In a scenario where the daily returns of a portfolio are independently and identically distributed following a normal distribution with a mean of zero, a new quantitative analyst is asked by the portfolio manager to calculate the Value at Risk (VaR) for periods of 10, 15, 20, and 25 days. The portfolio manager later detects an inconsistency in the analyst’s calculations. Assuming that the volatilities of the daily returns, when annualized, remain constant for all four time periods, identify which of the following computed VaRs for the portfolio is inconsistent with the others.
