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John Tomac for Barron’s

The five-year period effectively has been owned by Morgan Keegan, whose nearly 20% return produced its fourth straight win. For as long as it has qualified, through bull and bear markets, this brokerage hasn’t been dislodged from the five-year top post.

Once again, the average brokerage return outperformed the stock market in all periods, but the margin of victory was lower than in previous contests. There’s no longer a tailwind from a furious bull market, as there was for much of 2009 and early 2010. Among the losers, Wells Fargo Advisors was last in the shortest race, its list down 13%, while Raymond James Financial (RJF) had the misfortune of finishing last in the other three races.

The lists can include 10 to 100 picks. Those with fewer names, such as Wedbush’s, which contain eight to 15 stocks, can benefit or be hurt disproportionately by one or two stocks with big moves. In the previous contest, Wedbush fell to last from first in the contest before that..

Wedbush didn’t ride any particular sector, she adds. Zoll Medical (ZOLL), a maker of medical devices such as defibrillators, was a recent addition. New products have helped the company exceed analysts’ earnings-per-share expectations in the past three quarters. Zoll also has operating leverage as its core business recovers with the economy.

Bottom line: The average brokerage list has beaten the market regularly in the past few contests. But most go through hot and cold streaks, so investors should focus on durable, long-term outperformance.

How We Rate Them

In tracking brokerages’ best ideas, Zacks Investment Research puts a stock in a theoretical portfolio when the brokerage adds it to its focus list, and removes it when the brokerage does.

While similar in intent, the lists differ in significant ways. Some are updated at regular intervals; others, ad hoc. Most lists are flexible in size, with 20 to 40 names, but some are fixed. The smaller the list, the more exposed it is to one stellar or disastrous pick. Some lists have as many as 100 names, on them individual picks matter less, but it’s tougher to beat the index.

A few additional notes: Regulatory restrictions prevented Merrill Lynch, which changed its focus-list strategy in March, from publishing new performance results. Goldman Sachs changed to a new strategy at the end of the third quarter of 2008.

Zacks ranks all picks on an equal-weighted basis, while the S&P 500 is weighted according to components’ market capitalization. As a result, brokerage results aren’t strictly comparable to the S&P. To provide a better perspective on relative performance, our tables show S&P returns on an equal-weighted basis, as well.

Who’s the Fairest of Them All?

Wall Street’s focus-list stocks beat the S&P 500 in the six months ended June 30, a period when Wedbush Securities leapfrogged other brokerages to move into first place from last. Goldman Sachs suffered a comeuppance in the latest span, sliding to No. 12 from No. 1 in the six months ended Jan. 30.