This all hinges on the fact the variance is homogeneous to X^2, not X. If we look at the standard deviation instead, we have the expect homogeneity: stddev(tX) = abs(t) stddev(X). However, it is *not linear*, rather stddev(sum t_i X_i) = sqrt(sum t_i stddev(X_i)) assuming independent variables.
Quantitatively speaking, t^2 and (1-t)^2 are always < 1 iff |t| < 1 and t != 0. As such, the standard deviation of a convex combination of variables is *always strictly smaller* than the convex combination of the standard deviations of the variables. In other words, stddev(sum_i t_i X_i) < sum_i t_i stddev(X_i) for all t != 0, |t|<1.
What this means in practice is that the convex combination (that is, with positive coeffs < 1) of any number of random variables is always smaller than the standard deviation of any of those variables.
Quantitatively speaking, t^2 and (1-t)^2 are always < 1 iff |t| < 1 and t != 0. As such, the standard deviation of a convex combination of variables is *always strictly smaller* than the convex combination of the standard deviations of the variables. In other words, stddev(sum_i t_i X_i) < sum_i t_i stddev(X_i) for all t != 0, |t|<1.
What this means in practice is that the convex combination (that is, with positive coeffs < 1) of any number of random variables is always smaller than the standard deviation of any of those variables.