It's also possible to analyse the skewness and kurtosis of your period PnL by taking third and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two series with similar expectation and variance, you'll desire the a person with beneficial skew or reduce kurtosis, but probably not dependant https://andrepuyae.blogdiloz.com/33106319/the-2-minute-rule-for-pnl