diff --git a/alphalens/performance.py b/alphalens/performance.py
index 635bc476..e19b04f3 100644
--- a/alphalens/performance.py
+++ b/alphalens/performance.py
@@ -707,7 +707,7 @@ def common_start_returns(factor,
             equities_slice |= set(demean_equities)
 
         series = returns.loc[returns.index[starting_index:ending_index],
-                             equities_slice]
+                             list(equities_slice)]
         series.index = range(starting_index - day_zero_index,
                              ending_index - day_zero_index)