I don't know if a CLR is going to be the way to go. I have been a big proponent of CLRs for some things because they do have their place but, in this case, there is no reason to believe that a CLR is going to perform aggregations faster than a T-SQL function. Remember, creating and Implementing a CLR is not a trivial task and introduces new risks and overhead for your SQL environment. You may just be adding more work without any added benefits.

Take a look at this article How to Make Scalar UDFs Run Faster (SQL Spackle)[/url]. As Sean was saying and demonstrated: you should get much better results turning your function into an inline table valued function. You will have to change your query logic to include a cross apply but that is something numerous people on this site can help you with if you get stuck.

P.S. I believe there is a new SQL Server Central Stairway on CLRs coming soon. I expect that it will be a good read. 😉