Many papers, e.g. in The Journal of Finance, discuss DGTW adjusted returns (or DGTW abnormal returns) instead of just returns.
What are these and how does one compute them?
Following Daniel, Grinblatt, Titman, and Wermers (1997) "D.G.T.W.!", DGTW subtracts from each stock return the return on a portfolio of ﬁrms matched on market equity, market-book, and prior one-year return quintiles.
Daniel, K., Grinblatt, M., Titman, S., Wermers, R., 1997. Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035–1058.
The DGTW paper tries to decide whether stock funds are good in picking stocks and timing the market. My understanding is that the intended application of DGTW returns is to have a criterion for stocks which outperfrom its benchmark and then make conclusions about the stock-picking abilities of the fund manager. Of course the same principle applies for other stock picking entities, such as computer algorithms.
Edit: you can download the benchmark returns from the homepage of one of the authors.