I agree with whuber that your language is a bit unclear in the problem. However, I'm familiar with what you're talking about and I think I can answer your question.
The reason you're confused (I believe), along with potential readers, is because your plot doesn't have enough information. Let me replicate your plot with added info to make clear what "many small gains and few big losses means".
Obviously, please excuse the poor drawing, but take a look:
The red line is the break-even point (not a gain, nor a loss). What you see is that the significant majority of points/returns are just to the right of break-even (small gains). You can see that there is basically no tail here. However, if you look to the left of the 0, you see a smaller number of points but it's a heavy tail - they are spread out much wider. So, there are fewer of them (fewer returns in the negative), but they are (on average) larger in magnitude.
I hope this explains the statement, with respect to a distribution of returns that looks like this.