks with
comparable performance.

Limitation on Deductibility of Investment Advisory Fees

Non-corporate Unitholders may be required to treat the amount of Incentive Fees and other expenses of the Trust as investment advisory fees which may be
subject to substantial restrictions on deductibility for federal income tax purposes. In the absence of further regulatory or statutory clarification, the Managing Owner is not classifying these expenses as investment advisory fees, but
this is a position to which the Internal Revenue Service (the IRS) may object. If a substantial portion of the fees and other expenses of the Trust were characterized as investment advisory fees, an investment in the
Trust might no longer be economically viable.



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Taxation of Interest Income Irrespective of Trading Losses

With respect to the Trust, the net asset value per Unit reflects the trading profits and losses as well as the interest income earned and expenses incurred by the Trust.
However, losses on the Trusts trading will be almost exclusively capital losses, and capital losses are deductible against ordinary income only to the extent of $3,000 per year in the case of non-corporate taxpayers. Consequently, if a
non-corporate Unitholder had, for example, an allocable trading (i.e., capital) loss of $10,000 in a given fiscal year and allocable interest (i.e., ordinary) income (after reduction for expenses) of $5,000, the Unitholder would have incurred a net
loss in the net asset value of such Unitholders Units equal to $5,000 but would recognize taxable income of $2,000 (assuming a 40% tax rate). The limited deductibility of capital losses for non-corporate Unitholders could result in such
Unitholders having a tax liability in respect of their investment in the Trust despite incurring a financial loss on their Units of the Trust.

Possibility of a Tax Audit of Both the Trust and the Unitholders

There can be no assurance that the tax returns of the Trust will not be
audited by the IRS. If such an audit results in an adjustment, Unitholders of the Trust could themselves be audited as well as being required to pay additional taxes, interest and possibly penalties.

Failure or Lack of Segregation of Assets May Increase Losses

The
Commodity Exchange Act (CEA) requires a clearing broker to segregate all funds received from customers from such brokers proprietary assets. If the Clearing Broker fails to do so, the assets of the Trust might not be fully
protected in the event of their bankruptcy. Furthermore, in the event of the Clearing Brokers bankruptcy, the Trust could be limited to recovering only a pro rata share of all available funds segregated on behalf of the Clearing Brokers
combined customer accounts, even though certain property specifically traceable to the Trust (for example, Treasury bills deposited by the Trust with the clearing broker as margin) was held by the Clearing Broker.

Default by Counterparty and Credit Risk Could Cause Substantial Losses

Dealers in forward contracts are not regulated by the CEA and are not obligated to segregate customer assets. As a result, Unitholders do not have such basic protections with respect to the trading in forward contracts by the Trust. This
lack of regulation in these markets could expose the Trust in certain circumstances to significant losses in the event of trading abuses or financial failure by the counterparties. The Trust also faces the risk of non-performance by the
counterparties to the over-the-counter contracts. Unlike in futures contracts, the counterparty to these contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial
institutions. As a result, there will be greater counterparty credit risk in these transactions. The clearing member, clearing organization or other counterparty may not be able to meet its obligations, in which case the Trust could suffer
significant losses on these contracts.

Regulatory Changes or Actions May Alter the Nature of an Investment in the Trust

Considerable regulatory attention has been focused on non-traditional investment pools, in particular commodity pools such as the Trust, publicly distributed in the
United States. There has been significant international governmental concern expressed regarding, for example, (i) the disruptive effects of speculative trading on the central banks attempts to influence exchange rates and (ii) the
need to regulate the derivatives markets in general. There is a possibility of future regulatory changes altering, perhaps to a material extent, the nature of an investment in the Trust.

The futures markets are subject to comprehensive statutes, regulations, and margin requirements. In addition, the Commodity Futures Trading Commission (CFTC) and the exchanges are authorized to take
extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The
regulation of futures and forward transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Trust is impossible to predict,
but could be substantial and adverse.

Trust Trading is Not Transparent

Trading decisions in respect of the Trust, are made by the Trading Advisors. While the Managing Owner receives daily trade confirmations from the Clearing Broker and foreign exchange dealers, such information is not
provided to Unitholders and the Trusts trading results are reported to the Unitholders. Accordingly, an investment in the Trust does not offer you the same transparency, i.e., an ability to review all investment positions daily that a personal
trading account offers.

Lack of Independent Experts Representing Investors

The Managing Owner has consulted with counsel, accountants and other experts regarding the formation and operation of the Trust. Accordingly, you should consult your own legal, tax and financial advisers regarding the
desirability of an investment in the Trust.



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Forwards, Swaps, Hybrids and Other Derivatives are Not Subject to CFTC Regulation

The Trust may trade foreign exchange contracts in the interbank market. Since forward contracts are traded in unregulated markets between principals, the commodity pools
also assume the risk of loss from counterparty nonperformance. In the future, the Trust may also trade swap agreements, hybrid instruments and other off-exchange contracts. Swap agreements involve trading income streams such as fixed rate or
floating rate interest. Hybrids are instruments, which combine features of a security with those of a futures contract. Because there is no exchange or clearing- house for these contracts, the Trust will be subject to the credit risk and
nonperformance of the counterparty. Additionally, because these off-exchange contracts are not regulated by the CFTC, the Trust will not receive the protections, which are provided by the CFTCs regulatory scheme.

Possibility of Termination of the Trust or any Trust Before Expiration of its Stated Term

As Managing Owner, the Managing Owner may withdraw from the Trust, which would cause the Trust to terminate unless a Substitute Managing Owner was appointed. Other events, such as a long-term substantial loss suffered
by any Trust, could also cause the Trust to terminate before the expiration of its stated term. This could cause you to liquidate your investments and upset the overall maturity and timing of your investment portfolio. If the registrations with the
CFTC or memberships in the NFA of the Managing Owner or the Clearing Broker were revoked or suspended, such entity would no longer be able to provide services to the Trust.



|Item 1B. | Unresolved Staff Comments
|-------- | -------------------------

None



|Item 2. | Properties
|------- | ----------

The Registrant does not own or use any physical
properties in the conduct of its business. The Registrants only place of business is the place of business of the Managing Owner.

Certain
administrative services are provided by DPM Mellon LLC, the Trusts administrator (the Administrator), which is located at 400 Atrium Drive, Somerset, New Jersey 08873.



|Item 3. | Legal Proceedings
|------- | -----------------

There are no material proceedings pending by or
against the Registrant or the Managing Owner.



|Item 4. | Submission of Matters to a Vote of Security Holders
|------- | ---------------------------------------------------

None

PART II



|Item 5. | Market for the Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities
|------- | ----------------------------------------------------------------------------------------------------------------

On January 5, 1995, the Registrant completed its initial offering and on August 31, 1996 the continuous offering period expired. A significant secondary market
for the Limited Interests has not developed, and it is not expected that one will develop in the future. There are also certain restrictions set forth in the Trust Agreement limiting the ability of a Unitholder to transfer Interests. However,
Interests may be redeemed as of the last business day of any calendar quarter at the then current net asset value per Interest. Consequently, holders of Interests may not be able to liquidate their investments in the event of an emergency or for any
other reason.

There are no material restrictions upon the Registrants present or future ability to make distributions in accordance with the
provisions of the Trust Agreement. No distributions have been made since inception and no distributions are anticipated in the future.

As of
February 1, 2007, there were 530 holders of record owning 58,278.560 Interests, which include 646 General Interests.



|Item 6. | Selected Financial Data
|------- | -----------------------

The following table presents selected
financial data of the Registrant. This data should be read in conjunction with the financial statements of the Registrant and the notes thereto on pages 7 through 13 of the Registrants 2006 Annual Report, which is filed as an exhibit here to.



8



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|                                            |  |                         |            |   |      |   |            |      |  |   |            |   |      |   |            |  |   |           
|------------------------------------------- |  | ----------------------- | ---------- | - | ---- | - | ---------- | ---- |  | - | ---------- | - | ---- | - | ---------- |  | - | ----------
|                                            |  | Year Ended December 31,
|                                            |  | 2006                    |            |   | 2005 |   |            | 2004 |  |   | 2003       |   | 2002
|Total revenues (including interest)         |  | $                       | 817,235    |   |      | $ | 1,226,876  |      |  | $ | 559,273    |   |      | $ | 5,724,208  |  | $ | 8,311,237 
|Net income (loss)                           |  | $                       | (679,505   | ) |      | $ | (517,955   | )    |  | $ | (1,749,866 | ) |      | $ | 3,174,142  |  | $ | 4,908,863 
|Net income (loss) per weighted average Unit |  | $                       | (10.10     | ) |      | $ | (6.49      | )    |  | $ | (19.52     | ) |      | $ | 31.80      |  | $ | 41.42     
|Total assets                                |  | $                       | 14,369,565 |   |      | $ | 17,739,364 |      |  | $ | 20,833,363 |   |      | $ | 24,541,139 |  | $ | 24,513,197
|Net asset value per Unit                    |  | $                       | 222.71     |   |      | $ | 232.38     |      |  | $ | 237.65     |   |      | $ | 255.58     |  | $ | 223.61    



|Item 7. | Managements Discussion and Analysis of Financial Condition and Results of Operations
|------- | -------------------------------------------------------------------------------------

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, as well as the use of estimates. The Trusts application of these policies involves judgments and
actual results may differ from the estimates used.

The Managing Owner has evaluated the nature and types of estimates that it makes in preparing the
Trusts financial statements and related disclosures and has determined that the valuation of its investments that are not traded on a United States or Internationally recognized futures exchange involves a critical accounting policy. The
market values of futures (exchange traded) contracts is verified by the Administrator who obtains valuation data from third party data providers such as Bloomberg and Reuters and compares those prices with the Trust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 Unitholders.

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

The Trust 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.

The SEC Staff Accounting Bulletin 108 (SAB
108), Considering the Effects of Prior Year Misstatements When Quantifying Misstatements in Current Year Financial Statements, which provides guidance on quantifying and evaluating the materiality of unrecorded misstatements. It is
effective for the first annual period ending after November 15, 2006. Preferred as Managing Owner of the Registrant has evaluated the impact, if any, the implementation of SAB 108 may have on its financial statements. In Preferreds
opinion, no material unrecorded misstatements are in existence as of December 31, 2006 that would require a cumulative effect adjustment to the financial statements.

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 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 as of December 31, 2006, 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.

Liquidity and Capital Resources

The Trust commenced operations on January 5, 1995 with gross proceeds of $25,262,800 allocated to commodity 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 net asset value per Interest. Redemptions of Limited Interests for the years ended December 31,
2006, 2005 and 2004 were $3,127,780, $2,808,161 and $1,833,152, respectively. Redemptions of General Interests for the years ended December 31, 2006, 2005 and 2004 were $26,319, $24,344 and $13,443, respectively. Redemptions of Limited and
General



9



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Interests from the commencement of operations, January 5, 1995, to December 31, 2006 totaled $86,696,005 and $731,464, respectively. Future
redemptions will impact the amount of funds available for investment in commodity contracts in subsequent periods.

At December 31, 2006, 100% of the
Trusts net assets were allocated to commodities trading. A significant portion of the net assets was held in cash, which was 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. The Clearing Broker credits the Trust monthly with 100% of the interests it earns on the average net assets in these accounts.

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 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 be requiring the Trust and its
Trading Advisors 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 6 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.

Off-Balance Sheet Arrangements and Contractual Obligations

As of December 31, 2006, the Trust 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 the Trust. While the Trusts exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Trusts financial position.

The Trusts contractual obligations are with the Managing Owner, each Trading Advisor and its commodity broker. Payments made under the Trusts agreement
with each Trading Advisor are at a fixed rate, calculated as a percentage of the Trusts New High Net Trading Profits of the assets allocated to each Trading Advisor. In addition, management fee payments made to the Trading Advisors
(to the extent of the assets allocated to each Trading Advisor) and fees paid to the Managing Owner are calculated as a fixed percentage of the Trusts net asset values. As such, the Managing Owner cannot anticipate the amount of payments that
will be required under these agreements for futures periods as net asset values are not known until a future date. Commission payments to the commodity broker are based on a cost per executed trade and, as such, the Managing Owner cannot anticipate
the amount of payments that will be required under the brokerage agreement for future periods 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 for various reasons. For a further discussion on these payments, see Notes 1 and 3 of the Registrants 2006 Annual Report.

Results of Operations

The net asset value (NAV) per
Interest as of December 31, 2006 was $222.71, a decrease of 4.16% from the December 31, 2005 NAV per Interest of $232.38, which was a decrease of 2.22% from the December 31, 2004 NAV per Interest of $237.65, which was a decrease of
7.02% from the December 31, 2003 NAV per Interest of $255.58. The CISDM CPO Asset Weighted Index (formerly known as the Zurich Fund/Pool Qualified Universe Index) returned 8.30%, 5.97% and 3.22% for the years ended December 31, 2006, 2005
and 2004, respectively. The CISDM CPO Asset Weighted Index is the dollar weighted, total return of all commodity pools tracked by Managed Account Reports, LLC. Past performance is not necessary indicative of future results.

The Trusts trading gains/(losses) before commissions were approximately $67,000, $643,000 and $281,000 for the years ended December 31, 2006, 2005 and 2004,
respectively. Due to the nature of the Trusts trading activities, a year to year comparison of its trading results is not meaningful. However, a detailed discussion of the Trusts current year trading results is presented below.

General Economy

The U.S. Federal Reserve
(Fed) ceased raising rates in the fourth quarter. The perception remains that although the economy is slowing, there is no danger of a recession and that a soft landing is the most likely scenario. Range trading may be the dominant
pattern for the next few months as prices react to the economic data. The yield on the benchmark U.S. 10- Year note finished November at an 11-month low. A weaker U.S. dollar failed to dampen enthusiasm for U.S. Treasuries. The latest data available
shows capital flows to the U.S. rose in October.



10



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On the employment front, job growth accelerated in December as non-farm payrolls rose while the unemployment rate held
steady at 4.5%. This is down from 4.9% at the start of 2006. Of some concern was a 0.5% jump in average hourly earnings, taking them up 4.2% over the past 12 months. Overall, the employment picture persists as healthy but the construction,
manufacturing and retail sectors all lost jobs in December.

Regarding U.S. inflation, the November Consumer Price Index (CPI) was unchanged
and the Core CPI, which factors out the more volatile food and energy prices, was also flat. This is the lowest reading for the core rate since November 2005. There were clearly no inflation worries in this data. The Producer Price Index
(PPI) was not as controlled, climbing 2.0%, the most since 1974. The surge was caused by a jump in energy, car and truck prices.

Housing has
been a major economic concern in 2006. November Housing Starts rose following a big drop in October. November Housing Permits, however, fell slightly. Over the past 11 months, Housing Starts were 12.5% below 2005 levels while Housing Permits
were off 14.1%. Homebuilders confidence, as indicated by the NAHB/Wells Fargo Index fell in December.

The overall consumer confidence picture
remained mixed with the high end and electronics sectors doing well. November Retail Sales rose 1.0%. The unusually warm weather hurt clothing sales in department stores. Third quarter Gross Domestic Product, a measure of economic growth, was
revised downwards to the lowest level since the fourth quarter of 2005. Home building remains the main drag on growth.

While the Fed was on hold with
respect to interest rate policy, the European Central Bank (ECB), the Bank of England (BOE) and the Peoples Bank of China (PBC) all raised interest rates. British housing prices and CPI growth continue to be high.
Germany continues to exhibit growth, and leads the increasingly strong Eurozone. The Bank of Japan (BOJ) remained cautious, with no additional rate hikes following the July increase to 0.25%. The economy appears mixed, with consumer
spending still less than the economy requires. The Bank of Canada, Reserve Bank of Australia and New Zealand central bank all remained on hold in December.

Currencies

The euro strengthened versus the U.S. dollar in 2006, reversing the pattern from 2005. The euro also strengthened against the
Japanese yen, achieving record levels in December. Germany, the engine of Eurozone growth, has been the strongest European economy this year. Interest rate differential factors supported the euro through much of the fourth quarter of 2006. Of great
significance, central banks around the globe have initiated a policy of diversification out of the U.S. dollar and into the euro, the British pound, and to a lesser extent, the Japanese yen.

The British pound ended the year slightly off its high, after rising approximately 14% versus the U.S. dollar. British housing prices have been surging and the CPI came
in above the BOEs target.

The Japanese yen fell against the U.S. dollar, euro and British pound during the fourth quarter of 2006. Japan exited its
deflationary era in 2006, although the fourth quarter saw less than robust growth on the consumer side. Other Asian currencies were better performers, with the Korean won having a particularly solid December and fourth quarter.

The Peoples Bank of China continues to tighten the reins on the economy. Most recently, the PBC increased the reserve requirement ratio for banks and raised the base
interest rate 50 points to 6.72%. The yuan has shown an accumulative appreciation of about 3.7% since the July 2005 revaluation.

Energies

Crude oil was strong during the first half of the year and weakened during the second half, with the exception of a brief respite during November.
Crude ended December around $60 per barrel, which contrasts to its mid-July peak of nearly $78 per barrel. Record warm weather in key consuming regions in the U.S. put pressure on the market during the fourth quarter, as did a generally benign
geopolitical scene and poor member compliance with OPECs announced production cuts.

The unusually warm weather kept heating oil under pressure
during December. Heating oil will be dependent on a general recovery in commodity prices and a sudden weather shift in coming weeks. Department of Energy gasoline inventories are 0.5% below last season. The driving season was extended by the warm
weather conditions.

Natural gas fell during the fourth quarter with the weather weighing heavily on investor sentiment. Inventories are still burdensome
and demand is slowing rather than rising during the normally strong seasonal demand time frame. What remains to be seen is whether the markets have discounted the majority of these bearish fundamentals.

Grains

While Decembers performance was mixed, corn trended
upwards for the fourth quarter as a whole. The last week of the month, quarter, and year saw the posting of a multi-year high, with the final price for 2006 settling at the highest weekly close on the charts since the drought-driven summer rally in
July of 1996. The main drivers behind the re-awakening of corn prices were threefold: 1) an increase in overseas demand due to improving global economic conditions; 2) the expansion of the production of ethanol; and 3) the ongoing increase in hedge
fund and money managers investing in alternative non-correlated asset classes. For the quarter as a whole, despite a large trading range, the wheat market put in somewhat disappointing,



11



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albeit upward trending performance. The uncertainty caused by ongoing drought conditions in Australia, the relatively high price for wheat and tight global
stocks had an effect on supply and demand. The trend for soybean prices was higher for the fourth quarter of 2006. Export demand for soybeans, soybean oil and soybean meal all appear to be increasing. As corn production is increasingly diverted to
the production of ethanol, substitute feedstuffs, with soybeans as the closest surrogate, may also feel the upward pull of prices. As the global supply of foreign cotton sold out late in the year, prices began to move higher from mid-November
through the end of the year. The lethargy that characterized most of 2006 was a product of a massive carryover of last years crop, along with last summers unfortunate elimination of a marketing program which left U.S. cotton
uncompetitively priced.

Indices

U.S. equities
recorded their best gains in three years during the fourth quarter of 2006. The weakness in real estate that may have caused a shift into equities, large levels of global liquidity, a drop in oil prices, a quiet geopolitical atmosphere, solid
earnings and a brisk mergers and acquisitions calendar all added to the positive performance. A shift out of commodities also aided the tone of global equities. Blue chips, financials, oil and big caps did well, and at the end of the quarter
technology names took a leading role.

It was also a very good December, fourth quarter and year for the European equity markets. Markets in Germany, the
U.K. and France all ended higher for the fourth quarter. Heavy merger and acquisition activity was a major feature in Europe, along with a solid run of earnings and significant fund inflows. The strong U.S. market was also a psychological plus. The
prospect of further rate hikes from the ECB, and to a lesser extent the BOE, failed to diminish enthusiasm.

Asian/Pacific Rim equities also recorded solid
2006 gains, despite volatile trading. Record highs were achieved in Singapore, Australia and New Zealand during the final session of the year as well as for Chinas Shanghai Composite. A growing Japanese economy served to buoy enthusiasm and a
modest 0.25% base interest rate was supportive. Thailands SET Index had a very volatile month after the central bank attempted to impose controls on capital for foreign investors in the stock market, but that was quickly reversed when the SET
tumbled 15%, and prices subsequently recovered. However, Thailand has seen continuing political unrest.

Interest Rates

As expected, the Fed remained on hold at its December 12 meeting. The minutes of the most recent Federal Open Market Committee (FOMC) meeting were
virtually the same as the November meeting, indicating that the FOMC unanimously agreed that inflation persists as the primary concern to the economy. However, at the same time they stated the economy might have been a bit softer than previously
thought.

In the international arena, the ECB increased rates 25 basis points in December and the BOE raised rates 25 basis points in November. The BOJ
made just one move to 0.25% in 2006. Japanese consumer data has been a bit sluggish; something the BOJ will keep in focus. The Peoples Bank of China is currently engaged in a tightening process, and is actively draining liquidity by increasing
reserve requirements.

Metals

A weak U.S. dollar
helped support gold for most of the quarter but during late December the dollar showed signs of a consolidation rally and gold fell. Plunging energy prices had a negative impact on gold prices as well. Silver traded at its best levels in more than
six months during the quarter, but ended the year off its highs. For the year, silver significantly outperformed gold. Speculative participation was heavy throughout the quarter, setting the stage for high volatility. A steady increase in
inventories weighed on copper prices in the fourth quarter. A lessening of labor concerns, particularly in Chile and Canada, and the fact that Chinas buying pace slowed in 2006 added to the negative tone. Zinc supplies remained tight and
strong demand continued. Aluminum prices held up well in the fourth quarter in the face of a general commodity weakness. Nickel was one of the strongest performers in the metals group due to tight supply and a strong pattern of stainless steel
demand.

Softs

Forecasts for a significant global
supply surplus of sugar weighed on sentiment, causing prices to decline 29% on the year. This made sugar the weakest agricultural commodity in the Dow Jones/AIG Index. Coffee prices remained relatively flat for 2006 and overall global coffee demand
was solid. Scaled back cocoa crop prospects for the Ivory Coast, the worlds largest producer, added to the commoditys recent bullish tone. The political situation in the Ivory Coast continues fairly quiet but civil unrest remains a
potential factor. The cattle market traded sideways for most of the fourth quarter until severe weather conditions reduced cattle supply and caused prices to rise in the second half of December. Hog supply was ample during the quarter as the US
entered a seasonally slow demand period. On the bright side, the most recent USDA estimate is that US pork exports will rise in 2007 to follow the 2006 increase.

Currencies: (-)The currency sector was down for the year, with a majority of the losses coming from long and short positions in the Euro, Norwegian krone and Swiss franc.

Energies: (-)The energy sector was down for 2006. The majority of the losses were from long and short positions in crude oil and heating oil.

Grains: (-)The grain sector was down for the year, with a majority of the losses coming from long and short positions in corn, wheat and soybean oil.



12



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Indices: (+)The sector was positive for 2006 primarily due to long positions in the DAX, the IBEX and the
Hang Seng indices.

Interest Rates: (+)The sector was up for the year, with a majority of the gains coming from short positions in the
Eurodollar, Short Sterling and Euribor.

Metals: (+) Long positions in gold, aluminum and zinc contributed to a gain in the sector for 2006.

Softs: (-)The sector was down for the year, with losses from long and short positions in cocoa and cattle.

Interest income is earned on the average net assets held at the Clearing Broker and, therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income increased by approximately $167,000 during 2006 as compared to 2005, increased by approximately $305,000 during 2005 as compared to 2004, and increased by approximately $3,000 during 2004 as compared to 2003. The
increase in interest income during the years ending 2006, 2005 and 2004 was primarily due to increased short-term interest rates, which more than offset the reduced average net asset levels, which were primarily the result of redemptions and
negative trading performance during these time periods.

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 and other transaction fees decreased by approximately $197,000 in 2006 as compared to 2005, decreased by approximately $261,000 during 2005 as compared to 2004, and
decreased by approximately $88,000 during 2004 as compared to 2003. The decrease in commissions for the years ended 2006, 2005 and 2004 was due to reduced average net asset levels discussed above.

The trading decisions for the Trust are made by Graham, Aspect, and Appleton (until September 29, 2006) during 2006 as the Trading Advisors of the Trust. Management
fees are calculated on the Trusts net asset value at the end of each month and, therefore, are affected by trading performance and redemptions. Management fees decreased approximately $51,000, $67,000, and $30,000 for the years ended 2006,
2005 and 2004, respectively due to reduced average net assets discussed above.

Incentive fees were based on the New High Net Trading Profits generated by
the Trading Advisors, as defined in the Amended Advisory Agreements amongst the Trust, the Managing Owner and the respective Trading Advisors. Incentive fees of approximately $0, $0 and $237,000 were incurred for the years ended 2006, 2005 and 2004,
respectively.

Inflation

Inflation has had no material
impact on operations or on the financial condition of the Trust from inception through December 31, 2006.



|Item 7A. | 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 8. | Financial Statements and Supplementary Data
|------- | -------------------------------------------

The financial
statements are incorporated by reference to the Registrants 2006 Annual Report, which is filed as an exhibit hereto.

Selected unaudited quarterly
financial data for the years ended December 31, 2006 and 2005 are summarized below:



|                                                     |  |               |            |   |               |   |          |              |  |   |               |   |  |   |        
|---------------------------------------------------- |  | ------------- | ---------- | - | ------------- | - | -------- | ------------ |  | - | ------------- | - |  | - | -------
|                                                     |  | First Quarter |            |   | SecondQuarter |   |          | ThirdQuarter |  |   | FourthQuarter
|2006:                                                |  |               |            |   |               |   |          |              |  |   |               |   |  |   |        
|Total revenues (including interest)                  |  | $             | 245,469    |   |               | $ | 12,657   |              |  | $ | (53,183       | ) |  | $ | 612,292
|Total revenues (including interest) less commissions |  | $             | (78,482    | ) |               | $ | (295,316 | )            |  | $ | (336,876      | ) |  | $ | 337,698
|Net income (loss)                                    |  | $             | (161,951   | ) |               | $ | (374,300 | )            |  | $ | (409,526      | ) |  | $ | 266,272
|Net income (loss) per weighted average interest      |  | $             | (2.26      | ) |               | $ | (5.47    | )            |  | $ | (6.20         | ) |  | $ | 4.24   
|                                                     |  |               |            |  
|2005:                                                |  |               |            |   |               |   |          |              |  |   |               |   |  |   |        
|Total revenues (including interest)                  |  | $             | (951,107   | ) |               | $ | 658,368  |              |  | $ | 797,539       |   |  | $ | 722,076
|Total revenues (including interest) less commissions |  | $             | (1,315,872 | ) |               | $ | 315,503  |              |  | $ | 459,659       |   |  | $ | 380,449
|Net income (loss)                                    |  | $             | (1,407,812 | ) |               | $ | 226,496  |              |  | $ | 371,700       |   |  | $ | 291,661
|Net income (loss) per weighted average interest      |  | $             | (16.59     | ) |               | $ | 2.75     |              |  | $ | 4.73          |   |  | $ | 3.89   



13



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There were no extraordinary, unusual or infrequently occurring items recognized in any quarter reported above, and the
Trust has not disposed of any segments of its business. There have been no year-end adjustments that are material to the results of any fiscal quarter reported above.



|Item 9. | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
|------- | ------------------------------------------------------------------------------------

None



|Item 9A. | 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 the 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 effectiveness of the design and operation of the Registrants disclosure controls and
procedures. Based upon that evaluation, the Managing Owners Co-Chief Executive Officers and Director of Fund Administration concluded that the Registrants disclosure controls and procedures are effective.

In designing and evaluating the Trusts disclosure controls and procedures (as defined in Rules 13a-15(e) or 15d-15(e) of the Exchange Act), the Managing Owner
recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurances of achieving the desired control objectives, as ours 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. We believe that our 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
Securities Exchange Act of 1934, as amended) during the year ended December 31, 2006 that have materially affected, or are reasonably likely to materially affect, Registrants internal controls over financial reporting.



|Item 9B. | Other Information
|-------- | -----------------

None

PART III



|Item 10. | Directors, Executive Officers and Corporate Governance
|-------- | ------------------------------------------------------

The
Registrant had no directors or executive officers. The Registrant is managed by the Managing Owner.

The directors and executive officers of the Managing
Owner are as follows:

Mr. Kenneth A. Shewer (born 1953), Co-Chief Executive Officer of the Managing Owner, has been a principal,
associated person and NFA associate member of the Managing Owner since February 8, 1984, May 1,1985 and August 1, 1985, respectively. He has been Chairman and Co-Chief Executive Officer of the Managing Owner since February 1984.
Mr. Shewer was employed by Pasternak, Baum and Co., Inc. (Pasternak, Baum), an international cash commodity firm, from June 1976 until September 1983. Mr. Shewer created and managed Pasternak, Baums Grain Logistics
and Administration Department and created its Domestic Corn and Soybean Trading Department. Mr. Shewers responsibilities at Pasternak, Baum included merchandising South American grain and exporting United States corn and soybeans. In
1982, Mr. Shewer became co-manager of Pasternak, Baums F.O.B. Corn Department. In 1983, Mr. Shewer was made Vice President and Director of Pasternak, Baum. Mr. Shewer has traveled extensively in South America and Europe in
connection with the commodity business and has organized and effected grain and oilseed sales in those regions, the former Soviet Union, and the Far East. While at Pasternak, Baum, Mr. Shewer was a member of the St. Louis Merchants Exchange and
was associated with the National Grain and Feed Association and the North American Export Grain Association.

Mr. Shewer graduated from Syracuse
University with a B.S. degree in 1975. Mr. Shewer sits on the Board of the Stacy Joy Goodman Memorial Foundation, a non-profit charity committed to finding a cure for Juvenile Diabetes. He is also a member of the Board of the Diabetes Research
Institute Foundation, a not-for-profit organization affiliated with the University of Miami School of Medicine. Mr. Shewer is a founding member and a member of the Board of the Greenwich Roundtable.

Mr. Marc S. Goodman (born 1948), Co-Chief Executive Officer of the Managing Owner, has been a principal, associated person and NFA associate member of
the Managing Owner since February 7, 1984, May 1, 1985 and August 1, 1985, respectively. He has been President and Co-Chief Executive Officer of the Managing Owner since February 1984. Mr. Goodman joined Pasternak, Baum in
September 1974 and was a Vice President and Director from July 1981 until September 1983. While at Pasternak, Baum, Mr. Goodman was largely responsible for business development outside of the United States, for investment of its corporate
retirement funds, and for selecting trading personnel in the Vegetable Oil Division. Mr. Goodman also created and developed Pasternak, Baums Lauric Oils Department. Mr. Goodman has conducted extensive business in South America,
Europe and the Far East; he has been a merchandiser of all major vegetable oils and their by-products, and of various other commodities such as sunflower seeds, frozen poultry, pulses and potatoes.



14



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Mr. Goodman graduated from the Bernard M. Baruch School of Business of the City University of New York with a B.B.A.
in 1969 and an M.B.A. in 1971 in Finance and Investments, where he was awarded an Economics and Finance Department Fellowship from September 1969 through June 1971. Mr. Goodman is a member of the American Arbitration Association; while at
Pasternak, Baum, he was a member of the National Institute of Oilseeds Products and the American Fats and Oils Association (including its Export Rules Committee).

Mr. Goodman is the Chairman of the Board of the Stacy Joy Goodman Memorial Foundation, a non-profit charity committed to finding a cure for Juvenile Diabetes. He is also Chairman of the Board of the Diabetes Research Institute
Foundation, a not-for-profit organization that is the principle source of funding for the Diabetes Research Institute, a world renowned cure based research center affiliated with the University of Miami School of Medicine.

Mr. Goodman is a founding member and member of the Board of the Greenwich Roundtable.

Messrs. Shewer and Goodman left Pasternak, Baum in September 1983 to form Kenmar Advisory Corp. (now known as Preferred Investment Solutions Corp., the Managing Owner) and they have occupied their present positions
with the Managing Owner since that time.

Ms. Esther Eckerling Goodman (born 1952), Senior Executive Vice President and Chief Operating Officer
of the Managing Owner, has been a principal, associated person and NFA associate member of the Managing Owner since May 12, 1988, July 17, 1986 and July 17, 1986, respectively. She joined the Managing Owner in July 1986 and is
its Chief Operating Officer and Senior Executive Vice President. Ms. Goodman has been involved in the futures industry since 1974. From 1974 through 1976, she was employed by Conti-Commodity Services, Inc. and ACLI Commodity Services, Inc., in
the areas of hedging, speculative trading and tax arbitrage. In 1976, Ms. Goodman joined Loeb Rhoades & Company, Inc. where she was responsible for developing and managing a managed futures program that, in 1979, became the trading
system for Westchester Commodity Management, an independent commodity-trading advisor of which Ms. Goodman was a founder and principal. From 1983 through mid-1986, Ms. Goodman was employed as a marketing executive at Commodities Corp.
(USA) of Princeton, New Jersey. Ms. Goodman was a Director of the Managed Futures Trade Association from 1987 to 1991 and a Director of its successor organization, the Managed Futures Association, from 1991 to 1995 (now the Managed Funds
Association). Ms. Goodman graduated from Stanford University with a B.A. degree in psychology in 1974.

Ms. Goodman is married to Mr. Marc
Goodman.

Mr. Braxton Glasgow III (born 1953) has been a principal, associated person, branch manager and NFA associate member of the Managing
Owner since June 21, 2001, June 21, 2001, July 13, 2004 and June 8, 2001, respectively. Mr. Glasgow has been an Executive Vice President of the Managing Owner since joining the Managing Owner in May 2001.
Mr. Glasgow is responsible for business development. Previously, he served as Executive Vice President, Director of Client Services and a Principal at Chesapeake Capital Corp., a commodities trading firm, and as Senior Managing Director at
Signet Investment Banking Co. Mr. Glasgow began his career at PricewaterhouseCoopers, where he specialized in mergers and acquisitions and private equity, including extensive work in Europe and the Far East. Mr. Glasgow received a B.S. in
Accounting from the University of North Carolina at Chapel Hill and is a Certified Public Accountant. From 1994 to 1995, he was President of the Jay Group Ltd. Mr. Glasgow received a B.S. degree in accounting from the University of North
Carolina in 1975.

Ms. Maureen D. Howley (born 1967) has been a principal of the Managing Owner since August 11, 2003. She has been a
Senior Vice President and Chief Financial Officer of the Managing Owner since joining the Managing Owner in July 2003. She is responsible for corporate finance. From July 2001 until July 2003, Ms. Howley was an Associate at Andor Capital
Management, LLC, an equity hedge fund company. At Andor, she was responsible for managing the corporate accounting functions. Previously, she was the Controller at John W. Henry & Company, Inc., a commodity-trading advisor
(JWH), where she held positions of increasing responsibility from September 1996 to July 2001. She began her career at Deloitte & Touche where she specialized in the financial services industry. She held many positions of
increasing responsibility for seven years, and left as an Audit Senior Manager in September 1996 to join JWH. Ms. Howley received a B.A. in Accounting from Muhlenberg College in 1989 and designation as a Certified Public Accountant in 1990.

Mr. Lawrence S. Block (born 1967) has been a Senior Vice President and General Counsel of the Managing Owner since joining the Managing
Owner in March 2005. Prior to joining the Managing Owner, Mr. Block was a Managing Director and General Counsel of Lipper & Company, L.P., a New York-based investment management firm, from January 1998 until March 2005. Prior to
joining Lipper & Company, Mr. Block was a senior associate at the law firm Cadwalader, Wickersham & Taft in New York from May 1996 through December 1997. Mr. Block also worked as an associate at the law firm Proskauer
Rose Goetz & Mendelsohn from September 1992 through May 1996. Mr. Block received a B.S. in Business Administration with a concentration in Accounting from the University of North Carolina at Chapel Hill in 1989 and a J.D. from the
University of Pennsylvania School of Law in 1992. Mr. Blocks registration as a principal of the Managing Owner has been effective since March 17, 2005.

Mr. David K. Spohr (born 1963), Senior Vice President and Director of Fund Administration of the Managing Owner, joined the Managing Owner in 2005. He is responsible for the development and execution
of the administration group support responsibilities and, as Director of Fund Administration, functions as the Principal Financial/Accounting Officer of Registrant. From 2002 to 2005, Mr. Spohr was a Vice President at Safra Group, where he was
responsible for the Alternative Investment



15



---

operations, tax reporting and pricing valuation. From 2000 to 2002, he was a consultant to The Safra Group. From 1994-1999, he was Manager of Investment
Services for the Bank of Bermuda, supporting private client transactions. From 1993 to 1994, he was the Manager of Global Operations for Highbridge Capital Corporation during the funds infancy. Mr. Spohr received a B.S. in Business
Economics from The State University of New York College at Oneonta in 1985 and designation as a Chartered Financial Analyst in 1998.

Ms. Joanne D. Rosenthal (born 1965) has been a principal, associated person and NFA associate member of the Managing Owner since February 29, 2000, February 29, 2000 and November 30, 1999, respectively.
Ms. Rosenthal is Senior Vice President and Director of Portfolio Management and Implementation for the Managing Owner. Prior to joining the Managing Owner in October 1999, Ms. Rosenthal spent nine years at The Chase Manhattan Bank, in
various positions of increasing responsibility. From July 1991 through April 1994, she managed the Trade Execution Desk and from May 1994 through September 1999, she was a Vice President and Senior Portfolio Manager of Chase Alternative Asset
Management, Inc. Ms. Rosenthal received a Masters of Business Administration with a concentration in Finance from Cornell University and a Bachelor of Arts in Economics from Concordia University in Montreal, Canada.

Mr. Peter J. Fell (born 1960), Senior Vice President and Director of Due Diligence since joining the Managing Owner in September 2004. He is responsible
for manager selection and due diligence. Mr. Fell is a member of the Investment Committee. From 2000 through August 2004, Mr. Fell was a founding partner and Investment Director of Starview Capital Management. Prior to co-founding Starview
Capital Management, Mr. Fell was Vice President of Research and Product Development at Merrill Lynch Investment Partners Inc (MLIP). He was responsible for the investment evaluation and recommendation process pertaining to MLIP funds and sat on
MLIPs Investment Committee. Prior to joining MLIP, Mr. Fell had been with Deutsche Bank Financial Products Corporation for six years starting in 1989, where he was Vice President in the over-the-counter fixed income derivatives area. From
1985 to 1989, he was employed by Manufacturers Hanover Trust Company, ultimately holding the position of Assistant Vice President in the Swaps and Futures Group. Mr. Fell holds an A.B. cum laude in Music Theory and History and an M.B.A. in
Finance from Columbia University.

Ms. Melissa Cohn (born 1960), Vice President and Senior Research Analyst, joined the Managing Owner in 1988.
Her responsibilities include manager due diligence, manager analysis, and portfolio/risk management. Ms. Cohn has been involved in the futures industry for over 20 years. Prior to joining the Managing Owner, she spent six years in positions of
increasing responsibility in the Commodities Division at Shearson Lehman Hutton Inc. Her experience includes that of Sales Assistant, Assistant Commodity Trader and Trader executing orders from numerous CTAs that traded through Shearson.
Ms. Cohn graduated from the University of Wisconsin Madison with a B.S. in Agriculture in 1982.

Ms. Jennifer S. Moros (born 1970)
has been a Senior Vice President, Marketing and Investor Relations of the Managing Owner since joining the Managing Owner in January 2007. From October 2006 until December 2006, she worked at The Bank of New York. Previously, she was the Chief
Operating Officer and Director of Marketing of Coronat Capital Management, LLC, a small start-up hedge fund, from November 2004 until September 2005. Previously, she was Vice President and Product Manager at Credit Suisse in their Alternative
Capital Division from February 2000 until November 2004, responsible for marketing, new product development and reporting for their fund of hedge funds business. From June 1998 to January 2000, she was a Senior Associate in the Marketing and
Business Development areas at Zweig-DiMenna, a large long/short equity hedge fund. Prior to this, she was employed at Symphony Alternative Investments, an alternatives pension consulting firm, from July 1997 to June 1998, where she was responsible
for quantitative and qualitative assessments and recommendations of alternative investments including hedge funds, private equity and venture capital for large institutional clients. From November 1993 until July 1995, Ms. Moros was a Financial
Analyst at Bankers Trust and a Business Applications Analyst at National Westminster Bancorp from August 1992 until November 1993. Ms. Moros received an M.B.A in Finance from The Sloan School at the Massachusetts Institute of Technology in 1997
and a B.S. in Economics from The Wharton School of the University of Pennsylvania in 1992.

Section 16(a) Beneficial Ownership Reporting
Compliance

Certain of the Managing Owners directors and officers and any persons holding more than ten percent of the Registrants
Limited Interests (Ten Percent Owners) are required to report their initial ownership of Interests and any subsequent changes in that ownership to the Securities and Exchange Commission (the SEC) on Forms 3, 4
or 5. Such directors and officers and Ten Percent Owners are required by SEC regulations to furnish the Registrant with copies of all Forms 3, 4 and 5 they file. There are no Ten Percent Owners of the Registrants Limited Interests. All filing
requirements of Section 16(a) of the Exchange Act were timely complied with during the fiscal year. In making these disclosures, the Registrant has relied solely on written representations of the Managing Owners directors and officers and
the Registrants Ten Percent Owners or copies of the reports that they have filed with the SEC during and with respect to its most recent fiscal year.

Audit Committee Financial Expert

The Registrant itself does not have any employees. Preferred serves as Managing Owner of the
Registrant. The Board of Directors of Preferred has delegated audit committee responsibilities to the Internal Controls and Disclosure Committee. David K. Spohr is Preferreds Director of Fund Administration (and, in that capacity, functions as
Registrants Principal Financial/Accounting Officer), is a member of the Internal Controls and Disclosure Committee, and serves as the audit committee financial expert for Registrant. Mr. Spohr is not a member of
Preferreds Board of Directors and he is not independent of management.



16



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Code of Ethics

Preferred has adopted a Code of Ethics for its 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), accounting managers and persons performing similar functions. A copy of the Code of Ethics is attached as an exhibit hereto.



|Item 11. | Executive Compensation
|-------- | ----------------------

The Registrant does not pay or accrue any
fees, salaries or any other form of compensation for officers of the Managing Owner for their services. (See also Item 13, Certain Relationships and Related Transactions, for information regarding compensation to the Managing Owner).



|Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters
|-------- | ----------------------------------------------------------------------------------------------

As of February 1, 2007, Preferred maintains a 1% Managing Owner Interest in the Registrant. As of February 1, 2007, all of Preferreds stock is owned indirectly and equally by Messrs. Goodman and
Shewer, Preferreds sole directors.

As of February 1, 2007, the following officers of the Managing Owner are deemed to own beneficially the
following number of Interests issued by the Registrant:



|                  |  |                                       |  |                                          |  |                 
|----------------- |  | ------------------------------------- |  | ---------------------------------------- |  | ----------------
|Title of Class    |  | Name and Addresses ofBeneficial Owner |  | Amount and Nature ofBeneficial Ownership |  | Percent of Class
|General Interests |  | Marc S. Goodman                       |  |                                          |  |                 
|                  |  | 900 King Street, Suite 100            |  |                                          |  |                 
|                  |  | Rye Brook, New York 10573             |  | 646 General Interests (*)                |  | 100%            
|                  |  |                                       | 
|General Interests |  | Kenneth A. Shewer                     |  |                                          |  |                 
|                  |  | 900 King Street, Suite 100            |  |                                          |  |                 
|                  |  | Rye Brook, New York 10573             |  | 646 General Interests (*)                |  | 100%            
|                  |  |                                       | 
|General Interests |  | Esther E. Goodman                     |  |                                          |  |                 
|                  |  | 900 King Street, Suite 100            |  |                                          |  |                 
|                  |  | Rye Brook, New York 10573             |  | 646 General Interests (**)               |  | 100%            

---

|(*) | These Interests are held indirectly through Preferred. The Beneficial Owner disclaims beneficial ownership over such securities for purposes of Section 16 of the Securities
Exchange Act of 1934, except to the extent of his pecuniary interest therein.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(**) | These Interests are held by the Beneficial Owners spouse indirectly through Preferred. The Beneficial Owner disclaims beneficial ownership over such securities for purposes of
Section 16 of the Securities Exchange Act of 1934, except to the extent of her pecuniary interest therein.
|---- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

As of February 1, 2007,
no Unitholder beneficially owned more than five percent (5%) of the outstanding Limited Interests issued by the Registrant.



|Item 13. | Certain Relationships and Related Transactions, and Director Independence
|-------- | -------------------------------------------------------------------------

The Registrant has and will continue to have certain relationships with the Managing Owner and its affiliates. However, there have been no direct financial transactions between the Registrant and the directors or officer of the Managing
Owner.

Reference is made to Notes 1, 3 and 4 to the financial statements in the Registrants 2006 Annual Report which is filed as an exhibit hereto,
which identify the related parties and discuss the services provided by these parties and the amounts paid or payable for their services.

Director
Independence

David K. Spohr is Preferreds Director of Fund Administration (and, in that capacity, functions as Registrants Principal
Financial/Accounting Officer), is a member of the Internal Controls and Disclosure Committee, and serves as the audit committee financial expert for Registrant. Mr. Spohr is not a member of Preferreds Board of Directors and he
is not independent of management.



|Item 14. | Principal Accounting Fees and Services
|-------- | --------------------------------------

Audit Fees and All Other
Fees

The independent registered public accounting firm for the years ended December 31, 2006 and 2005 was Deloitte & Touche LLP
(D&T).



17



---

Audit Fees

Fees for
audit services totaled approximately $57,500, $56,000 ($45,000 to D&T and $11,000 to Arthur F. Bell, Jr. & Associates, L.L.C.) for 2006 and 2005, respectively, including fees associated with the annual audit and the reviews of the
Registrants quarterly reports on Form 10-Q.



|(d) | Audit-Related Fees.
|--- | -------------------

The audit-related fees billed to Registrant by
D&T for the last fiscal year for products and services other than the services reported above totaled $0 for the year ended December 31, 2006 and approximately $0 for the year ended December 31, 2005.



|(c) | Tax Fees
|--- | --------

Fees for tax services by Arthur F. Bell, Jr. &
Associates, L.L.C, including tax compliance and tax advice totaled approximately $7,000, and $7,600 in 2006 and 2005, respectively.

We have been advised
by D&T that neither the firm, nor any member of the firm, has any financial interest, direct or indirect, in any capacity in the Registrant or its affiliates.



|(d) | All Other Fees.
|--- | ---------------

The other fees billed to Registrant by D&T for
the last fiscal year for products and services other than the services reported above totaled $0 for the year ended December 31, 2006 and approximately $0 for the year ended December 31, 2005.



18



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PART IV



|          |  |                                         |  |                                                                                                                                                                                                                                                                                                                                                                                                                     |  |      
|--------- |  | --------------------------------------- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -----
|          |  |                                         |  | Annual Report Page Number                                                                                                                                                                                                                                                                                                                                                                                          
|Item  15. |  | Exhibits, Financial Statement Schedules |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|          |  |                                         | 
|(a)       |  | 1.                                      |  | Financial Statements and Report of Independent Registered Public Accounting                                                                                                                                                                                                                                                                                                                                         |  |      
|          |  |                                         | 
|          |  |                                         |  | Firm incorporated by reference to the Registrants 2006 Annual Report which is filed as an exhibit hereto                                                                                                                                                                                                                                                                                                           |  |      
|          |  |                                         | 
|          |  |                                         |  | Report of Independent Registered Public Accounting Firm  Deloitte & Touche LLP                                                                                                                                                                                                                                                                                                                                     |  | 1    
|          |  |                                         | 
|          |  |                                         |  | Report of Independent Registered Public Accounting Firm  Arthur F. Bell, Jr. & Associates, L.L.C.                                                                                                                                                                                                                                                                                                                  |  | 2    
|          |  |                                         | 
|          |  |                                         |  | Financial Statements:                                                                                                                                                                                                                                                                                                                                                                                               |  |      
|          |  |                                         | 
|          |  |                                         |  | Statements of Financial Condition  December 31, 2006 and 2005                                                                                                                                                                                                                                                                                                                                                      |  | 3    
|          |  |                                         | 
|          |  |                                         |  | Condensed Schedules of Investments  At December 31, 2006 and 2005                                                                                                                                                                                                                                                                                                                                                  |  | 4    
|          |  |                                         | 
|          |  |                                         |  | Statements of Operations  Three years ended December 31, 2006                                                                                                                                                                                                                                                                                                                                                      |  | 5    
|          |  |                                         | 
|          |  |                                         |  | Statements of Changes in Trust Capital  Three years ended December 31, 2006                                                                                                                                                                                                                                                                                                                                        |  | 6    
|          |  |                                         | 
|          |  |                                         |  | Notes to Financial Statements                                                                                                                                                                                                                                                                                                                                                                                       |  | 7 13
|          |  |                                        
|          |  | 2.                                      |  | Financial Statement Schedules                                                                                                                                                                                                                                                                                                                                                                                      
|          |  |                                        
|          |  |                                         |  | All schedules have been omitted because they are not applicable or the required information is included in the financial statements or the notes thereto                                                                                                                                                                                                                                                           
|          |  |                                        
|          |  | 3.                                      |  | Exhibits                                                                                                                                                                                                                                                                                                                                                                                                           
|          |  |                                        
|          |  |                                         |  | Description:                                                                                                                                                                                                                                                                                                                                                                                                       
|          |  |                                        
|          |  | 4.1                                     |  | Second Amended and Restated Declaration of Trust Agreement of Diversified Futures Trust I dated as of October 1, 2004 (incorporated by reference to Exhibit 4.1 of the
Registrants Annual Report on Form 10-K for the period ended December 31, 2005)                                                                                                                                                             
|          |  |                                        
|          |  | 4.2                                     |  | Subscription Agreement (incorporated by reference to Exhibit C to the Registrants Registration Statement on Form S-1, File No. 33-81534, dated as of September 13,
1994)                                                                                                                                                                                                                                          
|          |  |                                        
|          |  | 4.3                                     |  | Request for Redemption (incorporated by reference to Exhibit D to the Registrants Registration Statement on Form S-1, File No. 33-81534, dated as of September 13,
1994)                                                                                                                                                                                                                                          
|          |  |                                        
|          |  | 4.4                                     |  | The Privacy Notices of the Managing Owner.                                                                                                                                                                                                                                                                                                                                                                         
|          |  |                                        
|          |  | 10.1                                    |  | Escrow Agreement, dated September 14, 1994, among the Registrant, Prudential Securities Futures Management Inc., Prudential Securities Incorporated and The Bank of New York
(incorporated by reference to Exhibit 10.1 of Registrants Quarterly Report on Form 10-Q for the period ended September 30, 1994)                                                                                                     
|          |  |                                        
|          |  | 10.2                                    |  | Brokerage Agreement, dated as of January 4, 1995, between the Registrant and Prudential Securities Incorporated (incorporated by reference to Exhibit 10.2 of Registrants
Annual Report on Form 10-K for the period ended December 31, 1994)                                                                                                                                                                      
|          |  |                                        
|          |  | 10.3                                    |  | Advisory Agreement dated as of September 13, 1994 among the Registrant, Prudential Securities Future Management, Inc., and John W. Henry & Co., Inc. (incorporated by reference
to Exhibit 10.3 of Registrants Quarterly Report on Form 10-Q for the period ended period ended September 30, 1994)                                                                                                                
|          |  |                                        
|          |  | 10.4                                    |  | Representation Agreement Concerning the Registration Statement and the Prospectus, dated as of September 13, 1994 among the Registrant, Prudential Securities Futures Management,
Inc., Prudential Securities Inc., Wilmington Trust Company and John W. Henry & Company, Inc. (incorporated by reference to Exhibit10.4 of the Registrants Quarterly Report on Form 10-Q for the period ended September 30,
1994)



19



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| |  |       |  |                                                                                                                                                                                                                                                                                                            
| |  | ----- |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| |  |      
| |  | 10.5  |  | Net Worth Agreement, dated as of September 13, 1994 between Prudential Securities Futures Management, Inc. and Prudential Securities (incorporated by reference to Exhibit 10.5 of
Registrants Quarterly Report on Form 10-Q for the period ended September 30, 1994)                                     
| |  |      
| |  | 10.6  |  | Secured Demand Note, dated as of January 4, 1995 between Prudential Securities Group, Inc. and Prudential Securities Futures Management Inc. (incorporated by reference to Exhibit 10.6 of
Registrants Annual Report on Form 10-K for the year ended December 31, 1994)                                   
| |  |      
| |  | 10.7  |  | Secured Demand Note Collateral Agreement, dated as of January 4, 1995, between Prudential Securities Futures Management Inc. and Prudential Securities Group Inc.(incorporated by reference to
Exhibit 10.7 of the Registrants Annual Report on Form 10-K for the year ended December 31, 1994)           
| |  |      
| |  | 10.8  |  | Form of Foreign Currency Addendum to Brokerage Agreement between the Registrant and Prudential Securities Incorporated (incorporated by reference to Exhibit 10.8 of the Registrants
Quarterly Report on Form 10-Q for the period ended March 31, 1996)                                                   
| |  |      
| |  | 10.9  |  | Amendment to Advisory Agreement, dated October 1, 2000, among the Registrant, Prudential Securities Futures Management, Inc. and John W. Henry & Company, Inc. (incorporated by reference
to Exhibit 10.9 of the Registrants Quarterly Report on Form 10-Q for the period ended September 30, 2000)       
| |  |      
| |  | 10.10 |  | Advisory Agreement, dated as of February 14, 2003, among the Registrant, Prudential Securities Futures Management Inc., and Aspect Capital Limited (incorporated by reference to Exhibit 10.10
of the Registrants Annual Report on 10-K for the year ended December 31, 2002)                             
| |  |      
| |  | 10.11 |  | Advisory Agreement, dated as of February 7, 2003, among the Registrant, Prudential Securities Futures Management, Inc., and Graham Capital Management, L.P. (incorporated by reference to
Exhibit 10.11 of the Registrants Annual Report on Form 10-K for the year ended December 31, 2002)               
| |  |      
| |  | 10.12 |  | Advisory Agreement, dated as of February 3, 2003, among the Registrant, Prudential Securities Futures Management Inc., and Appleton Capital Management Limited (incorporated by reference to
Exhibit 10.12 of the Registrants Annual Report on Form 10-K for the year ended December 31, 2003)            
| |  |      
| |  | 10.13 |  | Service Agreement among the Registrant, Prudential Securities Futures Management Inc. and Wachovia Securities, LLC dated as of July 1, 2003 (incorporated by reference to Exhibit 10.13 of the
Registrants Annual Report on Form 10-K for the year ended December 31, 2003)                               
| |  |      
| |  | 10.14 |  | Novation letter among the Trust, Trading Advisor and Managing Owner dated September 14, 2004 (incorporated by reference to Exhibit 10.14 of the Registrants Annual Report on Form 10-K
for the year ended December 31, 2005)                                                                              
| |  |      
| |  | 10.15 |  | Letter Agreement Amending and Restating Brokerage Agreements between the Managing Owner and Prudential Financial Derivatives, LLC dated October 1, 2004 (incorporated by reference to Exhibit
10.15 of the Registrants Annual Report on Form 10-K for the year ended December 31, 2005)                   
| |  |      
| |  | 13.1  |  | Registrants 2006 Annual Report (with the exception of the information and data incorporated by reference in Items 7 and 8 of this Annual Report on Form 10-K, no other information or
data appearing in the Registrants 2005 Annual Report is to be deemed filed as part of this report) (filed herewith)
| |  |      
| |  | 14.1  |  | Preferred Investment Solutions Corp. Code Of Ethics (adopted pursuant to Section 406 of Sarbanes Oxley Act of 2002) as of October 10, 2006                                                                                                                                                                 
| |  |      
| |  | 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 (furnished 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 (furnished herewith)                                                                                                                                                                 



20



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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, on the 30thday of March 2007.



|                            |  |                                     
|--------------------------- |  | ------------------------------------
|DIVERSIFIED FUTURES TRUST I
|                            | 
|By:                         |  | Preferred Investment Solutions Corp.
|                            |  | Managing Owner                      



| |  |     |  |                                                           |  |                      |  |  |  | 
| |  | --- |  | --------------------------------------------------------- |  | -------------------- |  |  |  | 
| |  | By: |  | /s/ David K. Spohr                                        |  | Date: March 30, 2007 |  | 
| |  |     |  | David K. Spohr                                            |  |                      |  | 
| |  |     |  | Senior Vice President and Director of Fund Administration |  |                      |  | 

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the
following persons on behalf of the Registrant in the capacities indicated on March 30, 2007.



|                            |  |                                     
|--------------------------- |  | ------------------------------------
|DIVERSIFIED FUTURES TRUST I
|                            | 
|By:                         |  | Preferred Investment Solutions Corp.
|                            |  | Managing Owner                      



| |  |     |  |                                                           |  |                      |  |  |  | 
| |  | --- |  | --------------------------------------------------------- |  | -------------------- |  |  |  | 
| |  | By: |  | /s/ Kenneth A. Shewer                                     |  | Date: March 30, 2007 |  | 
| |  |     |  | Kenneth A. Shewer                                         |  |                      |  | 
| |  |     |  | Co-Chief Executive Officer                                |  |                      |  | 
| |  |     |  | (Principal Executive Officer)                             |  |                      |  | 
| |  |     |  |                                                          
| |  | By: |  | /s/ David K. Spohr                                        |  | Date: March 30, 2007 |  | 
| |  |     |  | David K. Spohr                                            |  |                      |  | 
| |  |     |  | Senior Vice President and Director of Fund Administration |  |                      |  | 
| |  |     |  | (Principal Financial/Accounting Officer)                  |  |                      |  | 



---

OTHER INFORMATION

The actual round turn equivalent of brokerage commissions paid per trade for the year ended December 31, 2006 was $4.15.

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



| |  |                                        
| |  | ---------------------------------------
| |  | Diversified Futures Trust I            
| |  | c/o Preferred Investment Solutions Corp
| |  | 900 King Street, Suite 100             
| |  | Rye Brook, NY 10573