The ETF 50 Index™, the industry's leading measure of ETF performance, slipped 1.4% in March, its fifth loss in as many months. But in a re-evaluation of global risk, foreign markets—which had been marching in lockstep with the Standard & Poor's 500 Index—diverged, with Europe turning up and everything else, notably emerging nations, running down.

Commodities also faltered in the month, with StreetTracks Gold Shares (GLD) sinking 6.0%.

The marionette markets are taking a hold of their own strings. Decoupling turns out to be working.

The ETF 50 Index™ had been outperforming SPDR S&P 500 Index (SPY) for most of the last year, but in March achieved parity. That means there was no refuge in March. And when there is no refuge, U.S. stocks are themselves the refuge, because over time they beat everything else.

Domestic technology issues were among the month's few winners, with the tech-heavy Nasdaq, represented by PowerShares QQQ (QQQQ), advancing 1.8%. European markets resisted the downturn, with iShares MSCI EMU Index (EZU), which tracks the euro zone, up 2.6%.

Also in March, domestic small-capitalization stocks outperformed their larger brethren, after lagging them for more than a year. iShares Russell 2000 Index (IWM) declined only 0.8% during the month, roughly 40% less than the Spider's 1.4% fall. Small caps are more economically sensitive, so this outperformance is bullish for the market and the economy.

In general, foreign markets were weak, with iShares MSCI Japan Index (EWJ) down 1.3%, while iShares MSCI Brazil Index (EWZ) tumbled 8.1%. iShares MSCI Emerging Markets Index (EEM) was down 3.9%.

The ETF 50 Index™ was off 8.3% in the first quarter, while the Spider tumbled 9.3%. Over the last 12 months, the ETF 50 Index™ has declined 2.2%, compared with the 7.4% loss of the Spider.

The ETF 50 Index™ has declined 16.3%% in the last five months, as the global bull market that began five years ago corrects. But February (minus 1.2%) and March experienced much smaller declines than November (minus 4.5%) and January (minus 5.9%).

The ETF 50 Index™ represents the price-only asset-weighted price performance of the 50 largest exchange-traded funds. The index consists of a broadly diversified universe of funds representing domestic and foreign stocks, bonds and commodities, and is a better indicator of actual investor returns than indices tied to particular markets.