HELPING THE OTHERS REALIZE THE ADVANTAGES OF PNL

You may also analyse the skewness and kurtosis from the period PnL by getting 3rd and 4th moments of $Y_t$ respectively. Presumably you might conclude that for 2 series with similar expectation and variance, you might favor the just one with favourable skew or reduced kurtosis, but possibly not based on the self confidence of the market view, and s