You may also analyse the skewness and kurtosis on the time period PnL by having 3rd and 4th times of $Y_t$ respectively. Presumably you may conclude that for 2 series with identical expectation and variance, you'll want the one particular with good skew or decreased kurtosis, but perhaps not dependant https://stephenspely.blogunteer.com/33098873/not-known-factual-statements-about-pnl