You can also analyse the skewness and kurtosis with the time period PnL by getting third and 4th times of $Y_t$ respectively. Presumably you will conclude that for two sequence with equivalent expectation and variance, you can desire the one with optimistic skew or decreased kurtosis, but it's possible not https://elliotzinsw.bloguetechno.com/indicators-on-pnl-you-should-know-69214503