Diversification isn't offering as much protection from the stock market's recent skid as investors may have hoped.

Spreading money among U.S., international and emerging market mutual funds is supposed to soften the blow when one market goes bad. But since the Dow Jones industrial average started sliding from its all-time high of 7,085 in mid-March, mutual funds that invest overseas and in emerging markets have slipped as well.Between March 13 and April 10, while the average diversified U.S. stock fund lost 4.15 percent, according to Lipper Analytical Services Inc., the average international fund lost 1.39 percent and the average emerging market fund 1.62 percent. Global funds, which invest in the United States and abroad, were off 2.45 percent.

That doesn't surprise fund watchers. "Usually when you see a significant move, just about everyone goes the same direction," says Russ Kinnel, equity editor at fund-tracker Morningstar Inc. in Chicago.

But over longer periods, he argues, markets have distinct behavior patterns. Consider the U.S. and Japanese markets of the 1990s: one riding a powerful bull, the other mauled by a vicious bear.

Those two have continued to diverge in the last month. Since the U.S. market started souring in mid-March, the average Japanese fund has actually gained, though a mere 0.17 percent. Latin American funds are also ahead, by 1.67 percent. But European region funds are down 1.68 percent, and gold funds, commonly seen as a safe haven, have dropped a severe 11.12 percent - mostly because of controversy surrounding Bre-X Minerals Ltd. and its Indonesian gold discovery.

Among the few funds to make money during the recent rough patch is the Oakmark International Fund. It returned 1.08 percent in the period, the best of any fund that doesn't concentrate on a particular sector or region. So far this year, the fund is up 7.27 percent, compared with a 0.47 percent loss for the average international fund.