“First, I am part of the universe. Second, I am a punk feminist,” said the one in the pale yellow balaclava. “I am against the system. Any system.”

Russia’s latest protest group is nothing if not radical. Last month the Pussy Riot collective leapt onto the walls in Red Square, where executions were carried out in the time of the Tsars. “Putin is wetting himself in fear,” they shouted and sang. Passers-by loved the show so much they asked for an encore. Then the group were arrested.

“We think that to change the regime we have to use methods that the authorities don’t allow,” said the one in the pink balaclava. “We’re waiting for the moment when many more people start acting illegally like us.”

They are all in their early 20s, apart from the little one, who also wore a pale yellow balaclava, and told me she was seven. (At one point during our interview she tried to pick her nose, which was tricky through a layer of wool.) They remain anonymous – hence the balaclavas – and won’t talk about their personal lives. “We are musicians, artists, poets and industrial electronic workers,” said Yellow Balaclava. “If you’re creative and aspire to more than just physical comfort and prosperity then you can break the system.”

All very kooky and fun – but these young women had the most acute political analysis I’ve heard in my week in Russia.

“There’s no democracy here, it’s just a show,” said Red Balaclava. “The system pretends that people can express themselves politicially but it’s not true.”

“One of the three foundations of democracy has to be the courts and here they just protect those with power and those who pay,” said Pink. “Our children grow up detached from politics. We want people even from school age to be drawn into politics and realise that they can change things.”

Pussy Riot are part of a new protest movement which burst into life after December’s parliamentary elections, which many Russians say were rigged.

Vladimir Putin’s admission that he and President Medvedev had decided between them that they should swap the posts of Prime Minister and President made people feel they were being taken for granted.

Putin is still likely to win next month’s presidential poll, not least because no-one else with any mass recognition and appeal is standing. But it’s not just angry young women who are calling for change.

The Russian middle class complain that official corruption is ruining the country, and – now they’re no longer struggling to survive – they want a greater say in how Russia is run.

“The political atmosphere has changed,” said Pink Balaclava. “We’re not alone.”