diff --git a/qlib/portfolio/optimizer/enhanced_indexing.py b/qlib/portfolio/optimizer/enhanced_indexing.py
index a0d0bc050..1f7de6cb4 100644
--- a/qlib/portfolio/optimizer/enhanced_indexing.py
+++ b/qlib/portfolio/optimizer/enhanced_indexing.py
@@ -70,7 +70,7 @@ class EnhancedIndexingOptimizer(BaseOptimizer):
 
     def __call__(
             self,
-            u: np.ndarray,
+            u: Union[np.ndarray, pd.Series],
             F: np.ndarray,
             covB: np.ndarray,
             varU: np.ndarray,
@@ -80,7 +80,7 @@ class EnhancedIndexingOptimizer(BaseOptimizer):
     ) -> Union[np.ndarray, pd.Series]:
         """
         Args:
-            u (np.ndarray): expected returns (a.k.a., alpha)
+            u (np.ndarray or pd.Series): expected returns (a.k.a., alpha)
             F, covB, varU (np.ndarray): see StructuredCovEstimator
             w0 (np.ndarray): initial weights (for turnover control)
             w_bench (np.ndarray): benchmark weights
@@ -91,6 +91,10 @@ class EnhancedIndexingOptimizer(BaseOptimizer):
         """
         assert inds_onehot is not None or self.inds_dev is None, "Industry onehot vector is required."
 
+        # transform dataframe into array
+        if isinstance(u, pd.Series):
+            u = u.values
+
         # scale alpha to match volatility
         if self.scale_alpha:
             u = u / u.std()