Suppose I run an investment report from 6/4/2017 to 5/5/2017 and then from 6/5/2017 to 5/6/2017 and that a security pays a dividend on 6/5/2017. Suppose further that there is only one security and that the value is recorded daily at midday. I am just looking at the return value in the report
An investment report from 6/4/2017 to 5/6/2017 will include the change in security value between 5/5/2017 and 6/5/2017 in its return.
However adding the returns from the two consecutive reports will not include this.
I could change the consecutive reports to run from 6/4/2017 to 6/5/2017 and 6/5/2017 to 5/6/2017, but then the dividend paid on 6/5/2017 would be counted twice.
If one has to manually enter security values then the record may be only monthly or even annually. This effect leads to large errors when adding up consecutive returns

The problem is that the scheme for handling dividends and that for handling security values is different between consecutive periods.