Where did you get the benchmark data for the Dow and the Russell 2000/3000? We could not locate the data on WRDS or CRSP. I have data downloaded from Bloomberg that is similar to the benchmark, however the data runs from (12/31-12/31) rather than (1/01-1/01), so I was wondering where you got Dow and Russell so I can calibrate exactly to your data.

Our data goes from FTDOY to LTDOY, usually 1/2/xx thru 12/31/xx, so there should be very little difference between our results, although this sort of precision from you is what I was hoping for. If you check I'll bet Bloomberg is really based on LTDOY, BTW. Indeed, RUT3000/RUT2000 are not on CRSP, although the DOW is, but it does not go back very far. Our data comes from another service like Bloomberg which accounts for all dividends, including mergers/spinoffs and liquidating dividends. I would be very interested in seeing how these compare wit the Bloomberg data. I don't think Bloomberg goes back much past 1985, but perhaps you found that it did. You can also get the data directly from Russell.