The worsening tensions between Moscow and the West over Ukraine have put Russian markets in the deep freeze. But even after steep falls in stocks, bonds and the ruble, there is little reason for investors to warm to Russian assets.

Russian assets rallied in May and June as investors hoped that President Vladimir Putin might back down from confrontation. But the shooting-down of Malaysia Airlines Flight 17 over Ukraine in July and now the deepening conflict have hammered prices since then. The ruble Monday hit a record low...