The following graph shows the Dow Jones Industrial Average from 10/1928 through July of this year, adjusted for inflation (I couldn't easily find inflation data from July through October, so I just left it out). I (somewhat) arbitrarily deleted the period from 1/1995 until 12/1997 (3 years), a period when the Dow Jones was monotonically increasing on a monthly basis, almost doubling its value. I then computed the exponential fit to the two resulting data series. What you find is that, until 1995, investing in the Dow Jones would've yielded you about a 1.4% annual return after inflation (not accounting for dividends) [the standard OLS 95% intervals are +/- .14%, although with so much serial correlation, that's probably too small]. Since 1998, it's statistically been a 0% rate. And even in the earlier period, the growth rate is heavily dictated by the fact that it basically starts in a depression. And in fact, from 1952-1982 - a 30yr period, which is quite a long time - an investment in the DJIA would've actually lost you money.
UPDATE: I adjusted the graph to show the best-fit and 95% confidence intervals after removing the serial correlation in the data. As you can see, neither period has a trend that is statistically significant at the 95% level.
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