(FORTUNE Magazine) – These things gotta happen every five years or so--ten years. Helps to get rid of the bad blood. Been ten years since the last one. --The Godfather

No question, there's blood on the Street, and, for the first time in about a decade, recession on the tongue. Many of you may be tempted, in Corleone family parlance, "to go to the mattresses." That is, to get yourself a big king-sized Serta, slice it down the middle, and shove your remaining cash inside. But should you?

Of course not. Even if the economy tanks, there are better things to do with your money. (For more on how to make the cash part of your portfolio pay, see next story.) According to Ned Davis Research in Venice, Fla., 41 out of the 81 sectors the firm has tracked since 1925 moved higher during a recession.

But then, history doesn't always repeat itself. What worked in the 1930s won't necessarily play well today. To find out what will work, we spun the Ned Davis data forward, assessing which of those traditionally strong sectors should thrive now. Then we looked within the sectors to find the stocks that seemed the most promising. Be careful, though, of overexuberant expectations: None of the picks will double your money overnight. (We'll leave those kinds of returns to the Mob.) But these stocks may keep last year's losers in line.

Diversified health care. Average annual return in a recession +28%

The bad news is, none of us can pick when we get sick. The good news is, health-care stocks generally hold up as well in recessions as they do during boom times. The best performers are diversified companies--those that make everything from drugs to medical devices. Here, Johnson & Johnson (JNJ, $90) is a good bet.

J&J's earnings have increased by an average of 14% annually for the past decade. It's now buying everything it can to ensure that growth stays on track. Most recently it paid $12 billion for Alza, known for its innovative drug-delivery systems (think nicotine patch). Tom Wald, manager of the Invesco Health Sciences fund, says that the recent drop in J&J shares makes it an "excellent time" to buy. J&J's forward P/E ratio of 24 is well below its average over the past several years and at only a slight premium to the S&P 500. Wald, whose fund returned 12% annually over the past five years, sees the stock hitting $105 by year-end.

Savings and loans. Average annual return in a recession +16%

The main sell for this sector is lower interest rates. They help Washington Mutual (WM, $53), the nation's largest thrift, in two ways. First, spreads on existing loans swell--that is, the thrift's cost of funds declines as the payments it collects remain steady. Second, lower rates prompt consumers to borrow more.

Bill Nygren of Oakmark Select (which returned an impressive 20% in the past year) says Washington Mutual's large portfolio of middle-income residential loans should weather the recession well. He expects earnings to exceed $5 a share next year, driving the stock to the high $60s.

Alcoholic beverages. Average annual return in a recession +4%

Joe Six-Pack may be out of a job, but you can bet he's not out of beer. Our pick for this recession-proof sector: Anheuser-Busch (BUD, $42), the world's largest brewery and the maker of Bud Light. Last year sales of the low-cal suds jumped 11%, the ninth straight year of double-digit growth. That helped push Anheuser's share of the domestic beer market to 48%, more than twice that of its nearest competitor, Miller.

The stock trades for 22 times expected earnings, slightly higher than the S&P 500. But that P/E ratio is in line with BUD's five-year average, and earnings are expected to climb at an 11% annual rate over the next several years. Based on a consensus earnings estimate for 2002 of $2.13 a share, the stock should hit $47 by year-end.

Food. Average annual return in a recession +2%

We all need to eat--even if the market has sapped us of our appetites temporarily. John Spears, co-manager of the Tweedy Browne American Value fund, favors Unilever (UN, $54), maker of such well-known brands as Lipton tea, Breyers ice cream, and Ragu spaghetti sauce. "They've held up well in crummy times," says Spears, who has held up well himself, carving out returns of 14% in the past year and an average of 15% annually over the past five.

The NYSE-listed Dutch giant has been on an acquisition spree of late: It gobbled up Bestfoods, Ben & Jerry's, and Slim-Fast, fortifying its already powerful brand portfolio. At the same time, it sold off slower-growing lines, such as its Elizabeth Arden fragrance and European bakery units. The result: Operating margins rose to a record 12% last year. But worries that Unilever may have trouble digesting all the new buys have dogged the stock, making it an opportune time to get in. Spears expects earnings to keep rising at a 10% clip.

Tobacco. Average annual return in a recession +13%

No competition here: One of every two cigarettes sold on a retail level comes from Philip Morris (MO, $47). And despite the escalating costs of tobacco litigation, profit margins continue to, um, smoke: Philip Morris earned a record $27 per 1,000 cigarettes sold in the second half of 2000.

The company has a lock on a few other addictive items: Jell-O, Oreos, Velveeta. It's gearing up to sell off about 20% of Kraft Foods to the public in May or June. The widely anticipated IPO is expected to raise some $5 billion for Philip Morris to play with.

True, tobacco stocks have enjoyed a good run of late--Philip Morris is up 135% in the past year. But Michael Sandler, co-manager of the Clipper fund (and check out these returns: 40% in the past year; 20% on average over the past five years), says that at 12 times expected earnings, the company is still "one of the most undervalued" holdings in his portfolio. He figures the stock is worth just under $70 a share. A possible 40%-plus gain during a recession? It almost sounds like blood money, but we'll take it.