RSX allocates about 21% of its weight to OAO Gazprom, Lukoil and Mobile Telesystems, stocks that recently traded at an average discount of 40% to their 10-year averages. [Russia ETFs on the Cheap]

Two of the best Micex performers last month were Sberbank and Yandex (NasdaqGS: YNDX), often referred to as the Google of Russia. Those stocks combine for over 11% of RSX’s weight. Last month, all four of the U.S.-listed Russia ETFs ranked among the month’ 10 best non-leveraged ETFs. [May’s Best ETFs]

Investors are also allocating capital to Russian small-caps, which also trade at paltry valuations. The Market Vectors Russia Small-Cap ETF (NYSEArca: RSXJ) added $13 million in new assets last month, or 23.6% of its current assets under management total. The ETF, with a price-to-book ratio of just 0.47, surged 15.1% in May.

Market Vectors Russia ETF