A risk analyst is evaluating the market risk associated with a financial portfolio by utilizing two distinct statistical return models: arithmetic returns under the presumption of a normal distribution, and geometric returns under the presumption of a lognormal distribution. Here, the normal distribution implies that returns can take any value in a symmetrical manner around the mean, while the lognormal distribution indicates that returns are positively skewed and multiplicative over time.

The analyst has acquired the following data about the portfolio's performance:

• The annual average of arithmetic returns is 12%.
• The annual standard deviation of arithmetic returns is 30%.
• The annual average of geometric returns is 11%.
• The annual standard deviation of geometric returns is 41%.
• The current value of the portfolio is EUR 5,200,000.
• There are 252 trading days in a year.

Based on the premise that daily arithmetic and geometric returns are uncorrelated over time (serial independence), which of the subsequent statements is correct?