diff --git a/tests/test_continuous_futures.py b/tests/test_continuous_futures.py
index 628977e1..3530f8da 100644
--- a/tests/test_continuous_futures.py
+++ b/tests/test_continuous_futures.py
@@ -34,6 +34,7 @@ from zipline.assets.continuous_futures import (
     delivery_predicate
 )
 from zipline.data.minute_bars import FUTURES_MINUTES_PER_DAY
+from zipline.errors import SymbolNotFound
 from zipline.testing.fixtures import (
     WithAssetFinder,
     WithCreateBarData,
@@ -417,6 +418,11 @@ class ContinuousFuturesTestCase(WithCreateBarData,
 
         self.assertNotEqual(cf_primary, cf_secondary)
 
+        # Assert that the proper exception is raised if the given root symbol
+        # does not exist.
+        with self.assertRaises(SymbolNotFound):
+            self.asset_finder.create_continuous_future('NO', 0, 'calendar')
+
     def test_current_contract(self):
         cf_primary = self.asset_finder.create_continuous_future(
             'FO', 0, 'calendar')
diff --git a/zipline/assets/assets.py b/zipline/assets/assets.py
index 263430fd..9a4b2ce0 100644
--- a/zipline/assets/assets.py
+++ b/zipline/assets/assets.py
@@ -996,8 +996,13 @@ class AssetFinder(object):
 
         fields = (fc_cols.exchange,)
 
-        return sa.select(fields).where(
-            fc_cols.root_symbol == root_symbol).execute().fetchone()[0]
+        exchange = sa.select(fields).where(
+            fc_cols.root_symbol == root_symbol).execute().scalar()
+
+        if exchange is not None:
+            return exchange
+        else:
+            raise SymbolNotFound(symbol=root_symbol)
 
     def get_ordered_contracts(self, root_symbol):
         try: