One of my biggest mistakes a few years ago was placing a bet on one of Russia’s largest oil companies. In hindsight, despite the incredible value still offered by this investment, I’ve lost more than 50% of my capital and not strictly because of plunging oil prices.

Russia is not governed by market capitalism. The market has evolved into a twisted version of despot capitalism whereby Vladimir Putin sets the tone for the market, deciding which companies should be nationalized (a.k.a. victimized), purged and eventually placed under full or partial state control. The government typically targets natural resource companies for this exercise and doesn’t care if foreign investors get caught in the middle of this confusing web of intervention.

Foreign investors have been raped over the last few years in Russia, including mutual fund managers raided by domestic authorities because they expressed negative views about the economy. Shareholders’ rights mean nothing, securities laws really don’t apply to the market and Putin and his buddies change the rules of the game when they please.

This whole saga has intensified since 2008, with Russia’s invasion of Georgia last summer acting as the last straw as foreign investors began a vicious exodus out of Russian equities and, ultimately, the currency, too.

Since hitting a high in May 2008, the Moscow RTS Index has tanked more than 70% while the Russian rouble has begun to devalue against most foreign currencies, already down 15% in 2009. The Russians are rapidly depleting their foreign exchange reserves over the last six months to support frail domestic banks, a weak currency and a contracting economy heavily dependent on commodity exports.

The oil company I still own might eventually rally again one day. It is one of the largest oil companies in the world and, based on its plunging stock market capitalization, trades at a mind-boggling 75% discount to Exxon-Mobil – the world’s largest company – despite producing almost the same annual oil production.

If not for Putin’s constant meddling in the market I doubt this company would have declined so precipitously over the last eight months – much worse than most oil companies in Europe or in the United States.

But the rules of the game in Russia change constantly. In this environment, who needs more problems? I’ll never invest in Russia again.