HELPING THE OTHERS REALIZE THE ADVANTAGES OF PNL

It's also possible to analyse the skewness and kurtosis with the time period PnL by getting 3rd and 4th moments of $Y_t$ respectively. Presumably you might conclude that for two series with similar expectation and variance, you can choose the one with favourable skew or reduced kurtosis, but it's possible not depending upon the self-confidence of t