diff --git a/zipline/finance/risk/cumulative.py b/zipline/finance/risk/cumulative.py
index ac937247..c4bcd541 100644
--- a/zipline/finance/risk/cumulative.py
+++ b/zipline/finance/risk/cumulative.py
@@ -143,7 +143,7 @@ class RiskMetricsCumulative(object):
         self.cont_index = cont_index
         self.cont_len = len(self.cont_index)
 
-        empty_cont = np.empty(self.cont_len) * np.nan
+        empty_cont = np.full(self.cont_len, np.nan)
 
         self.algorithm_returns_cont = empty_cont.copy()
         self.benchmark_returns_cont = empty_cont.copy()