In finance, risk is synonymous with volatility, the standard deviation of the returns.
Problem: You can't just all add the individual period's returns up to get the your returns at the end.
For example: you start with $10,000. In the first month, you lose 20%, next month, you gain 20%. Congrats, you've lost 4% of your original investment.
Or, another example: if you lose 50% of your money, you'll need to gain 100% to get back to even.
This is why it's important to measure the risk-adjusted returns. When you're choosing between two investment options, this is the most important metric to look at.