Investors looking to maximize returns should focus on stocks that have a high Sharpe ratio, a calculation that compares the performance of a stock to the return on a relatively risk-free investment such as a government bond. It helps an investor judge whether the return on the stock is greater than the additional risk taken to generate that return.

Goldman’s list is a rundown of stocks that generate high Sharpe ratios. It makes a new list every six months. So far this year, stocks on the list have outperformed the S&P 500 by 12 percent versus 10 percent, Goldman said, and since 1999 the strategy has beaten the S&P 500 in the semi-annual periods 71 percent of the time.

Shares of Autozone and Discover Financial have declined year to date but each has a Sharpe ratio of 1.0 or more, a threshold that is generally seen as a good indicator. Shares of Anadarko Petroleum, which is also mentioned, have sold off this year, but have a ratio of expected return to implied volatility of 2.1, the highest on Goldman’s list.

Goldman said the median stock on its new list had three times the expected risk-adjusted return of the median S&P 500 stock. The firm said consensus expects 21 percent upside for this group of stocks versus 6 percent for the median S&P 500 stock.

For more on Goldman Sachs, watch CEO Lloyd Blankfein’s interview on Mad Money tonight at 6 p.m. ET.