You may also analyse the skewness and kurtosis from the period of time PnL by having 3rd and 4th moments of $Y_t$ respectively. Presumably you can conclude that for two sequence with equivalent expectation and variance, you'll like the one particular with good skew or lessen kurtosis, but maybe not https://andersonhygkn.blogsumer.com/33323111/pnl-things-to-know-before-you-buy