Some interesting facts:
(i) Since announcing the adoption of Six Sigma on July 1, 2001, Home Depot shares are down 8.3% compated with a 16% rise in the S&P 500 during the same period.
(ii) Honeywell shares are down 7.2% since its Six Sigma announcement in early January 2000, compared with a 3.6% fall in the S&P 500.
(iii) 3M shares are off about 1% since late December 2003 versus the S&P 500's 29% climb.
(iv) GE shares are down 16% since July, 2000 when the company adopted Six Sigma, compared with the 2.6% fall in the S&P 500.
Other underperformers include Lockheed Martin Corp., Ford Motor Co., and Xerox Corp.
Companies that beat the S&P 500 include Caterpillar Inc., Federated Department Stores Inc., Starwood Hotels and Resorts Worldwide Inc., Target Corp., and Whirlpool Corp.
These facts were presented in an article in WSJ ("The 'Six Sigma' factor for Home Depot", by Karen Richardson, WSJ, Jan. 4 2007, pp. C3).
I do not think this is a right metric to analyze Six Sigma based business performance. The analysis ignores several other contingent factors that might have contributed to the overall stock price movement.