You may also analyse the skewness and kurtosis from the time period PnL by getting 3rd and 4th times of $Y_t$ respectively. Presumably you are going to conclude that for 2 collection with similar expectation and variance, you'll want the a single with positive skew or reduced kurtosis, but probably https://pnl13468.techionblog.com/34159079/not-known-factual-statements-about-pnl