<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, 2002

                                       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 incorporation   (I.R.S. Employer Identification
or organization)                                No.)

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 [CK]

   Indicate by check CK whether the Registrant is an accelerated filer (as
defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes __ No _CK

                      DOCUMENTS INCORPORATED BY REFERENCE

   Registrant's Annual Report to Interest holders for the year ended December
31, 2002 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 12 and 13.

<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.......................................................................     4
Item  3    Legal Proceedings................................................................     4
Item  4    Submission of Matters to a Vote of Interest Holders..............................     4

<Caption>

PART II
<S>        <C>                                                                                <C>
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.....................................................................     5
Item 7A    Quantitative and Qualitative Disclosures About Market Risk.......................     5
Item  8    Financial Statements and Supplementary Data......................................     8
Item  9    Changes in and Disagreements with Accountants on Accounting and Financial
             Disclosure.....................................................................     9
<Caption>

PART III
<S>        <C>                                                                                <C>
Item 10    Directors and Executive Officers of the Registrant...............................     9
Item 11    Executive Compensation...........................................................    10
Item 12    Security Ownership of Certain Beneficial Owners and Management...................    10
Item 13    Certain Relationships and Related Transactions...................................    11
Item 14    Controls and Procedures..........................................................    11

<Caption>
PART IV
<S>        <C>                                                                                <C>
Item 15    Exhibits, Financial Statement Schedules and Reports on Form 8-K..................    12
           Financial Statements and Financial Statement Schedules...........................    12
           Exhibits.........................................................................    12
           Reports on Form 8-K..............................................................    13

SIGNATURES..................................................................................    14

CERTIFICATIONS..............................................................................    15
</Table>

                                       2

<Page>

                                     PART I

Item 1. Business

General

   Diversified Futures Trust I (the 'Registrant'), a Delaware Business Trust,
was organized under the Delaware Statutory 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. The Registrant's fiscal year for book and tax purposes
ends on December 31.

   On January 5, 1995, the Registrant completed its initial offering having
raised $25,262,800 from the sale of 249,628 limited interests ('Limited
Interests') and 3,000 general interests ('General Interests') (collectively, the
'Interests') and commenced operations. Following the close of the initial
offering period, additional Interests were offered and sold monthly at their
month-end net asset value ('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. General Interests were sold
exclusively to the managing owner.

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

The Trading Managers

   Since inception through January 21, 2003, trading decisions for the
Registrant were made by John W. Henry & Company, Inc. (the 'Initial Trading
Manager'), an independent commodity trading manager which managed 100% of the
Registrant's assets pursuant to four trading programs developed by the Initial
Trading Manager. Prudential Securities Futures Management Inc., (the 'Managing
Owner'), decided to pursue a diversified multi-manager approach for the
Registrant. To implement the change from a single- to a multi-manager strategy,
the Registrant's advisory agreement with the Initial Trading Manager was
terminated effective January 21, 2003. Three new trading managers and programs
have been selected to manage the Registrant's assets. On February 3, 2003, the
Managing Owner and the Registrant entered into an advisory agreement with
Appleton Capital Management Ltd. ('Appleton') to manage approximately 20% of the
Registrant's assets. On February 7, 2003 the Managing Owner and the Registrant
entered into an advisory agreement with Graham Capital Management, L.P.
('Graham') to manage approximately 40% of the Registrant's assets. Lastly, on
February 14, 2003, the Managing Owner and the Registrant entered into an
advisory agreement with Aspect Capital Limited ('Aspect') to manage
approximately 40% of the Registrant's assets. The managing owner retains the
authority to override trading instructions that violate the Registrant's trading
policies.

Managing Owner and its Affiliates

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

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

                                       3

<Page>

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, as well as other market participants, for the
execution of the same or similar trades.

Employees

   The Registrant has no employees. Management and administrative services for
the Registrant are performed by the Managing Owner and its affiliates pursuant
to the Trust Agreement as further discussed in Notes A, C and D to the
Registrant's financial statements included in its annual report to limited
owners for the year ended December 31, 2002 ('Registrant's 2002 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.

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

   On January 5, 1995, the Registrant completed its initial offering and on
August 31, 1996 the continuous offering period expired. A significant secondary
market for the Limited Interests has not developed, and it is not expected that
one will develop in the future. There are also certain restrictions set forth in
the Trust Agreement limiting the ability of an Interest holder to transfer
Interests. However, Interests may be redeemed as of the last business day of any
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 21, 2003, there were 947 holders of record owning 105,456.272
Interests which include 1,055 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 11 of the Registrant's 2002
Annual Report which is filed as an exhibit hereto.

<Table>
<Caption>
                                                                 Year Ended December 31,
                                         -----------------------------------------------------------------------
                                            2002           2001           2000           1999           1998
                                         -----------    -----------    -----------    -----------    -----------
<S>                                      <C>            <C>            <C>            <C>            <C>
Total revenues (including interest)      $ 8,311,237    $ 1,660,182    $ 5,018,473    $  (419,704)   $ 9,529,178
                                         -----------    -----------    -----------    -----------    -----------
                                         -----------    -----------    -----------    -----------    -----------
Net income (loss)                        $ 4,908,863    $  (983,252)   $ 1,449,003    $(6,995,874)   $ 2,340,736
                                         -----------    -----------    -----------    -----------    -----------
                                         -----------    -----------    -----------    -----------    -----------
Net income (loss) per weighted average
  Interest                               $     41.42    $     (6.92)   $      7.27    $    (25.53)   $      7.09
                                         -----------    -----------    -----------    -----------    -----------
                                         -----------    -----------    -----------    -----------    -----------
Total assets                             $24,513,197    $24,301,997    $32,282,820    $44,792,832    $61,889,081
                                         -----------    -----------    -----------    -----------    -----------
                                         -----------    -----------    -----------    -----------    -----------
Net asset value per Interest             $    223.61    $    182.24    $    190.97    $    173.82    $    200.91
                                         -----------    -----------    -----------    -----------    -----------
                                         -----------    -----------    -----------    -----------    -----------
</Table>

                                       4

<Page>

Item 7. Management's Discussion and Analysis of Financial Condition and Results
        of Operations

   This information is incorporated by reference to pages 12 through 14 of the
Registrant's 2002 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 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 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, 'Quantitative and Qualitative
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
interval. 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

                                       5

<Page>

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.

The Registrant's Trading Value at Risk in Different Market Sectors

   The following tables indicate the trading Value at Risk associated with the
Registrant's open positions by market sector at December 31, 2002 and 2001. All
open position trading risk exposures of the Registrant have been included in
calculating the figures set forth below. At December 31, 2002 and 2001, the
Registrant's total capitalization was approximately $23.6 million and $23.7
million, respectively.

<Table>
<Caption>
                                                      2002                              2001
                                          -----------------------------     -----------------------------
                                           Value at        % of Total        Value at        % of Total
            Market Sector                    Risk        Capitalization        Risk        Capitalization
--------------------------------------    ----------     --------------     ----------     --------------
<S>                                       <C>            <C>                <C>            <C>
Interest Rates                            $  925,521           3.92%        $  750,808           3.17%
Currencies                                 1,650,576           7.00          1,667,169           7.04
Commodities                                  887,847           3.77            655,270           2.77
Stock indices                                579,576           2.46            339,373           1.43
                                          ----------        -------         ----------        -------
     Total                                $4,043,520          17.15%        $3,412,620          14.41%
                                          ----------        -------         ----------        -------
                                          ----------        -------         ----------        -------
</Table>

   The following tables present the average trading Value at Risk of the
Registrant's open positions by market sector for the years ended December 31,
2002 and 2001, respectively. During the years ended December 31, 2002 and 2001,
the Registrant's total average capitalization was approximately $23.8 million
and $26.9 million, respectively.

<Table>
<Caption>
                                                      2002                              2001
                                          -----------------------------     -----------------------------
                                           Value at        % of Total        Value at           % of
            Market Sector                    Risk        Capitalization        Risk        Capitalization
--------------------------------------    ----------     --------------     ----------     --------------
<S>                                       <C>            <C>                <C>            <C>
Interest Rates                            $  857,344           3.60%        $1,133,172           4.22%
Currencies                                 1,407,196           5.92          1,251,250           4.66
Commodities                                  684,777           2.88            679,299           2.53
Stock Indices                                454,131           1.91            497,439           1.85
                                          ----------        -------         ----------        -------
     Total                                $3,403,448          14.31%        $3,561,160          13.26%
                                          ----------        -------         ----------        -------
                                          ----------        -------         ----------        -------
</Table>

Material Limitations on Value at Risk as an Assessment of Market Risk

   The notional 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.'

                                       6

<Page>

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 Manager
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, 2002 and
2001, and during the years then ended, by market sector were:

   Interest Rates. 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 a 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 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. Currencies represented the greatest market exposure of the
Registrant at December 31, 2001 and throughout 2002. 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 resulted from positions in the local currencies of G-7 countries,
specifically the Euro and the Japanese Yen. 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 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 coffee, sugar, wheat, and corn.

   Stock Indices. The Registrant's primary equity exposure throughout 2001 and
2002 was due to equity price risk in the Nikkei Dow (Japan) Index. Additionally,
the Registrant increased trading in European STOXX 50 and NASDAQ 100 Index
positions during 2002, causing an overall increase in trading risk exposure in
this

                                       7

<Page>

market sector during 2002. The stock index futures traded by the Registrant are
currently 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 managers 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. Additionally, the Managing Owner
may terminate each trading manager if the net asset value of the assets
allocated to that trading manager 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 net asset value is after giving effect for distributions,
contributions and redemptions. The Managing Owner may impose additional
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.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

   At December 31, 2002 and 2001, 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.

Item 8. Financial Statements and Supplementary Data

   The financial statements are incorporated by reference to pages 2 through 11
of the Registrant's 2002 Annual Report which is filed as an exhibit hereto.

   Selected unaudited quarterly financial data for the years ended December 31,
2002 and 2001 are summarized below.

<Table>
<Caption>
                                                             First         Second         Third         Fourth
                                                            Quarter        Quarter       Quarter        Quarter
                                                          -----------    -----------    ----------    -----------
<S>                                                       <C>            <C>            <C>           <C>
2002:
Total revenues (including interest)                       $(1,827,114)   $ 6,830,614    $5,805,932    $(2,498,195)
                                                          -----------    -----------    ----------    -----------
                                                          -----------    -----------    ----------    -----------
Total revenues (including interest) less commissions      $(2,280,014)   $ 6,432,776    $5,304,538    $(2,990,257)
                                                          -----------    -----------    ----------    -----------
                                                          -----------    -----------    ----------    -----------
Net income (loss)                                         $(2,393,123)   $ 6,254,827    $4,159,415    $(3,112,256)
                                                          -----------    -----------    ----------    -----------
                                                          -----------    -----------    ----------    -----------
Net income (loss) per weighted average Interest           $    (18.43)   $     51.63    $    36.60    $    (28.49)
                                                          -----------    -----------    ----------    -----------
                                                          -----------    -----------    ----------    -----------

<Caption>

                                                             First         Second         Third         Fourth
                                                            Quarter        Quarter       Quarter        Quarter
                                                          -----------    -----------    ----------    -----------
<S>                                                       <C>            <C>            <C>           <C>
2001:
Total revenues (including interest)                       $ 3,743,792    $(2,816,073)   $2,132,605    $(1,400,142)
                                                          -----------    -----------    ----------    -----------
                                                          -----------    -----------    ----------    -----------
Total revenues (including interest) less commissions      $ 3,183,486    $(3,373,629)   $1,638,213    $(1,889,677)
                                                          -----------    -----------    ----------    -----------
                                                          -----------    -----------    ----------    -----------
Net income (loss)                                         $ 3,033,585    $(3,511,891)   $1,507,897    $(2,012,843)
                                                          -----------    -----------    ----------    -----------
                                                          -----------    -----------    ----------    -----------
Net income (loss) per weighted average Interest           $     19.81    $    (24.37)   $    10.95    $    (15.12)
                                                          -----------    -----------    ----------    -----------
                                                          -----------    -----------    ----------    -----------
</Table>

                                       8

<Page>

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 (the 'SEC')
on Forms 3, 4 or 5. Such executive officers, directors and Ten Percent Owners
are required by SEC 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. 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
SEC during and with respect to its most recent fiscal year.

   The directors and executive officers of the Managing Owner and their
positions with respect to the Registrant are as follows:

<Table>
<Caption>
            Name                                      Position
<S>                             <C>
Alex H. Ladouceur               Chairman of the Board of Directors and Director
Eleanor L. Thomas               President and Director
Steven Weinreb                  Treasurer and Chief Financial Officer
Guy S. Scarpaci                 Director
Tamara B. Wright                Senior Vice President and Director
Thomas T. Bales                 Vice President
Paul Waldman                    Secretary
</Table>

   ALEX H. LADOUCEUR, born 1960, has been Chairman of the Board of Directors and
a Director of the Managing Owner since November 2001 and also has held such
positions with Seaport Futures Management, Inc. ('Seaport Futures'), an
affiliate of the Managing Owner, since such date. Mr. Ladouceur joined PSI in
August 2001 and is an Executive Vice President and Head of the Global
Derivatives Division. He is responsible for all operating activities of PSI's
Global Derivatives division including sales and trading, foreign exchange, base
and precious metals, and the trading floors. Mr. Ladouceur joined PSI from
Credit Lyonnais Rouse Ltd. ('CLR'), where he served as president of their United
States operations since 1992 and as a main board director of CLR in London since
1994. In 1998, he was appointed managing director of Global Cash Markets at CLR
with responsibility for leading global market-making and sales for OTC products,
including structured derivative products. Mr. Ladouceur earned his bachelor's
degree in Economics from the University of Calgary in Alberta, Canada, and his
master's degree in European Studies from the College of Europe in Bruges,
Belgium.

   ELEANOR L. THOMAS, born 1954, has been a Director and President of the
Managing Owner since September 2000 and was a Director and Executive Vice
President from April 1999 to September 2000. She was a First Vice President of
the Managing Owner and Seaport Futures from October 1998 to April 1999 and a
Director and the President of Seaport Futures since such date. Ms. Thomas is a
Senior Vice President and the Director of Alternative Investment Strategies at
PSI. She is responsible for origination, asset allocation, due diligence,
marketing and sales for the group's product offerings. 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. She
graduated Summa Cum Laude from Long Island University with a B.A. in English
Literature, and graduated Baruch College in 1986 with an M.B.A. in Accounting.
Ms. Thomas is a Certified Public Accountant.

   STEVEN WEINREB, born 1962, became the Treasurer and Chief Financial Officer
of the Managing Owner in May 2002, at which time he also became the Treasurer
and Chief Financial Officer of Seaport Futures. He

                                       9

<Page>

is a Senior Vice President and Controller of PSI. Prior to joining PSI in May
1991, he was with the public accounting firms Deloitte & Touche from 1986 to
1991 and from 1984 to 1986 with Laventhol & Horwath. Mr. Weinreb graduated in
1984 from the State University of New York at Albany with a B.S. in Accounting.
Mr. Weinreb is a Certified Public Accountant.

   GUY S. SCARPACI, born 1947, has been a Director of the Managing Owner since
July 1987 and was Assistant Treasurer from May 1988 until December 1989. In
addition, Mr. Scarpaci has been a Director of Seaport Futures since May 1989.
Mr. Scarpaci was first affiliated with the Managing Owner in July 1987. Mr.
Scarpaci has been employed by PSI in positions of increasing responsibility
since August 1974, and he is currently a Senior Vice President of the Global
Derivatives division.

   TAMARA B. WRIGHT, born 1959, has been a Senior Vice President of the Managing
Owner and Seaport Futures since October 1998 and a Director of the Managing
Owner since December 1998. She is also a Senior Vice President and the Chief
Administrative Officer for the International Division at PSI. In this capacity,
her responsibilities include financial management, risk management, systems
implementation, employment matters and internal control policies and procedures.
Previously, Mrs. Wright served as Director of Consumer Markets Risk Management,
where she led the Domestic and International Branch efforts in ensuring the
timely resolution of audit, compliance and legal concerns. Prior to joining PSI,
Mrs. Wright was a manager with PricewaterhouseCoopers LLP in its Management
Consulting division in New York, New York.

   THOMAS T. BALES, born 1959, is a Vice President of the Managing Owner. He is
also a Senior Vice President of Futures Administration in the Global Derivatives
division for PSI, and he serves in various capacities for other affiliated
companies. Prior to joining the Global Derivatives division, Mr. Bales served as
in-house counsel in the Law Department of PSI from October 1987 through May
1996. Mr. Bales joined PSI in November 1981 as an Analyst in the Credit Analysis
Department and later served as a Section Manager.

   PAUL WALDMAN, born 1957, became the Secretary of the Managing Owner in
November 2002, at which time he also became the Secretary of Seaport Futures.
Prior to being elected Secretary, Mr. Waldman had served as Assistant Secretary
for both the Managing Owner and Seaport Futures since December 1997. He is a
First Vice President and Associate General Counsel of PSI. Mr. Waldman is
responsible for the day-to-day corporate governance of PSI and its subsidiary
companies. Prior to joining PSI in September 1988, Mr. Waldman worked for E.A.
Sheslow & Co., a specialist firm on the NYSE and American Stock Exchange in
1986, and for F.P. Quinn & Co., a member firm of the Chicago Board Options
Exchange, from 1984 to 1985. Mr. Waldman received a B.A. in Journalism from the
University of Georgia in 1979, an M.A. in Political Science from Boston
University in 1981, and a Juris Doctor from New York Law School in 1992. He is
admitted to the New York and Connecticut bars.

   Effective May 2002, Steven Weinreb was elected by the Board of Directors of
the Managing Owner as Chief Financial Officer replacing Barbara Brooks.

   Effective November 2002, Paul Waldman was elected by the Board of Directors
of the Managing Owner as Secretary replacing David Buchalter.

   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 21, 2003, no director or executive officer of the Managing Owner
owns directly or beneficially any interest in the voting securities of the
Managing Owner.

                                       10

<Page>

   As of March 21, 2003, no director or executive officer of the Managing Owner
owns directly or beneficially any of the Interests issued by the Registrant.

   As of March 21, 2003, 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 2002 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.

Item 14. Controls and Procedures

   Within the 90 days prior to the date of this report, the Managing Owner
carried out an evaluation, under the supervision and with the participation of
the officers of the Managing Owner, including the Managing Owner's Chief
Executive Officer and Chief Financial Officer, of the effectiveness of the
design and operation of the Registrant's disclosure controls and procedures.
Based upon that evaluation, the Managing Owner's Chief Executive Officer and
Chief Financial Officer concluded that the Registrant's disclosure controls and
procedures are effective. There were no significant changes in the Registrant's
internal controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation.

                                       11

<Page>
                                    PART IV

<Table>
<Caption>
                                                                                         Annual Report
                                                                                          Page Number
                                                                                         --------------
<S>  <C>      <C>                                                                        <C>
Item 15. 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 2002 Annual Report which is filed as an
              exhibit hereto

              Report of Independent Accountants                                                2

              Financial Statements:

              Statements of Financial Condition--December 31, 2002 and 2001                    3

              Condensed Schedules of Investments at December 31, 2002 and 2001                 4

              Statements of Operations--Three years ended December 31, 2002                    5

              Statements of Changes in Trust Capital--Three years ended December 31,
              2002                                                                             5

              Notes to Financial Statements                                                    6

         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>

                                       12

<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)

       10.9   Amendment to Advisory Agreement, dated as of October 1, 2000, among the
              Registrant, Prudential Securities Futures Management Inc., and John W.
              Henry & Company, Inc. (incorporated by reference to Exhibit 10.9 of the
              Registrant's Quarterly Report on Form 10-Q for the period ended
              September 30, 2000)

      10.10   Advisory Agreement, dated as of February 14th, 2003, among the
              Registrant, Prudential Securities Futures Management Inc., and Aspect
              Capital Limited (filed herewith)

      10.11   Advisory Agreement, dated as of February 7th, 2003, among the
              Registrant, Prudential Securities Futures Management Inc., and Graham
              Capital Management, L.P. (filed herewith)

      10.12   Advisory Agreement, dated as of February 3rd, 2003, among the
              Registrant, Prudential Securities Futures Management Inc., and Appleton
              Capital Management Limited (filed herewith)

       13.1   Registrant's 2002 Annual Report (with the exception of the information
              and data incorporated by reference in Items 1, 7 and 8 of this Annual
              Report on Form 10-K, no other information or data appearing in the
              Registrant's 2002 Annual Report is to be deemed filed as part of this
              report) (filed herewith)

       99.1   Certificate pursuant to 18 U.S.C. Section 1350 as adopted pursuant to
              Section 906 of the SARBANES-OXLEY Act of 2002 (filed herewith)

(b)           Reports on Form 8-K--None
</Table>

                                       13

<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.

<Table>
<S>                                               <C>
Diversified Futures Trust I

By: Prudential Securities Futures Management Inc.
    A Delaware corporation, Managing Owner

     By: /s/ Steven Weinreb                       Date: March 28, 2003
     ----------------------------------------
     Steven Weinreb
     Treasurer and Chief Financial Officer
</Table>

   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.

<Table>
<S>                                               <C>
By: Prudential Securities Futures Management
Inc.A Delaware corporation, Managing Owner

    By: /s/ Alex H. Ladouceur                     Date: March 28, 2003
    -----------------------------------------
    Alex H. Ladouceur
    Chairman of the Board of Directors and
    Director

    By: /s/ Eleanor L. Thomas                     Date: March 28, 2003
    -----------------------------------------
    Eleanor L. Thomas
    President and Director

    By: /s/ Steven Weinreb                        Date: March 28, 2003
    -----------------------------------------
    Steven Weinreb
    Treasurer and Chief Financial Officer
    (chief accounting officer)

    By: /s/ Guy S. Scarpaci                       Date: March 28, 2003
    -----------------------------------------
    Guy S. Scarpaci
    Director

    By:                                           Date:
    -----------------------------------------
    Tamara B. Wright
    Senior Vice President and Director
</Table>

                                       14

<Page>

                                 CERTIFICATIONS

I, Eleanor L. Thomas, certify that:

   1.  I have reviewed this annual report on Form 10-K of Diversified Futures
       Trust I (the 'Trust');

   2.  Based on my knowledge, this annual report does not contain any untrue
       statement of a material fact or omit to state a material fact necessary
       to make the statements made, in light of the circumstances under which
       such statements were made, not misleading with respect to the period
       covered by this annual report;

   3.  Based on my knowledge, the financial statements, and other financial
       information included in this annual report, fairly present in all
       material respects the financial condition, results of operations and cash
       flows of the Trust as of, and for, the periods presented in this annual
       report;

   4.  The Trust's other certifying officers and I are responsible for
       establishing and maintaining disclosure controls and procedures (as
       defined in Exchange Act Rules 13a-14 and 15d-14) for the Trust and we
       have:

        a)  designed such disclosure controls and procedures to ensure
            that material information relating to the Trust, including
            its consolidated subsidiaries, is made known to us by others
            within those entities, particularly during the period in
            which this annual report is being prepared;

        b)  evaluated the effectiveness of the Trust's disclosure
            controls and procedures as of a date within 90 days prior to
            the filing date of this annual report (the 'Evaluation
            Date'); and

        c)  presented in this annual report our conclusions about the
            effectiveness of the disclosure controls and procedures based
            on our evaluation as of the Evaluation Date;

   5.  The Trust's other certifying officers and I have disclosed, based on our
       most recent evaluation, to the Trust's auditors and the board of
       directors of the managing owner of the Trust:

        a)  all significant deficiencies in the design or operation of
            internal controls which could adversely affect the Trust's
            ability to record, process, summarize and report financial
            data and have identified for the Trust's auditors any
            material weaknesses in internal controls; and

        b)  any fraud, whether or not material, that involves management
            or other employees who have a significant role in the Trust's
            internal controls; and

   6.  The Trust's other certifying officers and I have indicated in this annual
       report whether or not there were significant changes in internal controls
       or in other factors that could significantly affect internal controls
       subsequent to the date of our most recent evaluation, including any
       corrective actions with regard to significant deficiencies and material
       weaknesses.

Date: March 28, 2003                    /s/ Eleanor L. Thomas
                                        --------------------------------------
                                        Eleanor L. Thomas
                                        President (chief executive officer)
                                          of the managing owner of the Trust

                                       15

<Page>

I, Steven Weinreb, certify that:

   1.  I have reviewed this annual report on Form 10-K of Diversified Futures
       Trust I (the 'Trust');

   2.  Based on my knowledge, this annual report does not contain any untrue
       statement of a material fact or omit to state a material fact necessary
       to make the statements made, in light of the circumstances under which
       such statements were made, not misleading with respect to the period
       covered by this annual report;

   3.  Based on my knowledge, the financial statements, and other financial
       information included in this annual report, fairly present in all
       material respects the financial condition, results of operations and cash
       flows of the Trust as of, and for, the periods presented in this annual
       report;

   4.  The Trust's other certifying officers and I are responsible for
       establishing and maintaining disclosure controls and procedures (as
       defined in Exchange Act Rules 13a-14 and 15d-14) for the Trust and we
       have:

        a)  designed such disclosure controls and procedures to ensure
            that material information relating to the Trust, including
            its consolidated subsidiaries, is made known to us by others
            within those entities, particularly during the period in
            which this annual report is being prepared;

        b)  evaluated the effectiveness of the Trust's disclosure
            controls and procedures as of a date within 90 days prior to
            the filing date of this annual report (the 'Evaluation
            Date'); and

        c)  presented in this annual report our conclusions about the
            effectiveness of the disclosure controls and procedures based
            on our evaluation as of the Evaluation Date;

   5.  The Trust's other certifying officers and I have disclosed, based on our
       most recent evaluation, to the Trust's auditors and the board of
       directors of the managing owner of the Trust:

        a)  all significant deficiencies in the design or operation of
            internal controls which could adversely affect the Trust's
            ability to record, process, summarize and report financial
            data and have identified for the Trust's auditors any
            material weaknesses in internal controls; and

        b)  any fraud, whether or not material, that involves management
            or other employees who have a significant role in the Trust's
            internal controls; and

   6.  The Trust's other certifying officers and I have indicated in this annual
       report whether or not there were significant changes in internal controls
       or in other factors that could significantly affect internal controls
       subsequent to the date of our most recent evaluation, including any
       corrective actions with regard to significant deficiencies and material
       weaknesses.

Date: March 28, 2003                   /s/ Steven Weinreb
                                       --------------------------------------
                                       Steven Weinreb
                                       Chief Financial Officer
                                         of the managing owner of the Trust

                                       16