A risk manager is estimating the market risk of a portfolio using both the arithmetic returns with normal distribution assumptions and the geometric returns with lognormal distribution assumptions. The manager gathers the following data on the portfolio:

• Annualized average of arithmetic returns: 16%

• Annualized standard deviation of arithmetic returns: 27%

• Annualized average of geometric returns: 13%

• Annualized standard deviation of geometric returns: 29%

• Current portfolio value: EUR 5,200,000

• Trading days in a year: 252

Assuming both daily arithmetic returns and daily geometric returns are serially independent, which of the following statements is correct?