I've been exploring WRDS but with the exception of NYSE/AMEX, I can't find any information summarized by index with which to construct benchmarks. Do you intend for us to identify the membership of each index by year (86 years), look up the permno's for each stock, and pull this information from CRSP for each of the DJIA, SP500, NYSE/AMEX, RUT3000, RUT2000? If that is your intention, can you please tell me if you will be assigning this amount of work for each of the homeworks? We did something similar for just the 10 dogs of the Dow over 30 years in Stat 686. It took a very long time and was considered a project level undertaking. I've added 482 on top of an already heavy load because I'm interested in the topic. So I'm eager to know if I should be auditing the class instead of taking it.

Thanks for the question, fear not! You just need to get annual stock market index returns, available from numerous sources. In CRSP there is S&P, Dow, as well as those you mentioned.