Cosmological ensemble and directional averages of observables

We show that at second order ensemble averages of observables and directional averages do not commute due to gravitational lensing. In principle this non-commutativity is significant for a variety of quantities we often use as observables. We derive the relation between the ensemble average and the directional average of an observable, at second-order in perturbation theory. We discuss the relevance of these two types of averages for making predictions of cosmological observables, focussing on observables related to distances and magnitudes. In particular, we show that the ensemble average of the distance is increased by gravitational lensing, whereas the directional average of the distance is decreased. We show that for a generic observable, there exists a particular function of the observable that is invariant under second-order lensing perturbations.