To calculate the 1-day 95% normal VaR (assuming a normal distribution for arithmetic returns):

1. Convert the annualized arithmetic mean to a daily mean: $0.16 / 252 = 0.000635$2. Convert the annualized arithmetic standard deviation to a daily standard deviation: $0.27 / \sqrt{252} = 0.017008$3. Calculate the normal VaR return using the 95% confidence level ($z = 1.65$): $\text{Normal VaR} = z \times \sigma - \mu = 1.65 \times 0.017008 - 0.000635 = 0.027428 \approx 2.74\%$

To calculate the 1-day 95% lognormal VaR (assuming a normal distribution for geometric returns):

1. Convert the annualized geometric mean to a daily mean: $0.13 / 252 = 0.000516$2. Convert the annualized geometric standard deviation to a daily standard deviation: $0.29 / \sqrt{252} = 0.018268$3. Calculate the lognormal VaR return using the 95% confidence level ($z = 1.65$): $\text{Lognormal VaR} = 1 - \exp(\mu - z \times \sigma) = 1 - \exp(0.000516 - 1.65 \times 0.018268) = 1 - \exp(-0.029626) = 0.02919 \approx 2.92\%$

Therefore, the correct statement is C.