diff --git a/zipline/finance/risk.py b/zipline/finance/risk.py
index a5bdab7f..a346feb2 100644
--- a/zipline/finance/risk.py
+++ b/zipline/finance/risk.py
@@ -837,8 +837,13 @@ class RiskReport(object):
             start_date = self.sim_params.period_start
             end_date = self.sim_params.period_end
         else:
-            start_date = self.algorithm_returns.index[0]
-            end_date = self.algorithm_returns.index[-1]
+            # FIXME: Papering over multiple algorithm_return types
+            if isinstance(self.algorithm_returns, list):
+                start_date = self.algorithm_returns[0].date
+                end_date = self.algorithm_returns[-1].date
+            else:
+                start_date = self.algorithm_returns.index[0]
+                end_date = self.algorithm_returns.index[-1]
 
         self.month_periods = self.periods_in_range(1, start_date, end_date)
         self.three_month_periods = self.periods_in_range(3, start_date,