You may also analyse the skewness and kurtosis in the interval PnL by using third and 4th moments of $Y_t$ respectively. Presumably you can conclude that for two series with identical expectation and variance, you are going to desire the 1 with beneficial skew or lower kurtosis, but perhaps not base

It's also possible to analyse the skewness and kurtosis of the period PnL by using 3rd and 4th times of $Y_t$ respectively. Presumably you'll conclude that for 2 collection with identical expectation and variance, you are going to prefer the one particular with beneficial skew or reduce kurtosis, bu