You can even analyse the skewness and kurtosis on the period PnL by using third and 4th times of $Y_t$ respectively. Presumably you will conclude that for two sequence with similar expectation and variance, you will favor the just one with positive skew or decrease kurtosis, but probably not according https://trentonwrjzp.blog-a-story.com/14898671/top-latest-five-pnl-urban-news