diff --git a/zipline/history/history_container.py b/zipline/history/history_container.py
index ce2da464..f0b31c4a 100644
--- a/zipline/history/history_container.py
+++ b/zipline/history/history_container.py
@@ -416,6 +416,8 @@ class HistoryContainer(object):
                     # e.g. with leading nans.
                     pass
             digest_frame = digest_frame.ffill()
+
+        if digest_frame is not None:
             return_frame.ix[:-1] = digest_frame.ix[:]
 
         # Get minutes from our buffer panel to build the last row.