在第三版 Managing Investment Portfolios上的第八章介绍Hedge fund 的performance measurement的时候，提到Sharp Ratio的一个缺点是：

“The Sharpe ratio is time dependent; that is, the overall Sharpe ratio increases proportionally with the square root of time. An annual Sharpe ratio will therefore be square root of 12 bigger than a monthly Sharpe ratio if returns are serially uncorrelated.”

请问如何理解这句话，后面的 square root of 12 是怎么得来的？