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I'm looking for monthly data of the S&P 500 total return since 1956. I have looked into Bloomberg and Datastream, but it looks like there are data only from 1988.

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  • $\begingroup$ Yahoo Finance has the price data back to 01/01/1950, up to daily resolution. You should be able to export a csv from there and calculate the returns yourself. (copy/paste the link, don't click. SE is having trouble parsing it) finance.yahoo.com/q/hp?s=^GSPC&a=0&b=3&c=1950&d=4&e=12&f=2015&g=d&z=66&y=0 $\endgroup$ May 12 '15 at 23:49
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    $\begingroup$ Yes, I know. I'm looking for data of the total return index, not of the price index. $\endgroup$
    – Egodym
    May 13 '15 at 0:07
  • $\begingroup$ I was hoping that FRED might have it, but nope. Explains why QE-induced bubbles are not on their radar screen fred.stlouisfed.org/categories/32255 $\endgroup$ Feb 12 at 21:34
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My understanding is that there are multiple S&P500 total return indexes. Each has a different base year, 1936, 1970, 1988 and year to date. If you can't find the ticker for the different indexes on bloomberg or by asking support, you could try s&p themselves.

I was also able to find 1970 to present here(I'm not sure about the quality of the data, though a source confirms my understanding.)

There are four different total-return indices for the Standard & Poor's 500 Index: 1936, 1970, 1988, and year-to-date. Each one uses a different base period. The 1936 and 1970 total return indices were developed for historical use. Dividends are reinvested quarterly from 1936 through 1988 in the 1936 total-return index, and dividends are reinvested monthly from 1970 through 1988 in the 1970 total-return index. The 1988 total-return index is calculated based on daily reinvestment of dividends and uses January 1, 1988, as the base period. The year-to-date total-return index is also calculated assuming daily reinvestment of dividends; however, the base period is the last day of the prior year.

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    $\begingroup$ Unfortunately the source is not available anymore. Is there another source? I found some data on yahoo ^SP500TR but only from 1988 to present. $\endgroup$
    – eztam
    May 10 '18 at 18:03
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Robert Shiller at Yale has it monthly back to 1870 (obviously backfilling before the actual existence of SPX itself). This is the data used to compute the famous/infamous CAPE....

http://www.econ.yale.edu/~shiller/data.htm

(Just add the dividends to price to give you TR).

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