diff --git a/empyrical/perf_attrib.py b/empyrical/perf_attrib.py
index ca4f36c..9136f90 100644
--- a/empyrical/perf_attrib.py
+++ b/empyrical/perf_attrib.py
@@ -158,4 +158,4 @@ def compute_exposures(positions, factor_loadings):
             2017-01-02  0.821872  1.520515
     """
     risk_exposures = factor_loadings.multiply(positions, axis='rows')
-    return risk_exposures.groupby(level='dt').sum()
+    return risk_exposures.groupby(level=0).sum()
diff --git a/empyrical/tests/test_perf_attrib.py b/empyrical/tests/test_perf_attrib.py
index c8277d6..223f792 100644
--- a/empyrical/tests/test_perf_attrib.py
+++ b/empyrical/tests/test_perf_attrib.py
@@ -27,7 +27,7 @@ def test_perf_attrib_simple(self):
         )
 
         index = pd.MultiIndex.from_product(
-            [dts, tickers], names=['dt', 'ticker'])
+            [dts, tickers], names=['date', 'ticker'])
 
         positions = pd.Series([0.2857142857142857, 0.7142857142857143,
                                0.2857142857142857, 0.7142857142857143],
@@ -40,8 +40,9 @@ def test_perf_attrib_simple(self):
                   'risk_factor2': [0.25, 0.25, 0.25, 0.25]}
         )
 
+        expected_index = dts.set_names(['date'])
         expected_perf_attrib_output = pd.DataFrame(
-            index=dts,
+            index=expected_index,
             columns=['risk_factor1', 'risk_factor2', 'total_returns',
                      'common_returns', 'specific_returns',
                      'tilt_returns', 'timing_returns'],
@@ -55,7 +56,7 @@ def test_perf_attrib_simple(self):
         )
 
         expected_exposures_portfolio = pd.DataFrame(
-            index=dts,
+            index=expected_index,
             columns=['risk_factor1', 'risk_factor2'],
             data={'risk_factor1': [0.25, 0.25],
                   'risk_factor2': [0.25, 0.25]}
@@ -81,7 +82,7 @@ def test_perf_attrib_simple(self):
                                                               factor_loadings)
 
         expected_perf_attrib_output = pd.DataFrame(
-            index=dts,
+            index=expected_index,
             columns=['risk_factor1', 'risk_factor2', 'total_returns',
                      'common_returns', 'specific_returns',
                      'tilt_returns', 'timing_returns'],
@@ -95,7 +96,7 @@ def test_perf_attrib_simple(self):
         )
 
         expected_exposures_portfolio = pd.DataFrame(
-            index=dts,
+            index=expected_index,
             columns=['risk_factor1', 'risk_factor2'],
             data={'risk_factor1': [0.0, 0.0],
                   'risk_factor2': [0.0, 0.0]}