Ajay:

You do not want to put the quotes around the third argument, Plus. Unfortunately, this "fix" leads to a different error:

TimeSeriesAggregate[stockpxreturn, "Month", Plus]

gives the following error:

TemporalData::dmmtch2: The dimensionality of the time series values {{{0.445985%,1.5595%,-0.993116%,2.21605%,-2.79733%,-0.106997%,-1.98835%,0.103675%,1.90903%,0.840497%,<<10>>},{-0.936829%,2.90012%,6.43326%,-1.54879%,-1.63998%,-0.0736029%,1.18131%,4.67284%,1.69583%,-1.14414%,<<10>>},{-5.78816%,14.4359%,-0.467312%,-0.968698%,-8.12239%,3.58837%,-6.03492%,-10.7154%,7.11824%,-13.9212%,<<13>>},{-2.82562%,12.2895%,-2.26586%,5.37729%,1.37579%,1.8602%,1.1342%,0.37762%,6.72342%,-0.985927%,<<10>>},{1.50441%,1.6462%,-2.36161%,-0.952019%,1.63696%,0.67285%,0.965683%,-1.63925%,2.22298%,3.21661%,<<11>>},{-2.7587%,-0.370818%,-0.614374%,2.11358%,-1.98945%,0.597165%,-4.833%,1.38673%,0.0343274%,-0.224365%,<<12>>},{1.16614%,-1.20062%,-1.4552%,-0.797924%,-0.34995%,0.076002%,3.84163%,-0.295056%,0.131527%,2.17231%,<<10>>},{0.535094%,-0.854136%,3.25426%,0.920998%,2.52925%,0.435471%,-0.950548%,1.03182%,-0.133314%,0.600713%,<<13>>},{-1.51717%,-1.92034%,-1.89259%,0.703063%,-3.63775%,-0.510972%,3.13523%,-0.90182%,-0.230001%,-0.393417%,<<11>>},{2.76995%,-0.815019%,3.17395%,-0.486713%,1.43218%,-0.673683%,0.531917%,-2.26658%,2.92198%,0.542084%,<<11>>},<<2>>}} is inconsistent with ValueDimensions->1.

Which is my fault. Most days, i end up programming in at least 6 different languages. You need Total here, not Plus.

I think this will give you what you are looking for:

TimeSeriesAggregate[stockpxreturn, "Month", Total]

Have a great rest of your day.

Hi Ajay,

Just a guess - daily return for day X is computed as (day (X - 1) close - day X close) / day (X - 1) close. The date range specifies the days used to compute return so the first day's return cannot be computed. Extend the date range to include X - 1 to get the return for day X.

FinancialData["Humana", "Return", {{2020, 12, 3}, {2020, 12, 3}}]
(* {} *)

(Normal@FinancialData["Humana", "Return", {{2020, 12, 2}, {2020, 12, 3}}])[[1, 2]]
(* Quantity[-0.473201, "Percent"] *)

Without seeing how you are calling TimeSeriesAggreate, I can only guess.

Have you tried using the third argument (f) to TimeSeriesAggregate? The third argument, defaults to "Mean", but it sounds like you might want to pass in "Plus" instead.

THANKS