Sorry, this was unclear. It should read: "You should find benchmark annual returns for DJIA, S&P500, NYSE/AMEX, NYSE/AMEX/NASDAQ, RUT3000, RUT2000, etc. You should obtain returns for level data (no dividends) as well as dividends included (this is called Total Return). You should also try and get benchmark return data for Market-Weighted as well as Equal-weighted. This is most easily accomplished using WRDS/CRSP."
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