You can even analyse the skewness and kurtosis with the interval PnL by taking 3rd and 4th times of $Y_t$ respectively. Presumably you may conclude that for 2 series with equivalent expectation and variance, you'll desire the a single with favourable skew or reduce kurtosis, but it's possible not depending https://marconznyb.blogdomago.com/33003719/indicators-on-pnl-you-should-know