You just have to think about the purpose of the shield(s) and it becomes somewhat obvious. If the power wires are carrying noisy power, and the signal is a relatively weak signal, then the signal wires should be shielded from the noise on the power wires.
Some power might be clean and pure DC without any noise at all. It can happen, but it's often a bad assumption.
Some signals might be robust and highly immune to noise. Not as common as more susceptible signals.
'Twisted pairs' is helpful too.