Where can I find historical monthly and annual total returns for the S&P 500?
In Bloomberg, use the ‘Total Return Analysis’ function (type ‘TRA’ and press Enter). This function allows you to calculate returns.
To calculate Total Shareholder Return (TSR) in the Bloomberg Excel add-in, use the following formula: =BDH("IBM US EQUITY", "day_to_day_tot_return_gross_dvds", "23/03/2010", "23/03/2015"
(this example is for IBM between 23 March 2010 and 23 March 2015).
In Datastream, when choosing the ‘Data Category’, select ‘Equity Indices’. Type in the search box ‘S&P 500’ and select the series with code ‘S&PCOMP’. When choosing the datatype, search for ‘RI’ (total return as an index).
In CRSP via WRDS, go to WRDS and choose ‘CRSP’. Select ‘Index / S&P 500 Indexes’.
