diff --git a/zipline/finance/risk/period.py b/zipline/finance/risk/period.py
index 4461de74..63c3c8cc 100644
--- a/zipline/finance/risk/period.py
+++ b/zipline/finance/risk/period.py
@@ -252,14 +252,16 @@ class RiskMetricsPeriod(object):
         http://en.wikipedia.org/wiki/Beta_(finance)
         """
         # it doesn't make much sense to calculate beta for less than two days,
-        # so return none.
+        # so return nan.
         if len(self.algorithm_returns) < 2:
-            return 0.0, 0.0, 0.0, 0.0, []
+            return np.nan, np.nan, np.nan, np.nan, []
 
         returns_matrix = np.vstack([self.algorithm_returns,
                                     self.benchmark_returns])
         C = np.cov(returns_matrix, ddof=1)
 
+        # If there are missing benchmark values, then we can't calculate the
+        # beta.
         if not np.isfinite(C).all():
             return np.nan, np.nan, np.nan, np.nan, []