For Global data, try Datastream.
Use datatype RI total return index, and calculate total returns from the change in this index. (see post on Total shareholder return (share price return) for details)
For active companies, the total return index datatype (DS.ReturnIndex) is also available through Thomson ONE.com.
For US data, try WRDS, and choose CRSP.
Daily and monthly stock files and indices from December 1925 —
The files are updated annually.
Bloomberg can perform a Total Return Analysis for a security.
Type the company’s Bloomberg ticker symbol, hit the yellow EQUITY key, type TRA then hit GO.
To compare an equity’s total return against an index,
type the company’s Bloomberg ticker symbol, hit EQUITY, type COMP, then hit GO.