You may as well analyse the skewness and kurtosis of your time period PnL by taking 3rd and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two sequence with similar expectation and variance, you may like the 1 with constructive skew or lessen kurtosis, but maybe not https://pnl81257.look4blog.com/72371552/getting-my-pnl-to-work