Use Bloomberg;,available in the Margolis Market Information Lab (MIL) at the Business Instructional Facility (BIF).

• To perform a Total Return Analysis for a security; type the company's ticker symbol and then hit the yellow EQUITY key.
• Type TRA; then hit GO.
• To compare an equity's total return against an index; type the company's ticker symbol; then hit EQUITY. 
• Type COMP; then hit GO.

- Use WRDS; available through Business Information Services.

• Choose the CRSP dataset.
• Daily and monthly stock files and indices from December 1925 --
• The files are updated annually

To inquire further please contact: bis@library.illinois.edu

Also see the following:

• Google Finance
• Yahoo Finance
• Take a look at the book Ibbotson Associates Stocks, Bonds, Bills, and Inflation (print resource under call number Q. 332.67 St62)