You can even analyse the skewness and kurtosis with the period of time PnL by using third and 4th moments of $Y_t$ respectively. Presumably you are going to conclude that for 2 series with identical expectation and variance, you can want the a single with positive skew or lessen kurtosis, https://pnl45665.atualblog.com/40387265/top-pnl-secrets