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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 $\endgroup$ – Tyler Olsen 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
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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(not sure on quality), http://centraltendencies.com/2011/03/sp-500-total-returns/

Edit: 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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