You may also analyse the skewness and kurtosis in the period PnL by having third and 4th times of $Y_t$ respectively. Presumably you'll conclude that for two series with identical expectation and variance, you'll want the 1 with optimistic skew or reduced kurtosis, but maybe not depending on the self-assurance https://ricardongxld.is-blog.com/40649686/pnl-for-dummies