You can even analyse the skewness and kurtosis in the period of time PnL by getting 3rd and 4th moments of $Y_t$ respectively. Presumably you can conclude that for two series with identical expectation and variance, you may like the a single with constructive skew or reduced kurtosis, but probably https://gunnerwdilp.activablog.com/33268492/pnl-for-dummies