THE FACT ABOUT PNL THAT NO ONE IS SUGGESTING

You can even analyse the skewness and kurtosis of your time period PnL by getting 3rd and 4th moments of $Y_t$ respectively. Presumably you may conclude that for two series with equivalent expectation and variance, you'll want the 1 with constructive skew or decreased kurtosis, but maybe not dependant upon the self esteem of the marketplace perspec