To perform a Total Return Analysis for a company, use the command line to enter a ticker symbol, hit the Equity key, type TRA, and hit GO (e.g. AAPL US <Equity> TRA <GO>).
To compare an equity's total return against an index use the COMP command (e.g. AAPL US <Equity> COMP <GO>).
WRDS (available to faculty, graduate students, and staff): Use the Center for Research in Security Prices (CRSP) database, which provides a comprehensive collection of security price, return, and volume data for the NYSE, AMEX and NASDAQ stock markets.