<PAGE>
                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
 
                                   FORM 10-K
 
(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, 1998
 
                                       OR
 
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934
 
For the transition period from _______________________ to ______________________
 
Commission file number 0-26004
 
                          DIVERSIFIED FUTURES TRUST I
--------------------------------------------------------------------------------
             (Exact name of registrant as specified in its charter)
 
Delaware                                        13-3780260
--------------------------------------------------------------------------------
(State or other jurisdiction of      (I.R.S. Employer Identification No.)
incorporation or organization)
                                   
 
One New York Plaza, 13th Floor, New York, New York               10292
--------------------------------------------------------------------------------
(Address of principal executive offices)                       (Zip Code)
 
Registrant's telephone number, including area code: (212) 778-7866
 
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)
 
   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 CK No __
 
   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 [  ]
 
                      DOCUMENTS INCORPORATED BY REFERENCE
 
   Amended and Restated Declaration of Trust and Trust Agreement of the
Registrant dated as of August 25, 1994, included as part of the Registration
Statement on Form S-1 (File No. 33-81534) filed with the Securities and Exchange
Commission on September 13, 1994, pursuant to Rule 424(b) of the Securities Act
of 1933, is incorporated by reference into Part IV of this Annual Report on Form
10-K
 
   Registrant's Annual Report to Interest holders for the year ended December
31, 1998 is incorporated by reference into Parts II and IV of this Annual Report
on Form 10-K
 
                              Index to exhibits can be found on pages 10 and 11.
<PAGE>
                          DIVERSIFIED FUTURES TRUST I
                          (a Delaware Business Trust)
 
                               TABLE OF CONTENTS
<TABLE>
<CAPTION>
PART I                                                                                         PAGE
<S>        <C>                                                                                <C>
Item  1    Business.........................................................................     3
Item  2    Properties.......................................................................     3
Item  3    Legal Proceedings................................................................     3
Item  4    Submission of Matters to a Vote of Interest Holders..............................     4
 
PART II
Item  5    Market for the Registrant's Interests and Related Interest Holder Matters........     4
Item  6    Selected Financial Data..........................................................     4
Item  7    Management's Discussion and Analysis of Financial Condition and Results of
             Operations.....................................................................     4
Item 7A    Quantitative and Qualitative Disclosures About Market Risk.......................     4
Item  8    Financial Statements and Supplementary Data......................................     8
Item  9    Changes in and Disagreements with Accountants on Accounting and Financial
             Disclosure.....................................................................     8
 
PART III
Item 10    Directors and Executive Officers of the Registrant...............................     8
Item 11    Executive Compensation...........................................................     9
Item 12    Security Ownership of Certain Beneficial Owners and Management...................     9
Item 13    Certain Relationships and Related Transactions...................................     9
 
PART IV
Item 14    Exhibits, Financial Statement Schedules and Reports on Form 8-K..................    10
           Financial Statements and Financial Statement Schedules...........................    10
           Exhibits.........................................................................    10
           Reports on Form 8-K..............................................................    11
 
SIGNATURES..................................................................................    12
</TABLE>
 
                                       2
<PAGE>
                                     PART I
 
Item 1. Business
 
General
 
   Diversified Futures Trust I (the 'Registrant'), a Delaware Business Trust,
was organized under the Delaware Business Trust Act on May 18, 1994 and will
terminate on December 31, 2014 unless terminated sooner under the provisions of
the 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. On January 5, 1995, the Registrant completed its initial
offering and raised $25,262,800 from the sale of 249,628 limited interests
('Limited Interests') and 3,000 general interests ('General Interests')
(collectively, the 'Interests') and commenced operations. The Registrant's
fiscal year for book and tax purposes ends on December 31.
 
   The Registrant was permitted to sell a maximum of $50,000,000 of Limited
Interests, plus $50,000,000 of additional Limited Interests when Prudential
Securities Incorporated ('PSI') and Prudential Securities Futures Management
Inc. (the 'Managing Owner') exercised the over-subscription option granted to
them by the Trust Agreement. Following the close of the initial offering period,
additional Interests were offered and sold monthly at their month-end net asset
value ('NAV') 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.
 
   All trading decisions for the Registrant are made by John W. Henry & Company,
Inc. (the 'Trading Manager'), an independent commodity trading manager which
manages the Registrant's assets pursuant to four trading programs developed by
the Trading Manager. The Managing Owner retains the authority to override
trading instructions that violate the Registrant's trading policies.
 
   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
 
   The Managing Owner of the Registrant is a wholly owned subsidiary of PSI, the
Registrant's commodity broker and principal underwriter and selling agent of its
Interests. PSI is a wholly owned subsidiary of Prudential Securities Group Inc.
The Managing Owner is required to maintain at least a 1% interest in the
Registrant as long as it is acting as the Registrant's managing owner.
 
Competition
 
   The Managing Owner and its affiliates have formed, and may continue to form,
various entities to engage in the speculative trading of futures and forward
contracts which have certain of the same investment policies as the Registrant.
 
   The Registrant is a closed-end Trust which 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 participants.
However, to the extent that the Trading Manager recommends similar or identical
trades to the Registrant and other accounts which it manages, the Registrant may
compete with those accounts 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 and its affiliates pursuant
to the Trust Agreement as further discussed in Notes A, C and D to the
Registrant's annual report to limited partners for the year ended December 31,
1998 ('Registrant's 1998 Annual Report') which is filed as an exhibit hereto.
 
Item 2. Properties
 
   The Registrant does not own or lease any property.
 
Item 3. Legal Proceedings
 
   There are no material legal proceedings pending by or against the Registrant
or the Managing Owner.
 
                                       3
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Item 4. Submission of Matters to a Vote of Interest Holders
 
   None
 
                                    PART II
 
Item 5. Market for the Registrant's Interests and Related Interest Holder
        Matters
 
   Information with respect to the offering of Interests is incorporated by
reference to Note A to the Registrant's 1998 Annual Report, which is filed as an
exhibit hereto.
 
   A significant secondary market for the 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 an
Interest holder to transfer Interests. However, Interests may be redeemed as of
the last business day of any full calendar quarter at the then current NAV 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 March 4, 1999, there were 2,306 holders of record owning 293,357.624
Interests which include 2,934 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 2 through 9 of the Registrant's 1998
Annual Report which is filed as an exhibit hereto.
 
<TABLE>
<CAPTION>
                                                                                      Period from
                                                                                    January 5, 1995
                                                                                    (commencement of
                                                  Year Ended December 31,            operations) to
                                          ---------------------------------------     December 31,
                                             1998          1997          1996             1995
                                          -----------   -----------   -----------   ----------------
<S>                                       <C>           <C>           <C>           <C>
Total revenues (including interest)       $ 9,529,178   $13,955,119   $24,485,692     $ 19,003,618
                                          -----------   -----------   -----------   ----------------
                                          -----------   -----------   -----------   ----------------
Net income                                $ 2,340,736   $ 5,527,892   $15,110,020     $ 12,430,489
                                          -----------   -----------   -----------   ----------------
                                          -----------   -----------   -----------   ----------------
Net income per weighted average Interest  $      7.09   $     14.43   $     36.56     $      40.56
                                          -----------   -----------   -----------   ----------------
                                          -----------   -----------   -----------   ----------------
Total assets                              $61,687,320   $70,024,756   $81,040,831     $ 49,519,507
                                          -----------   -----------   -----------   ----------------
                                          -----------   -----------   -----------   ----------------
Net asset value per Interest              $    200.91   $    191.70   $    176.16     $     142.65
                                          -----------   -----------   -----------   ----------------
                                          -----------   -----------   -----------   ----------------
</TABLE>
 
Item 7. Management's Discussion and Analysis of Financial Condition and Results
        of Operations
 
   This information is incorporated by reference to pages 10 through 12 of the
Registrant's 1998 Annual Report which is filed as an exhibit hereto.
 
Item 7A. Quantitative and Qualitative Disclosures About Market Risk
 
Introduction
 
   Past Results Not Necessarily Indicative of Future Performance
   The Registrant is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and
substantially all of the Registrant's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Registrant's main line of business.
 
   Market movements result in frequent changes in the fair market value of the
Registrant's open positions and, consequently, in its earnings and cash flow.
The Registrant's market risk is influenced by a wide variety of factors,
including the level and volatility of interest rates, exchange rates, equity
price levels, the market
 
                                       4
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<PAGE>
value of financial instruments and contracts, the diversification effects among
the Registrant's open positions and the liquidity of the markets in which it
trades.
 
   The Registrant rapidly acquires and liquidates both long and short positions
in a wide range of different markets. Consequently, it is not possible to
predict how a particular futures market scenario will affect performance, and
the Registrant's past performance is not necessarily indicative of its future
results.
 
   Value at risk is a measure of the maximum amount which the Registrant could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Registrant's speculative trading and the recurrence in the
markets traded by the Registrant of market movements far exceeding expectations
could result in actual trading or non-trading losses far beyond the indicated
Value at Risk or the Registrant's experience to date (i.e., 'risk of ruin'). In
light of the foregoing, as well as the risks and uncertainties intrinsic to all
future projections, the inclusion of the quantification included in this section
should not be considered to constitute any assurance or representation that the
Registrant's losses in any market sector will be limited to Value at Risk or by
the Registrant's attempts to manage its market risk.
 
   Standard of Materiality
   Materiality as used in this section, 'Qualitative and Quantitative
Disclosures About Market Risk,' is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements, taking into
account the leverage, optionality and multiplier features of the Registrant's
market sensitive instruments.
 
Quantifying The Registrant's Trading Value at Risk
 
   Quantitative Forward-Looking Statements
   The following quantitative disclosures regarding the Registrant's market risk
exposures contain 'forward-looking statements' within the meaning of the safe
harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934).
 
   The Registrant's risk exposure in the various market sectors traded by the
Trading Manager is quantified below in terms of Value at Risk. Due to the
Registrant's mark-to-market accounting, any loss in the fair value of the
Registrant's open positions is directly reflected in the Registrant's earnings
(realized or unrealized) and cash flow (at least in the case of exchange-traded
contracts in which profits and losses on open positions are settled daily
through variation margin).
 
   Exchange maintenance margin requirements have been used by the Registrant as
the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility (including the implied volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component which is not relevant to Value
at Risk.
 
   In the case of market sensitive instruments which are not exchange-traded
(almost exclusively currencies in the case of the Registrant), the margin
requirements for the equivalent futures positions have been used as Value at
Risk. In those rare cases in which a futures-equivalent margin is not available,
dealers' margins have been used.
 
   In quantifying the Registrant's Value at Risk, 100% positive correlation in
the different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate Value at
Risk. The diversification effects resulting from the fact that the Registrant's
positions are rarely, if ever, 100% positively correlated have not been
reflected.
 
                                       5
 <PAGE>
<PAGE>
The Registrant's Trading Value at Risk in Different Market Sectors
 
   The following table indicates the trading Value at Risk associated with the
Registrant's open positions by market sector at December 31, 1998. All open
position trading risk exposures of the Registrant have been included in
calculating the figures set forth below. At December 31, 1998, the Registrant's
total capitalization was approximately $58.9 million.
 
<TABLE>
<CAPTION>
                                                   Value at        % of Total
                            Market Sector            Risk        Capitalization
                       -----------------------    ----------     --------------
                       <S>                        <C>            <C>
                       Interest Rates             $3,844,921           6.53%
                       Currencies                  1,261,024           2.14
                       Commodities                   974,096           1.65
                       Stock indices                 389,788            .66
                                                  ----------        -------
                            Total                 $6,469,829          10.98%
                                                  ----------        -------
                                                  ----------        -------
</TABLE>
 
Material Limitations on Value at Risk as an Assessment of Market Risk
 
   The face value of the market sector instruments held by the Registrant is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally range between approximately 1% and 10% of the face
value), as well as, many times the total capitalization of the Registrant. The
magnitude of the Registrant's open positions creates a 'risk of ruin' not
typically found in most other investment vehicles. Because of the size of its
positions, certain market conditions, although unusual, but historically
recurring from time to time, could cause the Registrant to incur severe losses
over a short period of time. The foregoing Value at Risk table, as well as the
past performance of the Registrant, give no indication of this 'risk of ruin.'
 
Non-Trading Risk
 
   The Registrant has non-trading market risk on its foreign cash balances not
needed for margin. However, these balances (as well as any market risk they
represent) are immaterial.
 
Qualitative Disclosures Regarding Primary Trading Risk Exposures
 
   The following qualitative disclosures regarding the Registrant's market risk
exposures--except for (i) those disclosures that are statements of historical
fact and (ii) the descriptions of how the Registrant manages its primary market
risk exposures--constitute forward-looking statements within the meaning of
Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934. The Registrant's primary market risk exposures as well as
the strategies used and to be used by the Managing Owner and the Trading
Managers for managing such exposures are subject to numerous uncertainties,
contingencies and risks, any one of which could cause the actual results of the
Registrant's risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid
markets, the emergence of dominant fundamental factors, political upheavals,
changes in historical price relationships, an influx of new market participants,
increased regulation and many other factors could result in material losses as
well as in material changes to the risk exposures and the risk management
strategies of the Registrant. There can be no assurance that the Registrant's
current market exposure and/or risk management strategies will not change
materially or that any such strategies will be effective in either the short- or
long-term. Investors must be prepared to lose all or substantially all of their
investment in the Registrant.
 
   The primary trading risk exposures of the Registrant at December 31, 1998, by
market sector, were:
 
   Interest Rates. Interest rate risk is the principal market exposure of the
Registrant. Interest rate movements directly affect the price of sovereign bond
positions held by the Registrant and indirectly affect the value of its stock
index and currency positions. Interest rate movements in one country, as well
as, relative interest rate movements between countries may materially impact the
Registrant's profitability. The Registrant's primary interest rate exposure is
to interest rate fluctuations in the U.S. and other G-7 countries. To a lesser
extent, the Registrant also takes positions in the government debt of smaller
nations--e.g., Australia. The Managing Owner anticipates that G-7 interest rates
will remain the primary market exposure of the Registrant in the foreseeable
future. The changes in interest rates which have the most effect on the
Registrant are changes in long-term, as opposed to short-term, rates. Most of
the speculative positions held by the
 
                                       6
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Registrant are in medium- to long-term instruments. Consequently, even a
material change in short-term rates would have little effect on the Registrant
were the medium- to long-term rates to remain steady.
 
   Currencies. The Registrant's currency exposure is due to exchange rate
fluctuations, primarily fluctuations which disrupt the historical pricing
relationships between different currencies and currency pairs. These
fluctuations are influenced by interest rate changes as well as political and
general economic conditions. The Registrant's major exposure has typically
resulted from positions in the local currencies of G-7 countries. These include
outright, as well as, cross-rate positions--i.e., positions between two
currencies other than the U.S. dollar. The Managing Owner does not anticipate
that the risk profile of the Registrant's currency sector will change
significantly in the future, although it is difficult at this point to predict
the effect of the introduction of the Euro on the Trading Manager's currency
trading strategies. The currency trading Value at Risk figure includes foreign
margin amounts converted into U.S. dollars with an incremental adjustment to
reflect the exchange rate risk inherent to the dollar-based Registrant in
expressing Value at Risk in a functional currency other than U.S. dollars.
 
   Commodities. The Registrant's primary commodities exposure lies in the energy
market and results from gas and oil price movements, often resulting from
political developments in the Middle East. The Registrant's major energy
exposure has typically resulted from positions in light crude, crude oil, and
natural gas. Additional exposure is supplied by open positions in precious
metals, particularly gold and silver. In the agricultural sector, the
Registrant's market risk exposure is primarily due to price movements resulting
from severe or unexpected weather conditions. The Trading Manager trades in
various agricultural commodities including, but not limited to, coffee, sugar,
wheat, and corn.
 
   Stock Indices. The Registrant's primary equity exposure is due to equity
price risk in the Nikkei Dow (Japan), FTSE 100 (Britain) and Australian All
Ordinaries Index. The stock index futures traded by the Registrant are by law
limited to futures on broadly based indices.
 
Qualitative Disclosures Regarding Means of Managing Risk Exposure
 
   The means by which the Managing Owner and the Trading Manager, severally,
attempt to manage the risk of the Registrant's open positions is essentially the
same in all market categories traded.
 
   The Trading Manager attempts to minimize market risk exposure by applying its
own risk management trading policies which include the diversification of
trading assets into various market sectors. Additionally, the Trading Manager
has an oversight committee broadly responsible for evaluating and overseeing the
Trading Manager's trading policies. The oversight committee meets periodically
to discuss and analyze issues such as liquidity, position size, capacity,
performance cycles, and new product and market strategies.
 
   The Managing Owner attempts to minimize market risk exposure by requiring the
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, limiting the amount of margin or premium
required for any one commodity or all commodities combined and generally
limiting transactions to contracts which are traded in sufficient volume to
permit the taking and liquidating of positions. The Managing Owner may impose
restrictions (through modifications of such 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 Registrant. Additionally, the Managing Owner
may terminate the Trading Manager if the net asset value of the Registrant
declines by 33 1/3% during any year or since the commencement of trading
activities. Furthermore, the Trust Agreement provides that the Registrant will
liquidate its positions, and eventually dissolve, if the Registrant experiences
a decline in the net asset value of 50% in any year or since the commencement of
trading activities. In each case, the decline in the net asset value is after
giving effect for distributions, contributions and redemptions.
 
Qualitative Disclosures Regarding Non-Trading Risk Exposure
 
   At December 31, 1998, the Registrant's primary exposure to non-trading market
risk resulted from foreign currency balances held in Canadian dollars. As
discussed above, these balances, as well as any risk they represent, are
immaterial.
 
                                       7
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Item 8. Financial Statements and Supplementary Data
 
   The financial statements are incorporated by reference to pages 2 through 9
of the Registrant's 1998 Annual Report which is filed as an exhibit hereto.
 
   Supplementary data specified by Item 302 of Regulation S-K (selected
quarterly financial data) is not applicable.
 
Item 9. Changes in and Disagreements with Accountants on Accounting and
        Financial Disclosure
 
   None
 
                                    PART III
 
Item 10. Directors and Executive Officers of the Registrant
 
   There are no directors or executive officers of the Registrant. The
Registrant is managed by the Managing Owner.
 
   The Managing Owner's directors and executive officers and any person holding
more than ten percent of the Registrant's Interests ('Ten Percent Owners') are
required to report their initial ownership of such Interests and any subsequent
changes in that ownership to the Securities and Exchange Commission on Forms 3,
4 or 5. Such executive officers, directors and Ten Percent Owners are required
by Securities and Exchange Commission regulations to furnish the Registrant with
copies of all Forms 3, 4 or 5 they file. All of these filing requirements were
satisfied on a timely basis (other than Tamara B. Wright who did not file Form 3
in a timely manner upon becoming a Director but subsequently filed and is now
current in all filings). In making these disclosures, the Registrant has relied
solely on written representations of the Managing Owner's directors and
executive officers and Ten Percent Owners or copies of the reports that they
have filed with the Securities and Exchange Commission during and with respect
to its most recent fiscal year.
 
   The directors and executive officers of Prudential Securities Futures
Management Inc. and their positions with respect to the Registrant are as
follows:
 
            Name                                      Position
Eleanor L. Thomas               First Vice President
Barbara J. Brooks               Chief Financial Officer
Steven Carlino                  Vice President, Chief Accounting Officer and
                                  Treasurer
A. Laurence Norton, Jr.         Director
Guy S. Scarpaci                 Director
Tamara B. Wright                Senior Vice President and Director
 
   ELEANOR L. THOMAS, age 44, has been a Vice President of Prudential Securities
Futures Management Inc. and Seaport Futures Management, Inc. since April 1993
and a First Vice President since October 1998. She is primarily responsible for
origination, asset allocation, and due diligence for the managed futures group
within PSI. She is also a First Vice President of PSI. Prior to joining PSI in
March 1993, she was with MC Baldwin Financial Company from June 1990 through
February 1993 and Arthur Andersen & Co. from 1986 through May 1990. Ms. Thomas
is a certified public accountant.
 
   BARBARA J. BROOKS, age 50, is the Chief Financial Officer of Prudential
Securities Futures Management Inc. She is a Senior Vice President of PSI. She is
also the Chief Financial Officer of Seaport Futures Management, Inc. and serves
in various capacities for other affiliated companies. She has held several
positions within PSI since April 1983. Ms. Brooks is a certified public
accountant.
 
   STEVEN CARLINO, age 35, is a Vice President and Treasurer of Prudential
Securities Futures Management Inc. He is a First Vice President of PSI. He is
also a Vice President and Treasurer of Seaport Futures Management, Inc. and
serves in various capacities for other affiliated companies. Prior to joining
PSI in October 1992, he was with Ernst & Young for six years. Mr. Carlino is a
certified public accountant.
 
                                       8
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<PAGE>
  A. LAURENCE NORTON, JR., age 60, is a Director of Prudential Securities
Futures Management Inc. He is an Executive Vice President of PSI and, since
March 1994, has been the head of the International and Futures Divisions of PSI.
He is also a Director of Seaport Futures Management, Inc. From October 1991 to
March 1994, he held the position of Executive Director of Retail Development and
Retail Strategies at PSI. Prior to joining PSI in 1991, Mr. Norton was a Senior
Vice President and Branch Manager of Shearson Lehman Brothers.
 
  GUY S. SCARPACI, age 52, is a Director of Prudential Securities Futures
Management Inc. He is a First Vice President of the Futures Division of PSI. He
is also a Director of Seaport Futures Management, Inc. Mr. Scarpaci has been
employed by PSI in positions of increasing responsibility since August 1974.
 
  TAMARA B. WRIGHT, age 40, is a Senior Vice President and Director of
Prudential Securities Futures Management Inc. She is a Senior Vice President and
Chief Administrative Officer for the International and Futures Divisions of PSI.
She is also a Senior Vice President and Director of Seaport Futures Management,
Inc. and serves in various capacities for other affiliated companies. Prior to
joining PSI in July 1988, she was a manager with Price Waterhouse.
 
  During the fourth quarter of 1998, Steven Carlino replaced Barbara J. Brooks
as Treasurer of Prudential Securities Futures Management Inc. and Seaport
Futures Management, Inc. Additionally, during December 1998, Tamara B. Wright
was elected as a Senior Vice President and Director of Prudential Securities
Futures Management Inc. and Seaport Futures Management, Inc. On March 26, 1999,
Thomas M. Lane, Jr. resigned as President and Director of Prudential Securities
Futures Management Inc. and Seaport Futures Management, Inc.
 
  There are no family relationships among any of the foregoing directors or
executive officers. All of the foregoing directors and/or executive officers
have indefinite terms.
 
Item 11. Executive Compensation
 
   The Registrant does not pay or accrue any fees, salaries or any other form of
compensation to directors and officers of the Managing Owner for their services.
Certain directors and officers of the Managing Owner receive compensation from
affiliates of the Managing Owner, not from the Registrant, for services
performed for various affiliated entities, which may include services performed
for the Registrant; however, the Managing Owner believes that any compensation
attributable to services performed for the Registrant is immaterial. (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
 
   As of March 4, 1999, no director or executive officer of the Managing Owner
owns directly or beneficially any interest in the voting securities of the
Managing Owner.
 
   As of March 4, 1999, no director or executive officer of the Managing Owner
owns directly or beneficially any of the Interests issued by the Registrant.
 
   As of March 4, 1999, no owners of Limited Interests beneficially own more
than five percent (5%) of the Limited Interests issued by the Registrant.
 
Item 13. Certain Relationships and Related Transactions
 
   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 officers of the
Managing Owner.
 
   Reference is made to Notes A, C and D to the financial statements in the
Registrant's 1998 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.
 
                                       9
<PAGE>
                                    PART IV
 
<TABLE>
<CAPTION>
                                                                                              Page
                                                                                             Number
                                                                                          ------------
 
<S>  <C>      <C>                                                                         <C>
Item 14. Exhibits, Financial Statement Schedules and Reports on Form 8-K
 
(a)      1.   Financial Statements and Report of Independent Accountants--incorporated
              by reference to the Registrant's 1998 Annual Report which is filed as an
              exhibit hereto
 
              Report of Independent Accountants                                                2
 
              Financial Statements:
 
              Statements of Financial Condition--December 31, 1998 and 1997                    3
 
              Statements of Operations--Three years ended December 31, 1998                    4
 
              Statements of Changes in Trust Capital--Three years ended December 31,
              1998                                                                             4
 
              Notes to Financial Statements                                                    5
 
         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 notes
              thereto.
 
         3.   Exhibits
 
              Description:
 
        3.1   Amended and Restated Declaration of Trust and Trust Agreement of the
        and   Registrant dated as of August 25, 1994, (incorporated by reference to
        4.1   Exhibits 3.1 and 4.1 of Registrant's Quarterly Report on Form 10-Q for
              the period ended September 30, 1994)
 
        4.2   Subscription Agreement (incorporated by reference to Exhibit C to the
              Registrant's Registration Statement on Form S-1, File No. 33-81534, 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)
 
       10.1   Escrow Agreement, dated as of September 13, 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 the 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 the Registrant's Annual Report on Form 10-K for the year
              ended December 31, 1994)
 
       10.3   Advisory Agreement, dated as of September 13, 1994, among the Registrant,
              Prudential Securities Futures Management Inc., and John W. Henry & Co.,
              Inc. (incorporated by reference to Exhibit 10.3 of the Registrant's
              Quarterly Report on Form 10-Q for the period ended September 30, 1994)
</TABLE>
 
                                       10
<PAGE>
<TABLE>
<S>  <C>      <C>                                                                         <C>
       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
              Incorporated, Wilmington Trust Company and John W. Henry & Co., Inc.
              (incorporated by reference to Exhibit 10.4 of the Registrant's Quarterly
              Report on Form 10-Q for the period ended September 30, 1994)
 
       10.5   Net Worth Agreement, dated as of September 13, 1994, between Prudential
              Securities Futures Management Inc. and Prudential Securities Incorporated
              (incorporated by reference to Exhibit 10.5 of the 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 the 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)
 
       13.1   Registrant's 1998 Annual Report (with the exception of the information
              and data incorporated by reference in Items 5, 7 and 8 of this Annual
              Report on Form 10-K, no other information or data appearing in the
              Registrant's 1998 Annual Report is to be deemed filed as part of this
              report) (filed herewith)
 
       27.1   Financial Data Schedule (filed herewith)
 
(b)           Reports on Form 8-K
 
              No reports on Form 8-K were filed during the last quarter of the period
              covered by this report.
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                                       11
<PAGE>
                                   SIGNATURES
 
   Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
 
Diversified Futures Trust I
 
By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner
 
     By: /s/ Steven Carlino                       Date: March 31, 1999
     ----------------------------------------
     Steven Carlino
     Vice President, Chief Accounting Officer
     and Treasurer
 
   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 and in the capacities (with respect to the Managing Owner) and on the
dates indicated.
 
By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner
 
    By: /s/ Eleanor L. Thomas                     Date: March 31, 1999
    -----------------------------------------
    Eleanor L. Thomas
    First Vice President
 
    By: /s/ Barbara J. Brooks                     Date: March 31, 1999
    -----------------------------------------
    Barbara J. Brooks
    Chief Financial Officer
 
    By: /s/ Steven Carlino                        Date: March 31, 1999
    -----------------------------------------
    Steven Carlino
    Vice President and Treasurer
 
    By:                                           Date:
    -----------------------------------------
    A. Laurence Norton, Jr.
    Director
 
    By: /s/ Guy S. Scarpaci                       Date: March 31, 1999
    -----------------------------------------
    Guy S. Scarpaci
    Director
 
    By: /s/ Tamara B. Wright                      Date: March 31, 1999
    -----------------------------------------
    Tamara B. Wright
    Senior Vice President and Director
 
                                       12