You may also analyse the skewness and kurtosis of the period of time PnL by taking 3rd and 4th moments of $Y_t$ respectively. Presumably you might conclude that for 2 series with identical expectation and variance, you may favor the one particular with good skew or reduced kurtosis, but probably https://pnl48024.vblogetin.com/39850392/pnl-can-be-fun-for-anyone