[ptype]

Surely this is (ignoring transaction costs) reflected in the index performance already. If you sell and buy at the time (and price) of the index you will match the performance. This is not unique to DJIA by the way.

[brudgers]

There are indexes that can be matched. DJIA is not one of them.

[ptype]

If that is the case, how do you explain that there are ETFs tracking the index? E.g. http://www.etf.com/DIA

[brudgers]

They suffer a loss when a more expensive stock replaces a less expensive stock. Portfolios have risks, indexes don't.