The load might be too much for your signal gen.
You have 4V peak, if your sig gen is 50Ω it should output 2.6V peak into 100Ω, take the 2V- from the rectifier you should be seeing at least 0.6V peaks. Also, the generator needs to source a few mA.
Try taking the load out, or use a much bigger one if the signal isn't that clear. 1k to 10k should do.
Also, with a low voltage AC you won't get a very nice rectified signal, something more like what you are seeing, increasing source voltage, decreasing the load, using lower voltage diodes (Ge or schokty) would make things better.
JS
PS: too many fast replies, just to add, if you can't generate higher voltage you could use a mains AC transformer and take the output from there, sine could be a little distorted as those tend to saturate at the peaks but the picture might end better than with your config.