diff --git a/pandas/core/frame.py b/pandas/core/frame.py
index 9481689d4099a..6a3c69c2965a5 100644
--- a/pandas/core/frame.py
+++ b/pandas/core/frame.py
@@ -3971,10 +3971,6 @@ def set_index(self, keys, drop=True, append=False, inplace=False,
         DataFrame.reindex : Change to new indices or expand indices.
         DataFrame.reindex_like : Change to same indices as other DataFrame.
 
-        Returns
-        -------
-        DataFrame
-
         Examples
         --------
         >>> df = pd.DataFrame({'month': [1, 4, 7, 10],