Check out the Tournament Variance Calculator at
http://pokerdope.com/tournament-variance-calculator/
I tried running a sim for the following set-up:
500 players, 13% get paid, $1 BI with 10% rake, expected ROI of 10%, simulation size: 500 games.
And it produced this graph to show the results of 20 random players with that expected ROI:
Each player has an expectation of $50 profit over the sample, but as you can see, a few make over $300 and quite a lot (40% of simulated players) actually lose money. To emphasise,
if you have a 10% ROI in 500-man tourneys, you have a 40% chance of losing money in your next 500 games. That's why you need to play such high volume. The more you play, the greater your chance of getting one of the rare big scores that cancels out all the losing sessions. If you have a bigger skill edge (resulting in a higher EV), the downswings won't be so brutal. #variance