That shouldn't be.
First of all, try to rule out any mistake in your setup, see if you get positive and negative results for dummy components (like an actual diode, zener, BJT, JFET, other MOSFETs..).
Is the response resistive? The gate may be blown out.
You may simply have bad parts, or they have been handled badly. Small parts are much more ESD sensitive than power parts, after all.
Tim