What is the most common investor mistake? Trading--getting in and getting out at all the wrong times, for all the wrong reasons. You've heard it before: Most investors are their own worst enemies. My dad taught me this investing axiom at an early age. In fact, Dalbar Inc. documented it recently in a report available online called "Quantitative Analysis of Investor Behavior, 2012." Google it, and you'll see evidence from a 20-year study.