You may also analyse the skewness and kurtosis in the period PnL by using 3rd and 4th moments of $Y_t$ respectively. Presumably you are going to conclude that for two sequence with identical expectation and variance, you are going to like the a person with positive skew or lessen kurtosis, https://connerwejnr.bloggadores.com/33314483/helping-the-others-realize-the-advantages-of-pnl