Market. Companies that sell most of the goods or services in a particular market (Russia, the US, Europe and Asia) are directly dependent on this market. That is, if products are sold less, then both revenue and profit will decrease.
For example, Aeroflot and Magnit, despite their different directions, want to take money from one particular Russian. And if a person will have less money, then the income of companies, and accordingly yours (as the owner of shares), will fall. If you buy shares of companies that depend only on one market, you will buy one common macroeconomic risk.