Still the data on the overall benefits of diversification is very strong. In one study by investment managers Gerstein Fisher covering 1999-2011, a globally diversified portfolio outperformed a U.S.-only one in 96 percent of rolling three-year periods, with a total outperformance of 35 percentage points over 11 years.

Familiarity Bias

Much of the Columbia and Financial Engines study backs up the familiarity hypothesis for why people under-diversify.

For example, having an export oriented factory open up near you seems to be a very good thing for your investment sophistication.

The study found that states with higher relative export components in their economies tended to also see higher international exposure in 401(K) accounts. At the zip code level, living in a place with more foreign-born residents also correlates meaningfully with being more willing to hold foreign shares.

The general news, however, is upbeat. International diversification has increased by nearly 50 percent in the five years to 2011, years which included a rather spectacular global market fiasco.

As with many trends, the young adapt more quickly and fully than their older peers, but all groups from the oldest to the youngest are moving towards more international diversification over time.

There also, as you would expect, is some correlation, though not perfect, between being under diversified internationally and not participating in equities at all.

The fact that younger investors seem more open to international investing is hopeful, and the data is strong enough to imply that the under-diversification may disappear, or at least become less severe, over time.

To be sure, 401(K) accounts don't represent their holders' entire portfolio, and may also, because of the population which holds them, give a distorted view of overall diversification.