NOT KNOWN FACTUAL STATEMENTS ABOUT PNL

You can also analyse the skewness and kurtosis in the time period PnL by taking third and 4th moments of $Y_t$ respectively. Presumably you are going to conclude that for 2 series with similar expectation and variance, you'll want the a single with positive skew or reduced kurtosis, but it's possible not depending on the self-confidence of the mark