On this Picostat.com statistics page, you will find information about the SP500 data set which pertains to Returns of the Standard and Poors 500. The SP500 data set is found in the MASS R package. Try to load the SP500 data set in R by issuing the following command at the console data("SP500"). This may load the data into a variable called SP500. If R says the SP500 data set is not found, you can try installing the package by issuing this command install.packages("MASS") and then attempt to reload the data with library("MASS") followed by data("SP500"). Perhaps strangley, if R gives you no output after entering a command, it means the command succeeded. If it succeeded you can see the data by typing SP500 at the command-line which should display the entire dataset.
If you need to download R, you can go to the R project website. You can download a CSV (comma separated values) version of the SP500 R data set. The size of this file is about 28,775 bytes.
Returns of the Standard and Poors 500
Returns of the Standard and Poors 500 Index in the 1990's
A vector of returns of the Standard and Poors 500 index for all
the trading days in 1990, 1991, ..., 1999.
Venables, W. N. and Ripley, B. D. (2002)
Modern Applied Statistics with S. Fourth edition. Springer.
Dataset imported from https://www.r-project.org.