You should love madoff, wasn't he stealing from the rich?
aside from the "stealing" part being bad, his funds were pretty wide open, we had someone in our neighborhood who was definitely middle-middle class who basically lost everything.
On the one hand, you would say "you should be diversified", but on the other, Madoff was supposedly running a fairly vanilla fund that just happened to make very good trades on not particularly risky assets. Not really any riskier than a vanguard S&P fund. They just kept "making the right calls" on reasonably vanilla companies.
So the thing you are diversifying against is the fund you picked being a ponzi scheme.