Before revision:  The alternative strategies in monthly and weekly scales outperform the portfolios constructed by cumulative return regardless of marketuniverse. In monthly periods, the ranking rules associated with the maximum drawdown dominate other momentum strategies.
After revision:  Monthly momentum- and weekly contrarian-style portfolios ranked by the alternative selection criteria are implemented in various asset classes. Regardless of market, the alternative ranking rules are superior in forecasting asset prices and capturing cross-sectional return differentials. In a monthly period, alternative portfolios constructed by maximum drawdown measures dominate other momentum strategies.