[brudgers]

Dow Jones 'performance' is based on a price-weighted average. If a $2 per share stock goes to $1, $200 per share stock going to $201 offsets the loss.

If $400 were allocated equally among the two stocks, an actual investor would lose 25% ($100) while the Dow showed no movement.

[ptype]

Yes, so you should not allocate the $400 equally across the shares to match the performance of the index. You should buy an equal number of shares of each stock. It may not be a greatly constructed index by modern standards but to my understanding you can in theory get the same performance yourself.

[brudgers]

Buying an equal number of shares does not track the DJIA either. Apple closed at 126.6 the day it replaced ATT. ATT closed at 33.48.

[ptype]

I struggle to see why that is a problem? You will need to rebalance the portfolio, yes.

[brudgers]

The DJIA replaced each share of ATT with a share of Apple on a ledger. Without additional investment or buying and selling other assets, there's no way to replicate that in a portfolio due to the difference in share price. Essentially, the DJIA pumped in an ~300% increase in equity value on the ATT shares...or divided among thirty companies a 10% profit.