The modern stock market of Russia has faced a significant number of challenges and threats. Due to sanctions imposed by unfriendly countries, the withdrawal of many investors from the national market, and their skeptical attitude toward the prospects for the country’s industrial development, shares of Russian companies have become deeply undervalued. At the same time, the market value of these securities often does not reflect the actual sustainable development of Russian enterprises. Today, undervalued companies from various sectors can be identified on the stock exchange. A difficult task for an investor is to conduct a correct and comprehensive analysis of a significant number of enterprises to identify signs of undervaluation of their shares. This study applied one of the most well-known and widely used strategies – the value investing strategy – to shares of large Russian companies listed on the exchange market. Quantitative (fundamental) analysis is presented using various financial indicators characterizing the efficiency of organizations’ activities, as well as the Graham ratio. This, combined with a qualitative assessment of corporate policy, development strategy, and the role of companies in the market, made it possible to form the most complete assessment of whether the market value of their securities corresponds to fair value. Based on the results of the analysis, those issuers whose shares can be classified as undervalued were selected. According to the authors, among strategically important sectors on the Russian market, three promising organizations should be highlighted, in which investors need to invest to obtain higher returns in the future. It is worth noting that the presented analysis makes it possible to identify undervalued companies in the market with good accuracy; however, to reduce the risk of falling into a «value trap,» the analysis can be expanded by using additional financial indicators and non-financial information.