diff --git a/pyfolio/utils.py b/pyfolio/utils.py
index <HASH>..<HASH> 100644
--- a/pyfolio/utils.py
+++ b/pyfolio/utils.py
@@ -243,6 +243,8 @@ def extract_rets_pos_txn_from_zipline(backtest):
     """
 
     backtest.index = backtest.index.normalize()
+    if backtest.index.tzinfo is None:
+        backtest.index = backtest.index.tz_localize('UTC')
     returns = backtest.returns
     gross_lev = backtest.gross_leverage
     raw_positions = []
@@ -255,7 +257,6 @@ def extract_rets_pos_txn_from_zipline(backtest):
     transactions_frame = txn.make_transaction_frame(backtest.transactions)
     transactions = txn.get_txn_vol(transactions_frame)
     transactions.index = transactions.index.normalize()
-    transactions.index.tz = None
 
     return returns, positions, transactions, gross_lev
[MAINT] Removed setting transaction timezones to None

There was one line that was explicitly setting the time zone
of the transactions dataframe to None. By removing that line looks
like all of the data returned has UTC timezones.