We are having difficulty finding data for Russell and NASDAQ as well... It seems the only place that provides market weighted vs value weighted data is WRDS. Yet we could not find any data of Russell or NASDAQ.

WRDS provides NASDAQ data back through 1987 or so; YAHOO provides R2K thru 1987, and NASDAQ composite data back to 1971. YOu might have to get total return data from the NASDAQ or Russell websites. You don't have to include every index to so well on this project. You do not a good benchmark for the total stock market, hence we use NYSE/AMEX, maybe the Russell 3000, and also popluar indexes such as Dow and S&P500. Index data from the data providers such as DOW, S&P and RUssell which includes dividends is normally called "Total Return" and the total return CAGR's can be computed directly from these.