it seems to be based on the eventual fate of the many, many companies that were removed from SP 500 since 1929 (https://www.dogsofthedow.com/djdelete.htm) and replaced with robust ones. So many of these companies went on to declare bankruptcy (i.e. Sears, Radio Shack) = 100% lost value x all those that failed or are now at marginal value. When their values are complied, numbers are not so good.
