pi = pandas.PeriodIndex(start='2012-01-01', periods=10, freq='W-MON') ts = pandas.TimeSeries(range(len(pi)), index=pi) dt1 = datetime.datetime(2011, 10, 2) dt2 = datetime.datetime(2012, 1, 2) dt3 = datetime.datetime(2012, 2, 10) dt4 = datetime.datetime(2012, 4, 20) ts[dt2: dt3] ts[dt1: dt3] ts[dt2: dt4] The first slice works, the second and third do not. It looks like the code that handles 'out-of-bounds' slices is failing in this case.