<Page>
                          LETTER TO LIMITED OWNERS FOR
                          DIVERSIFIED FUTURES TRUST I

                                       1

<Page>

PricewaterhouseCoopers (LOGO)

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

                       Report of Independent Accountants

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

In our opinion, the accompanying statements of financial condition, including
the condensed schedule of investments, and the related statements of operations
and changes in trust capital present fairly, in all material respects, the
financial position of Diversified Futures Trust I at December 31, 2001 and 2000,
and the results of its operations and changes in trust capital for each of the
three years in the period ended December 31, 2001 in conformity with accounting
principles generally accepted in the United States of America. These financial
statements are the responsibility of the Managing Owner; our responsibility is
to express an opinion on these financial statements based on our audits. We
conducted our audits of these statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by the Managing Owner, and evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.

/s/ PricewaterhouseCoopers LLP

January 25, 2002

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                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
                                                                               December 31,
                                                                      -------------------------------
                                                                          2001              2000
-----------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
ASSETS
Cash                                                                   $23,096,296      $  26,730,111
Net unrealized gain (loss) on open futures contracts                       (80,717)         4,674,695
Net unrealized gain on open forward contracts                            1,281,566            870,491
                                                                      -------------     -------------
Net equity                                                              24,297,145         32,275,297
Other receivable                                                             4,852              7,523
                                                                      -------------     -------------
Total assets                                                           $24,301,997      $  32,282,820
                                                                      -------------     -------------
                                                                      -------------     -------------
LIABILITIES AND TRUST CAPITAL
Liabilities
Redemptions payable                                                    $   591,415      $   2,980,451
Management fees payable                                                     40,503             53,805
                                                                      -------------     -------------
Total liabilities                                                          631,918          3,034,256
                                                                      -------------     -------------
Commitments

Trust capital
Limited interests (128,587.499 and 151,627.034 interests
outstanding)                                                            23,433,353         28,956,000
General interests (1,299 and 1,532 interests outstanding)                  236,726            292,564
                                                                      -------------     -------------
Total trust capital                                                     23,670,079         29,248,564
                                                                      -------------     -------------
Total liabilities and trust capital                                    $24,301,997      $  32,282,820
                                                                      -------------     -------------
                                                                      -------------     -------------

Net asset value per limited and general interests ('Interests')        $    182.24      $      190.97
                                                                      -------------     -------------
                                                                      -------------     -------------
-----------------------------------------------------------------------------------------------------
          The accompanying notes are an integral part of these statements.
</Table>

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                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                       CONDENSED SCHEDULE OF INVESTMENTS
                              At December 31, 2001
<Table>
<Caption>
                                                                 Net Unrealized
                                                                   Gain (Loss)
                                                                    as a % of            Net Unrealized
Futures and Forward Contracts                                     Trust Capital            Gain (Loss)
--------------------------------------------------------------------------------------------------------
<S>                                                              <C>                     <C>
Futures contracts purchased:
  Interest rates                                                                           $    20,022
  Stock Indices                                                                                (18,901)
  Commodities                                                                                 (194,643)
                                                                                         ---------------
     Net unrealized loss on futures contracts purchased               (0.82)%                 (193,522)
                                                                                         ---------------
Futures contracts sold:
  Interest rates                                                                               241,725
  Commodities                                                                                 (128,920)
                                                                                         ---------------
     Net unrealized loss on futures contracts sold                     0.48%                   112,805
                                                                    -------              ---------------
Net unrealized loss on futures contracts                              (0.34)%              $   (80,717)
                                                                    -------              ---------------
                                                                    -------              ---------------
Forward contracts purchased:
  Net unrealized gain on forward contracts purchased                   0.01%               $     2,425
                                                                    -------              ---------------
                                                                    -------              ---------------
Forward contracts sold:
  Japanese yen/U.S. dollar--crossrates                                 6.01%                 1,423,296
  Other                                                               (0.61)%                 (144,155)
                                                                    -------              ---------------
     Net unrealized gain on forward contracts sold                     5.40%                 1,279,141
                                                                    -------              ---------------
Net unrealized gain on forward contracts                               5.41%               $ 1,281,566
                                                                    -------              ---------------
                                                                    -------              ---------------
Settlement Currency--Futures Contracts
  British pound                                                        0.10%               $    24,354
  Euro                                                                 1.23%                   291,620
  Japanese yen                                                        (0.36)%                  (84,540)
  Canadian dollar                                                      0.11%                    26,431
  Australian dollar                                                    0.16%                    36,474
  U.S. dollar                                                         (1.58)%                 (375,056)
                                                                                         ---------------
     Total                                                            (0.34)%              $   (80,717)
                                                                    -------              ---------------
                                                                    -------              ---------------
Settlement Currency--Forward Contracts
     U.S. dollar                                                       5.41%               $ 1,281,566
                                                                    -------              ---------------
                                                                    -------              ---------------
--------------------------------------------------------------------------------------------------------
        The accompanying notes are an integral part of these statements.
</Table>

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                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
                            STATEMENTS OF OPERATIONS
<Table>
<Caption>
                                                                    Year Ended December 31,
                                                           -----------------------------------------
                                                              2001           2000           1999
----------------------------------------------------------------------------------------------------
<S>                                                        <C>            <C>            <C>
REVENUES
Net realized gain (loss) on commodity transactions         $ 4,895,823    $(1,013,488)   $ 1,647,081
Change in net unrealized gain/loss on open commodity
  positions                                                 (4,344,337)     4,077,833     (4,729,859)
Interest income                                              1,108,696      1,954,128      2,663,074
                                                           -----------    -----------    -----------
                                                             1,660,182      5,018,473       (419,704)
                                                           -----------    -----------    -----------
EXPENSES
Commissions                                                  2,101,789      2,440,604      4,181,083
Management fees                                                541,645      1,128,866      2,142,642
Incentive fees                                                      --             --        252,445
                                                           -----------    -----------    -----------
                                                             2,643,434      3,569,470      6,576,170
                                                           -----------    -----------    -----------
Net income (loss)                                          $  (983,252)   $ 1,449,003    $(6,995,874)
                                                           -----------    -----------    -----------
                                                           -----------    -----------    -----------
ALLOCATION OF NET INCOME (LOSS)
Limited interests                                          $  (973,419)   $ 1,434,508    $(6,925,889)
                                                           -----------    -----------    -----------
                                                           -----------    -----------    -----------
General interests                                          $    (9,833)   $    14,495    $   (69,985)
                                                           -----------    -----------    -----------
                                                           -----------    -----------    -----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE LIMITED AND
GENERAL INTEREST
Net income (loss) per weighted average limited and
  general interest                                         $     (6.92)   $      7.27    $    (25.53)
                                                           -----------    -----------    -----------
                                                           -----------    -----------    -----------
Weighted average number of limited and general interests
  outstanding                                                  142,013        199,216        274,040
                                                           -----------    -----------    -----------
                                                           -----------    -----------    -----------
----------------------------------------------------------------------------------------------------
</Table>

                     STATEMENTS OF CHANGES IN TRUST CAPITAL
<Table>
<Caption>
                                                              LIMITED        GENERAL
                                             INTERESTS       INTERESTS      INTERESTS        TOTAL
<S>                                         <C>             <C>             <C>           <C>
-----------------------------------------------------------------------------------------------------
Trust capital--December 31, 1998            293,357.624     $58,348,534     $589,465      $58,937,999
Net loss                                                     (6,925,889)     (69,985 )     (6,995,874)
Redemptions                                 (59,994.756)    (11,264,408)    (113,775 )    (11,378,183)
                                            -----------     -----------     ---------     -----------
Trust capital--December 31, 1999            233,362.868      40,158,237      405,705       40,563,942
Net income                                                    1,434,508       14,495        1,449,003
Redemptions                                 (80,203.834)    (12,636,745)    (127,636 )    (12,764,381)
                                            -----------     -----------     ---------     -----------
Trust capital--December 31, 2000            153,159.034      28,956,000      292,564       29,248,564
Net loss                                             --        (973,419)      (9,833 )       (983,252)
Redemptions                                 (23,272.535)     (4,549,228)     (46,005 )     (4,595,233)
                                            -----------     -----------     ---------     -----------
Trust capital--December 31, 2001            129,886.499      23,433,353      236,726       23,670,079
                                            -----------     -----------     ---------     -----------
                                            -----------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
         The accompanying notes are an integral part of these statements.
</Table>

                                       5

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

A. General

   Diversified Futures Trust I (the 'Trust') was organized under the Delaware
Business Trust Act on May 18, 1994 and will continue until December 31, 2014
unless terminated sooner under the provisions of the Amended and Restated
Declaration of Trust and Trust Agreement (the 'Trust Agreement'). The Trust was
formed to engage in the speculative trading of commodity futures and forward
contracts. The Trust's trustee is Wilmington Trust Company. The managing owner
of the Trust is Prudential Securities Futures Management Inc. (the 'Managing
Owner'), a wholly owned subsidiary of Prudential Securities Incorporated
('PSI'), which, in turn, is an indirect wholly owned subsidiary of Prudential
Financial, Inc. PSI was the principal underwriter for the Trust and is its
commodity broker. The Managing Owner is required to maintain at least a 1%
interest in the Trust so long as it is acting as the Managing Owner.

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

   All trading decisions are made for the Trust by John W. Henry & Company, Inc.
(the 'Trading Manager'), an independent commodity trading manager. The Trading
Manager trades the Trust's assets pursuant to four of its trading programs: the
Financial and Metals Portfolio; the Global Financial Portfolio; the Original
Investment Program; and the G-7 Currency Portfolio. The Managing Owner retains
the authority to override trading instructions that violate the Trust's trading
policies.

B. Summary of Significant Accounting Policies

Basis of accounting

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

   Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value is reflected as net unrealized gain or
loss. The market value of each contract is based upon the closing quotation on
the exchange, clearing firm or bank on, or through, which the contract is
traded.

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

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

Income taxes

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

                                       6

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Profit and loss allocation, distributions and redemptions

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

   Distributions (other than redemptions of Interests) are made at the sole
discretion of the Managing Owner on a pro rata basis in accordance with the
respective capital accounts of the Interest holders. No distributions have been
made since inception.

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last business day of any calendar quarter at the then current NAV per
Interest.

Financial Reporting by Commodity Pools

   During March 2001, the Accounting Standards Executive Committee ('AcSEC')
issued Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of
Position 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
Include Commodity Pools, which is effective for financial statements issued for
periods ending after December 15, 2001. This SOP amends SOP 95-2, Financial
Reporting by Nonpublic Investment Partnerships, to include within its scope
commodity pools such as the Trust. Under the new requirements, the Trust is
required to present a condensed schedule of investments and certain other
information in accordance with the American Institute of Certified Public
Accountants' Audit and Accounting Guide 'Audits of Investment Companies.' The
adoption of the requirements of SOP 01-1 has not had a material effect on the
Trust's financial position or results of operations.

C. Fees

Organizational and general and administrative costs

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

Management and incentive fees

   The Trust pays the Trading Manager a monthly management fee and quarterly
incentive fee. Effective on October 1, 2000, the Advisory Agreement among the
Trust, the Managing Owner and the Trading Manager was amended (the 'Amended
Advisory Agreement'). The Amended Advisory Agreement reduced the monthly
management fee paid to the Trading Manager from 1/3 of 1% (a 4% annual rate) of
the Trust's NAV as of the end of each month to 1/6 of 1% (a 2% annual rate).
Additionally, if the Trading Manager achieves 'New High Net Trading Profits' (as
defined in the Amended Advisory Agreement), the Trading Manager will earn a 20%
incentive fee as compared to a 15% incentive fee previously paid.

Commissions

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

D. Related Parties

   The Managing Owner and its affiliates perform services for the Trust which
include, but are not limited to: brokerage services; accounting and financial
management; registrar, transfer and assignment functions; investor
communications; printing and other administrative services. Except for costs
related to brokerage services, PSI or its affiliates pay the costs of these
services as well as the Trust's routine operational, administrative, legal and
auditing costs.

   The costs charged to the Trust for brokerage services for the years ended
December 31, 2001, 2000 and 1999 were $2,101,789, $2,440,604 and $4,181,083,
respectively.

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

                                       7

<Page>

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

   As of December 31, 2001, a non-U.S. affiliate of the Managing Owner owned
578.511 Limited Interests of the Trust.

E. Income Taxes

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

F. Derivative Instruments and Associated Risks

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

Market Risk

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

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

Credit Risk

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

   The Managing Owner attempts to minimize both credit and market risks by
requiring the Trust and its trading manager to abide by various trading
limitations and policies. The Managing Owner monitors compliance with these
trading limitations and policies, which include, but are not limited to,
executing and clearing all trades with creditworthy counterparties; limiting the
amount of margin or premium required for any one

                                       8
 
<PAGE>
<Page>

commodity or all commodities combined; and generally limiting transactions to
contracts which are traded in sufficient volume to permit the taking and
liquidating of positions. Additionally, pursuant to the Advisory Agreement among
the Trust, the Managing Owner and the Trading Manager, the Trust shall
automatically terminate the Trading Manager if the net asset value allocated to
the Trading Manager declines by 33 1/3% from the value at the beginning of any
year or since the commencement of trading activities. Furthermore, the Amended
and Restated Declaration of Trust and Trust Agreement provides that the Trust
will liquidate its positions, and eventually dissolve, if the Trust experiences
a decline in the net asset value of 50% from the value at the beginning of any
year or since the commencement of trading activities. In each case, the decline
in net asset value is after giving effect for distributions and redemptions. The
Managing Owner may impose additional restrictions (through modifications of
trading limitations and policies) upon the trading activities of the Trading
Manager as it, in good faith, deems to be in the best interests of the Trust.

   PSI, when acting as the Trust's futures commission merchant in accepting
orders for the purchase or sale of domestic futures contracts, is required by
Commodity Futures Trading Commission ('CFTC') regulations to separately account
for and segregate as belonging to the Trust all assets of the Trust relating to
domestic futures trading (subject to the opt out provisions discussed below) and
is not to commingle such assets with other assets of PSI. At December 31, 2001,
such segregated assets totalled $14,167,550. Part 30.7 of the CFTC regulations
also requires PSI to secure assets of the Trust related to foreign futures
trading which totalled $8,848,029 at December 31, 2001. There are no segregation
requirements for assets related to forward trading.

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

   As of December 31, 2001, the Trust's open futures and forward contracts
mature within one year.

   The following table presents the fair value of futures and forward contracts
at December 31, 2000:

<Table>
<Caption>
                                                                               2000
                                                               -------------------------------------
                                                                    Assets            Liabilities
                                                               -----------------   -----------------
<S>                                                            <C>                 <C>
Futures Contracts:
  Domestic exchanges
     Interest rates                                               $ 1,022,561         $        --
     Stock indices                                                    221,700                  --
     Currencies                                                     1,479,050             111,600
     Commodities                                                      881,010             131,336
  Foreign exchanges
     Interest rates                                                   870,562                  --
     Stock indices                                                    388,967              27,913
     Commodities                                                      127,439              45,745
Forward Contracts:
  Currencies                                                          882,242              11,751
                                                               -----------------   -----------------
                                                                  $ 5,873,531         $   328,345
                                                               -----------------   -----------------
                                                               -----------------   -----------------
</Table>

                                       9

<Page>

G. Financial Highlights

<Table>
<Caption>
                                                                                  Year ended
                                                                               December 31, 2001
                                                                               -----------------
<S>                                                                            <C>
Performance per Interest
  Net asset value, beginning of period                                              $190.97
                                                                               -----------------
  Net realized gain and change in net unrealized gain/loss on commodity
     transactions                                                                      2.17
  Interest income                                                                      7.70
  Expenses                                                                           (18.60)
                                                                               -----------------
  Net decrease for the period                                                         (8.73)
                                                                               -----------------
  Net asset value, end of period                                                    $182.24
                                                                               -----------------
                                                                               -----------------
Total return                                                                          (4.57)%
Ratio to average net assets
  Interest income                                                                      4.12%
  Expenses                                                                             9.82%
</Table>

   These financial highlights represent the overall results of the Trust during
2001. An individual interest owner's actual results may differ depending on the
timing of redemptions.

                                       10

<Page>

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

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

     PRUDENTIAL SECURITIES
     FUTURES MANAGEMENT INC.
     (Managing Owner)

     By: Barbara J. Brooks
     Chief Financial Officer
-------------------------------------------------------------------------------

                                       11

<Page>

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

Liquidity and Capital Resources

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

   The Trust Agreement provides that an Interest holder may redeem its Interests
as of the last business day of any calendar quarter at the then current NAV per
Interest. Redemptions of Limited Interests for the years ended December 31,
2001, 2000 and 1999 were $4,549,228, $12,636,745 and $11,264,408, respectively.
Redemptions of General Interests for the years ended December 31, 2001, 2000 and
1999 were $46,005, $127,636 and $113,775, respectively. Redemptions of Limited
and General Interests from the commencement of operations, January 5, 1995, to
December 31, 2001 totalled $71,013,404 and $587,432, respectively. Future
redemptions will impact the amount of funds available for investment in
commodity contracts in subsequent periods.

   At December 31, 2001, 100% of the Trust's net assets were allocated to
commodities trading. A significant portion of the net assets was held in cash
which is used as margin for the Trust's trading in commodities. Inasmuch as the
sole business of the Trust is to trade in commodities, the Trust continues to
own such liquid assets to be used as margin. PSI credits the Trust monthly with
100% of the interest it earns on the average net assets in these accounts.

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

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

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

Results of Operations

   The net asset value per Interest as of December 31, 2001 was $182.24, a
decrease of 4.57% from the December 31, 2000 net asset value per Interest of
$190.97, which was an increase of 9.87% from the December 31, 1999 net asset
value per Interest of $173.82. The Zurich Fund/Pool Qualified Universe Index
(formerly the MAR Fund/Pool Index), which tracked the performance of 272 futures
funds at December 31, 2001, and, returned 7.52% and 9.41% for the years ended
December 31, 2001 and 2000, respectively. Past performance is not necessarily
indicative of future results.

                                       12

<Page>

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

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

   In foreign exchange markets, the U.S. dollar rose slightly against many
foreign currencies during the first half of the year, reflecting expectations
that some of those economies might be adversely affected by slower economic
growth in the United States. Additionally, the U.S. dollar strengthened as
investors around the globe felt that it was the safest currency in this time of
economic uncertainty. Gains were realized in short Australian dollar positions.
Short Japanese yen positions resulted in gains as well as the yen fell due to
continued signs of weakness in the Japanese economy and expectations that the
Bank of Japan would reinstate its zero-interest rate policy. The U.S. dollar
fell against most major currencies during the third quarter, particularly the
Japanese yen, the euro and the Swiss franc. The U.S. dollar's downward trend
against many currencies accelerated after the September 11th attacks. As a
result of the attacks, many investors switched exposure from the U.S. dollar to
other currencies which rose against the U.S. dollar resulting in losses for
short British pound positions. The U.S. dollar strengthened slightly towards
year-end amid hopes of an economic recovery in the U.S. economy.

   In light of the rapid weakening in economic expansion and deterioration in
business and consumer confidence, the U.S. Federal Reserve (the 'Fed') followed
a relatively aggressive policy, lowering interest rates three times during the
first quarter of 2001. Other central banks followed the Fed's lead lowering
interest rates as well. Interest rate instruments trended upward throughout most
of the second and third quarters as major central banks cut short-term interest
rates in an attempt to bolster slowing economies. The bond market rally
continued in the wake of September 11th as the Fed moved to inject liquidity
into the economy, cutting interest rates 50 basis points on September 17th to
3%. This move was soon followed by the Central Bank of Canada, the European
Central Bank and Swiss National Central Bank who also lowered their rates 50
basis points. U.S. and European interest rate instruments began the fourth
quarter up as data indicated persistent weakness in the U.S. economy. In an
effort to stimulate the economy, the Fed lowered interest rates by 50 basis
points in October and again in early November. The European Central Bank and the
Bank of England each cut rates by 50 basis points in November. In mid-November,
some positive economic news, the fall of Kabul, Afghanistan and an announcement
by the U.S. Treasury regarding the cessation of sales of 30-year bonds, resulted
in one of the greatest reversals the U.S. bond market has seen in recent times.
Interest rates climbed sharply in the U.S. and Europe causing bond prices to
fall. In December, the Fed lowered rates by another 25 basis points and bond
prices climbed slightly. Gains resulted from long U.S., euro and Australian bond
positions during the first, third and fourth quarters of the year.

   Equity markets performed poorly across the board during the first half of the
year as foreign stock markets generally followed the downtrend of the U.S.
markets. Technology stocks led this market downturn and the NASDAQ fell to its
lowest level in nearly two years. Losses in the Dow Jones and NASDAQ brought
these indexes under the key 10,000 and 2,000 levels, respectively, with the DAX,
FTSE, CAC-40 and Nikkei experiencing similar losses. Short NASDAQ, DAX and
London FTSE positions resulted in gains during the fist half of the year. The
terrorist attacks of September 11th further weakened sluggish U.S. and global
economies plunging equity markets downward throughout the world in the week
following the attacks. The Dow Jones industrial average suffered its worst
percentage loss since the Great Depression due to uncertainty about how the
economy would perform as a result of these attacks and other threats of
terrorism. U.S. equity indexes recovered somewhat at the end of September as
interest rate cuts by the Fed and fiscal stimuli by Congress combined to help
stimulate an economic rebound. Global equity markets followed suit rebounding
from earlier lows as well. U.S. and global equity markets rallied in November
amid positive developments in the war in Afghanistan and sentiment that the U.S.
economy may be emerging from recession. Equity markets reversed in December
providing a negative return for the second consecutive year. Losses incurred in
equity index positions during the fourth quarter were offset by gains during the
first and third quarters, producing net gains for the index sector.

   Energy prices generally remained high throughout most of the first quarter of
2001. Crude oil prices increased in January as OPEC announced a likely 5% cut in
production. During the second quarter, energy

                                       13

<Page>

prices fell in response to growing inventory levels of crude oil and related
products. Energy prices peaked sharply immediately after the September 11th
attacks amid worries of a potential interruption in supplies. Prices soon
reversed course as concerns of decreased demand caused by a global economic
recession outweighed fears of scarcity. Two weeks after the attacks, oil prices
plunged more than 12% to a 22-month low of $23 a barrel. OPEC leaders announced
that with prices within their $22 to $28 a barrel target, they saw no need to
alter output and assured that there will be no disruption in supplies. Fear of
continued terrorist attacks, sluggish economies and mild winter weather
continued to limit growth in global demand for oil during the fourth quarter. A
coordinated cut in oil output by OPEC and non-OPEC producers was agreed upon as
OPEC tried to regain control of crude oil prices. Crude and heating oil
positions incurred losses during the first and third quarters of the year
resulting in net losses for the Trust in this sector.

   Metal prices fell throughout the fourth quarter amid decreased demand due to
weak global economic conditions. Long positions in silver, gold and copper
resulted in losses.

   Long coffee positions resulted in losses during the fourth quarter as coffee
prices plunged to their lowest levels since 1992 after a larger than anticipated
crop and lessening demand. Additionally, long corn prices resulted in losses
during the fourth quarter as prices fell amid concerns about the decreasing
level of U.S. corn exports.

   Interest income is earned on the average net assets held at PSI and,
therefore, varies monthly according to interest rates, trading performance, and
redemptions. Interest income decreased $845,000 for the year ended December 31,
2001 compared to 2000. This decrease was primarily due to lower net assets in
the Trust during 2001 versus 2000 as a result of redemptions. Strong trading
performance during the fourth quarter of 2000 helped to mitigate this decline in
net assets at the start of the 2001 year. Additionally, interest rates were
lower during 2001 versus 2000. Interest income decreased $709,000 for the year
ended December 31, 2000 compared to 1999. This decrease was primarily due to
lower net assets during 2000 as a result of redemptions and weak trading
performance during the second half of 1999 and during 2000 through the third
quarter offset, in part, by higher interest rates in 2000 and strong trading
performance in the fourth quarter.

   Commissions are calculated on the Trust's net asset value at the beginning of
each month and, therefore, vary according to trading performance and
redemptions. Commissions decreased $339,000 for the year ended December 31, 2001
compared to 2000 and $1,740,000 for the year ended December 31, 2000 compared to
1999 primarily due to lower net asset values in the Trust during the respective
periods as described in the discussion on interest income above.

   All trading decisions for the Trust are made by John W. Henry & Company, Inc.
(the 'Trading Manager'). Management fees are calculated on the Trust's net asset
value at the end of each month and, therefore, are affected by trading
performance and redemptions. Additionally, effective on October 1, 2000, The
advisory agreement among the Trust, the Managing Owner and the Trading Manager
was amended. The Amended Advisory Agreement reduced the monthly management fee
paid to the Trading Manager from 1/3 of 1% (a 4% annual rate) of the Trust's net
asset value to 1/6 of 1% (a 2% annual rate). Additionally, if the Trading
Manager recoups its cumulative trading losses to date and achieves a new trading
high, the Trading Manager will earn a 20% incentive fee as compared to a 15%
incentive fee previously paid. Management fees decreased $587,000 and $1,014,000
for the years ended December 31, 2001 and 2000 compared to the corresponding
periods in the prior years for the same reasons commissions decreased as
discussed above in addition to the reduced monthly management fee paid to the
Trading Manager effective October 1, 2000.

   Incentive fees are based on the New High Net Trading Profits generated by the
Trading Manager, as defined in the Advisory Agreement among the Trust, the
Managing Owner and the Trading Manager. No incentive fees were generated during
the years ended December 31, 2001 and 2000. Incentive fees of $252,000 were
generated during the six months ended June 30, 1999 due to strong trading
performance during the second quarter of 1999.

Financial Reporting by Commodity Pools

   During March 2001, the Accounting Standards Executive Committee ('AcSEC')
issued Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of
Position 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
Include Commodity Pools, which is effective for financial statements issued for
periods ending after December 15, 2001. This SOP amends SOP 95-2, Financial
Reporting by

                                       14

<Page>

Nonpublic Investment Partnerships, to include within its scope commodity pools
such as the Trust. Under the new requirements, the Trust is required to present
a condensed schedule of investments and certain other information in accordance
with the American Institute of Certified Public Accountants' Audit and
Accounting Guide 'Audits of Investment Companies.' The adoption of the
requirements of SOP 01-1 has not had a material effect on the Trust's financial
position or results of operations.

Inflation

   Inflation has had no material impact on operations or on the financial
condition of the Trust from inception through December 31, 2001.

                                       15

<Page>

                               OTHER INFORMATION

   The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 2001 was $96.

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

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

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                                                         2001
-------------------------------------------------------------------------------
Diversif ied Futures Trust I
                                                         Annual
                                                         Report

<Page>

0TH
Peck Slip Station                                   PRESORTED
P.O. Box 2303                                        STANDARD
New York, NY 10273-0005                            U.S. POSTAGE
                                                       PAID
                                                  Automatic Mail
DFT1/17152