diff --git a/zipline/data/benchmarks.py b/zipline/data/benchmarks.py
index c7f0861e..1338bdc8 100644
--- a/zipline/data/benchmarks.py
+++ b/zipline/data/benchmarks.py
@@ -12,7 +12,7 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-
+import collections
 
 from datetime import datetime
 
@@ -30,6 +30,10 @@ from loader_utils import (
 )
 from zipline.protocol import DailyReturn
 
+
+class BenchmarkDataNotFoundError(Exception):
+    pass
+
 _BENCHMARK_MAPPING = {
     # Need to add 'symbol'
     'volume': (int, 'Volume'),
@@ -52,27 +56,35 @@ def get_raw_benchmark_data(start_date, end_date, symbol):
 
     # create benchmark files
     # ^GSPC 19500103
-    params = {
-        's': symbol,
-        # end_date month, zero indexed
-        'd': end_date.month - 1,
-        # end_date day str(int(todate[6:8])) #day
-        'e': end_date.day,
-        # end_date year str(int(todate[0:4]))
-        'f': end_date.year,
-        # daily frequency
-        'g': 'd',
+    params = collections.OrderedDict((
+        ('s', symbol),
         # start_date month, zero indexed
-        'a': start_date.month - 1,
+        ('a', start_date.month - 1),
         # start_date day
-        'b': start_date.day,
+        ('b', start_date.day),
         # start_date year
-        'c': start_date.year
-    }
+        ('c', start_date.year),
+        # end_date month, zero indexed
+        ('d', end_date.month - 1),
+        # end_date day str(int(todate[6:8])) #day
+        ('e', end_date.day),
+        # end_date year str(int(todate[0:4]))
+        ('f', end_date.year),
+        # daily frequency
+        ('g', 'd'),
+    ))
 
     res = requests.get('http://ichart.yahoo.com/table.csv',
                        params=params)
 
+    if not res.ok:
+        raise BenchmarkDataNotFoundError("""
+No benchmark data found for date range.
+start_date={start_date}, end_date={end_date}, url={url}""".strip().
+                                         format(start_date=start_date,
+                                                end_date=end_date,
+                                                url=res.url))
+
     return csv.DictReader(StringIO(res.content))
 
 
diff --git a/zipline/data/loader.py b/zipline/data/loader.py
index 2f7fc835..5346499c 100644
--- a/zipline/data/loader.py
+++ b/zipline/data/loader.py
@@ -20,7 +20,10 @@ import msgpack
 from collections import OrderedDict
 from datetime import timedelta
 
+import logbook
+
 from treasuries import get_treasury_data
+import benchmarks
 from benchmarks import get_benchmark_returns
 
 from zipline.protocol import DailyReturn
@@ -28,6 +31,7 @@ from zipline.utils.date_utils import tuple_to_date
 from zipline.utils.tradingcalendar import trading_days
 from operator import attrgetter
 
+logger = logbook.Logger('Loader')
 
 # TODO: Make this path customizable.
 DATA_PATH = os.path.join(
@@ -128,16 +132,20 @@ def update_benchmarks(symbol, last_date):
         for packed_date, returns in bm_list:
             benchmark_data.append((packed_date, returns))
 
-    start = last_date + timedelta(days=1)
-    for daily_return in get_benchmark_returns(symbol, start_date=start):
-        date_as_tuple = daily_return.date.timetuple()[0:6] + \
-            (daily_return.date.microsecond,)
-        # Not ideal but massaging data into expected format
-        benchmark = (date_as_tuple, daily_return.returns)
-        benchmark_data.append(benchmark)
+    try:
+        start = last_date + timedelta(days=1)
+        for daily_return in get_benchmark_returns(symbol, start_date=start):
+            date_as_tuple = daily_return.date.timetuple()[0:6] + \
+                (daily_return.date.microsecond,)
+            # Not ideal but massaging data into expected format
+            benchmark = (date_as_tuple, daily_return.returns)
+            benchmark_data.append(benchmark)
 
-    with get_datafile(get_benchmark_filename(symbol), mode='wb') as bmark_fp:
-        bmark_fp.write(msgpack.dumps(benchmark_data))
+        with get_datafile(
+                get_benchmark_filename(symbol), mode='wb') as bmark_fp:
+            bmark_fp.write(msgpack.dumps(benchmark_data))
+    except benchmarks.BenchmarkDataNotFoundError as exc:
+        logger.warn(exc)
 
 
 def get_benchmark_filename(symbol):