Policy portfolios are a fixture of institutional investment management, but they may not serve the purposes for which they are intended. A policy portfolio serves primarily as an expression of an investor’s return and risk preferences. Secondarily, it serves as a benchmark for determining the success or failure of active management. A clearly defined and easily replicable policy portfolio may indeed provide a useful gauge for judging active management, but it is a poor reflection of investor preferences. Peter Bernstein [2003 and 2007] raised this issue philosophically, arguing that a policy portfolio’s risk profile was inconstant and that it changed more radically and frequently than the typical investor’s risk preferences. He went on to propose that investors manage their portfolios opportunistically rather than rigidly, but he did not provide specific guidance. This article offers empirical evidence of the inter-temporal disparity of a policy portfolio’s risk profile, and it proposes a simple framework for addressing this deficiency.