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<P><FONT color=#2222dd><STRONG>In this month's research note, we address the problem of identifying market scenarios to which our portfolio is most vulnerable. We review and apply the Maximum Loss Technique, which helps to identify a scenario that is at once realistic under a particular set of market conditions and relevant to our actual portfolio. We then take up the related problem of distilling our specific market scenario into salient terms that can be communicated to managers or investors. We examine a global government bond portfolio relative to a benchmark to illustrate both points.</STRONG></FONT> </P>