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I'm looking for data of the S&P 500; The data should have the following properties:

  1. It should contain all daily returns of the past 6 or 8 years for all stocks included in the S&P500 - so not just the daily returns of the S&P500 itself;
  2. It should have a format I can process in Matlab (my favourite) or R

Any idea where to get it for free?

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