diff --git a/pyfolio/utils.py b/pyfolio/utils.py
index <HASH>..<HASH> 100644
--- a/pyfolio/utils.py
+++ b/pyfolio/utils.py
@@ -109,6 +109,7 @@ def default_returns_func(symbol, start=None, end=None):
         px = pd.DataFrame.rename(px, columns={'Adj Close': 'adj_close'})
         px.columns.name = symbol
         rets = px.adj_close.pct_change().dropna()
+        rets.index = rets.index.tz_localize("UTC")
         return rets
 
     if symbol == 'SPY':
[BUG] Make Benchmark tz-aware

This is a one line change that makes get_data_from_yahoo return
a timezone aware series (UTC).

Once the benchmark file gets overwritten the h5 file will have the
timezone so this should fix any benchmark timezone issues for
people using pyfolio locally.