In some of the sample assignments people distinguished between annual return and total return. Do you know the difference between the two?

The total return index includes dividends. You have to get total return data from DJIA website (requires signup). Sometimes people report 'total return" over the entire period (r1+r2+...rn) which is not very meaningful. It equals n times the average return, and the average return overstates the CAGR. This may be what you saw in some of the sample projects. We however are interested in CAGR, and maybe drawdowns, etc.

One could debate which benchmark to use. Since this is a dividend play, one could argue to use a total return index. However, this index is almost never quoted, only the DJIA (without dividends). As of 9/30/2016, the DJIA closed at 18,308 and the Total Return Index closed at 38,302. So either choice is fine, but know that claims of outperformance would usualy be versus the simple DJIA or S&P 500.