Since 2007 a few names dropped from the DOW General Motors (bankruptcy), AIG ($180B bailout), Kraft Foods (which replaced AIG in 2008), Citigroup (which would have gone broke in a free society). It is easier to pretend you are winning if you just ignore the losses, don't you wish your account worked that way?
In fact, of the originals, only GE remains.
So each time there is a failure they just ignore that for the "continuous" average and pretend it didn't happen.
So if you're still holding your Chicago & North Western Railway Company shares, or your Pacific Mail Steamship Company stock, or your American Cotton Oil investment, the DOW hasn't done so well historically.