The U.S. stock market is officially in a bear market, with the S&P 500 earlier this week closing more than 20% below a record high.

For investors looking to protect their portfolios in this tough environment, there are some stocks that have done well in previous bear markets.

To find these names, CNBC Pro looked at the total returns (price gain plus dividends) of S&P 1500 stocks during the last three bear markets. We then ranked them by their median returns during those time frames and filtered for companies with market caps of at least $1 billion. Then, we narrowed the results to stocks that also outperformed the S&P 500 during those bear markets.

The last three bear markets, as defined by S&P Dow Jones Indices, took place during the following periods: Feb. 19, 2020 to March 23, 2020; Oct. 9, 2007 to March 9, 2009; March 24, 2000 to Oct. 9, 2002.

Here are the stocks that made our list.

United Natural Foods topped the screen with a median return of 44.4% during the three previous bear markets. The stock has struggled this year, falling roughly 17%, but that’s still outperforming the S&P 500 and the S&P 1500, which are both down more than 21% for 2022.

Natural gas producer Southwestern Energy also made our list with a median return of 26.5%. The stock is also the only name on the list to have posted double-digit returns during the last three bear markets.

Southwestern shares have been on fire this year, rallying 71% as natural gas prices have skyrocketed.

Car parts and equipment retailer AutoZone also made the cut with a median return of 22%. AutoZone shares are down just 3% year to date and have surged more than 43% over the past 12 months.

Wells Fargo analysts highlighted AutoZone as a “counter-cyclical” name that tends to hold up during this kind of environment. The shares are “historically recession-resistant, with needs-based categories that typically outperform during challenging economic climates,” Wells said last week.

Defensive stalwart Clorox also turned up on our screen, sporting a median return of 3.2% during the last three bear markets. To be sure, the stock is down more than 28% in 2022, and the company lowered its full-year gross margins estimates last month.

Representing health care is Gilead Sciences with a median return 8.8% over the past three bear markets. Gilead shares have struggled this year, falling about 20%.

SVB Securities analysts wrote last month that Gilead’s valuation was inexpensive, but added that the company’s drug pipeline “needs validation.”

“GILD trades at a low P/E, but given low-single digit earnings growth prospects ex-Veklury we think the company needs to deliver compelling pipeline results to drive stock outperformance,” said SVB, which has a market perform rating on the stock.

Other stocks that made the list are: Monro, WD-40, Capitol Federal Financial, Spire and Royal Gold.

—CNBC’s Michael Bloom contributed to this report.