http://politicalcalculations.blogspot.com/2006/05/mapping-sp-500-performance-since-1871.html"...So, we went back to the data mine. More specifically, we went to Yale Professor Robert J. Shiller's data mine! Shiller maintains an online database of historic S&P 500 performance in an Excel spreadsheet that he's made available to the public. The data presents the average of the S&P 500 index for each month beginning in January 1871. At the time we began this project, the data for the latter half of 2005 was incomplete, so we supplemented it with Yahoo! Finance's Historical Prices for S&P 500 (from June 2005-December 2005), Standard & Poor's Estimates and PE Excel spreadsheet (for Dividend Yields from September 2004-December 2005 and Price/Earnings ratios from June 2005-December 2005)....
....Update: Would you like to find the rate of return of an investment made in the S&P 500 between any two months since January 1871? With or without inflation? How about with or without the reinvestment of dividends? We've put all our data online, which puts The S&P 500 at Your Fingertips! Plus, we update our signature tool in the third week of every month after the Bureau of Labor Statistics releases the inflation data for the previous month! ..."