(FORTUNE Magazine) – Given the announcement on April 1 that Pfizer, Verizon, and AIG are replacing laggards Eastman Kodak, AT&T, and International Paper in the Dow Jones industrial average, the natural inclination for investors might be to follow the lead of many money managers: Dump the old components and buy the new ones.

Smart move? Perhaps not. Recent history suggests that being added to the average doesn't guarantee endless happy returns. In fact, the companies jettisoned from the Dow may be the better bet. Look at what's happened since the last overhaul in 1999: One of the four companies kicked out back then, Goodyear, has fallen 76%. But Sears has a total return of 70%, ChevronTexaco is up 12%, and Union Carbide was bought by Dow Chemical at an 8% premium. The Dow has returned just 5%. And what of the replacements? Microsoft, Intel, SBC, and Home Depot are down an average of 36%.

Indeed, what most investors fail to remember is that the Dow's primary role is to reflect the broader U.S. market--not to be a portfolio of winning stocks. As a spokeswoman for Dow Jones & Co. puts it, "We certainly don't look at performance to see what we should change." --David Rynecki