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?