Russian valuations are always more depressed than developed markets, but these ratios are below the usual 6 or 7 times PE. With valuations as low as they are today, some investors don't mind taking on the risk that comes with Russia.
"The discount is particularly acute," said Riley. "Despite all the problems, people do see some value there."
There's another reason why the country hasn't suffered as badly as some other nations. Oil is priced in U.S. dollars, so it generates revenue in greenbacks.
Read MoreBest ways to profit from beaten-down energy stocks
The ruble has fallen by 42 percent against the U.S. dollar over the last 12 months, and while that has had a negative effect on a lot of sectors inside the country, it's actually made production costs cheaper for Russian oil companies.
"These stocks have some insulation from the falling ruble," said Riley. "So currency moves have been a net positive for the sector."
Thanks to the surging U.S. dollar, Russia, which typically produces a barrel of oil for about $40, can now produce one for closer to $30, said Kostanian. In other words, these companies can make more per barrel of oil than businesses in some other countries.
Finally, the Russian market is just so levered to the price of oil—the sector makes up 58 percent of the MSCI Russia Index—that any rise in oil prices will have a dramatic effect on equity markets.
At the moment, it appears the bleeding has leveled off. Add to that a slightly steadier geopolitical environment—it seems the Russia-Ukraine situation has stabilized—and investors are starting to feel more comfortable with the country again.