EXAMINE THIS REPORT ON PNL

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You may as well analyse the skewness and kurtosis of your interval PnL by using 3rd and 4th moments of $Y_t$ respectively. Presumably you might conclude that for 2 series with similar expectation and variance, you can choose the 1 with beneficial skew or lower kurtosis, but possibly not dependant upon the self-assurance of the industry view, and ma