Rapach and Strauss and Zhou (2013) find that the US stock market leads the world markets even at the monthly frequency, so the supported options include specifying a single asset to be used for absolute momentum. As discussed in Gary Antonacci's Dual Momentum book, we can first apply absolute momentum based on the US stock market (. S&P 500 TR) and assuming the excess return over the risk free rate is positive, we use relative momentum to choose between US equity and international equity. If the absolute momentum excess return is negative, the model is invested in the selected out-of-market asset, ., Barclays . Aggregate Bond Index.