diff --git a/docs/source/whatsnew/0.8.4.txt b/docs/source/whatsnew/0.8.4.txt
index 700316cd..a55df6fe 100644
--- a/docs/source/whatsnew/0.8.4.txt
+++ b/docs/source/whatsnew/0.8.4.txt
@@ -28,6 +28,9 @@ Enhancements
   :meth:`~zipline.pipeline.factors.Factor.isfinite` methods to
   :class:`zipline.pipeline.factors.Factor` (:issue:`861`).
 
+* Added :class:`zipline.pipeline.factors.Returns`, a built-in factor which
+  calculates the percent change in close price over the given window_length.
+
 Experimental Features
 ~~~~~~~~~~~~~~~~~~~~~