OREANDA-NEWS. August 12, 2011. Over the past three years the MSCI Russia Index has fallen 15% or more on four occasions. Since 1 Aug 2011, the index has slumped 10%.

Based on MSCI indices, on each of these occasions we see that Russia has tended to underperform EM with Russian materials and financials especially hard hit; telecoms and consumer stocks have fared better. During three of the four abovementioned market declines, materials and financials have been the worst-performing sectors in Russia. We also note that while there is no MSCI Russia real estate index, the sector (with the exception of Raven Russia) has frequently suffered heavy losses when the overall market has moved south. The least-affected segments include consumer staples and telecoms (and to a lesser extent utilities) which stand out as the sectors with the best defensive characteristics.

The good, the bad and the ugly. We analysed the performance of 73 stocks and discovered that four – Magnit, Globaltrans, Raven Russia and Pharmstandard – have been among the top-25 performing names on all four occasions. Another 13 stocks were among the 25 best-performing names in three of the four downturns. Meanwhile, three stocks – Transneft, PIK and Evraz – have been among the 25 worst-performing names on four occasions, while another 13 stocks were among the 25 worst performers in three of the four downturns.

Stocks with a high frequency of outperformance: Magnit, Globaltrans, Raven Russia, Pharmstandard, OGK-3, C.A.T. oil, X5 Group, M.Video, Cherkizovo, EDC, NCSP, Polyus Gold, CTC Media, Polymetal, NOVATEK, Sitronics and Aeroflot.

Stocks with a high frequency of underperformance: Transneft, PIK Group, Evraz Group, Gazprom Neft, Surgutneftegas prefs, Gazprom, Sberbank, Mosenergo, Raspadskaya, Sberbank prefs, Severstal, Tatneft, Mechel, Sistema, OGK-1 and Sistema Hals.

At a future date, in a separate note we will address stock and sector positioning for a market recovery once the current turbulence has run its course.