That's a question John Mauldin addresses in this week's edition of his Frontline Thoughts newsletter, "Deep Inside the Dow" (PDF):
The Dow Industrials was expanded to 30 names from 20 on October 1 of 1928. Today, only nine names of the original 30 remain in the Dow. The committee at Dow Jones has replaced the other names as the companies grew out of favor, were merged into other stocks, were considered too small, or the committee felt that other companies better represented the industrial prowess of the US economy.
Thinking about the Dow, I wondered how much the committee had helped or hurt the Dow performance over the last 80 years. What if we went back to the original 30 stocks and simply bought them and held them until today? Good, bad or indifferent, what would the results be?
Mauldin gets this answer from Rob Arnott of Research Affiliates:
If Dow Jones hadn't tinkered with the index, the 30 companies would have merged or failed their way down to just 9 survivors. Of the 21 companies in the original 30 that are now gone, 20 disappeared through M&A, some were replaced by successor firms and others not, and only one (Bethlehem Steel) failed outright. But this no-fiddling index would have topped out at just over 30,000 in October 2007 and would have finished 2008 at 14,600.
The performance of that non-tinkered with index is represented by the second-from-the-top line on the above graph, which comes from Mauldin's newsletter. The top line represents the performance of the same non-tinkered with stocks if they had been equal-weighted instead of price-weighted, as the Dow is.