Our team is having great difficulty finding data for the S&P 500 values for each of the four categories: market weighted dividends, market weighted no dividends, equal weighted dividends, and equal weighted no dividends. While CRSP provides information, it only gives the percentages and not the actual annual dollar values. Furthermore, the S&P website seems to provide only market weighted no dividends annual values and only back to 1988.


We are interested in benchmark RETURNS for these periods, so we do not care about an index level. The only thing you would use an index level for (besides stochastic modeling) would be to calculate the daily/monthly/annual returns! So when CRSP provides the returns, all the work is done for you! Just use the CRSP indexes and use their return calculations. The S&P website might be limited or require registration, but since CRSP has this data there is really no need.


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