What websites do you use to get returns data on indexes? I’ll go first. http://www.russell.com/Indexes/performance/calculator/calculator.asp Provides returns data for broad based, small cap, mid cap and large cap Russell indexes. What’s nice about this site is you can get standard returns (1, 3, 5, 10 etc), specify a date range (wish more resources had this), or get a series of monthly returns.