One of my favorite quotes comes from Black Swan author Nassim Taleb: "People focus on role models; it is more effective to find antimodels -- people you don't want to resemble when you grow up."

It pays to learn from people's mistakes as much as from their successes. And boy, do investors ever make mistakes. In the 20 years ended Dec. 2010, the S&P 500 returned 9.1% a year, while the average investor earned just 3.8% a year, according to Dalbar. We buy high, sell low, mismanage risk, follow the crowd, and trade too much -- rarely with doubt, and always at our own expense.

What are investors thinking when they make mistakes? What's going through their heads? The frame of mind that guides the biggest investment fumbles might be best summed up with a list of famous last words.

"I thought I was getting guaranteed high returns."
Everyone wants that, so no one will get it. Any legitimately "guaranteed" investment will attract so much money that returns will be pushed down to zero -- and negative after inflation. You aren't entitled to anything you're not willing to pay for.

"I want to get in now before I miss more of the upside."
One of the fastest roads to poor results. Buy businesses, not regrets.

"We've come up with a new way to mitigate risk."
A line invariably muttered before meltdowns, collapses, panics, and depressions. Overconfidence is a good alternative definition for "risk."

"We seek to enhance returns with leverage."
Alas, that leverage is seeking to enhance your humility. And it usually wins.

"My broker called and said he has a special opportunity."
Read the book Where are the Customers' Yachts? If you're strapped for time, reading only the title suffices.

"This company's moat is impenetrable."
Warren Buffett once noted: "30 years ago, Eastman Kodak's moat was just as wide as Coca-Cola's moat." Companies' competitive advantages can fall anywhere between weak and strong, but they're never impenetrable.

"It looked like easy money."
If it looked easy to you, it looked easy to millions of other investors who probably bought before you did and will get out before you do. The easier it feels, the harder it will end.

"There's very little downside risk."
Rule of thumb: Take what you think is your maximum downside risk and multiply it by five. Now you're closer to reality.

"Our model has a perfect track record."
The list of models, theories, and patterns that worked until they didn't is never-ending. Nothing can predict the future with certainty -- or even rough accuracy.

"This was a one-in-a-million event."
Maybe it was. Or maybe you severely miscalculated the odds. Reality is almost always the latter.

"Analysts are predicting high growth for years to come."
People wouldn't take these predictions seriously if they knew how bad most analysts' track records are -- and how minimal the punishment for being wrong is.

"My pension is guaranteed for life."
Tragically, I have a feeling millions of Americans will learn in the coming decades how fickle the word "guaranteed" can be.

"I follow the smart money."
The vast majority of professional investors underperform a basic market index. And you rarely know why they're making a certain investment in the first place. Is it a short-term bet? Is it a hedge on another investment? If you can't answer that, you're not following. You're being led.

"How can you argue with a bull market that's been going on for 10 years?"
Because all that tells us it that we're 10 years closer to the end of it than we were when it started.

"You can't afford not to own this stock."
As close as it gets to ringing a warning bell at the top of a bubble.

"There's too much uncertainty in the world to be investing right now."
As close as it gets to ringing an opportunity bell at the bottom of a bear market.

"I'm going to wait on the sidelines until there's more clarity."
The easiest way to ensure you'll miss the bulk of bull markets.

"I invest conservatively. I can't afford to take big risks."
A good sign that you're favoring investments that are riskier than you believe (cash eroding to inflation, bonds at record low rates today, real estate in 2006).

"I'm not concerned about valuation."
An easy motto to follow during bull markets; a humbling lesson to learn thereafter. At best, high valuations rob future returns. More often, they cause irreparable losses.

"I only look at the charts."
A line never said by any successful investor, ever. Investing is about buying good businesses and holding them for a long time. Everything else is Las Vegas without free drinks.

"My brother-in-law has made a killing in these stocks. It's time I jump in."
As Charlie Munger says: "Someone will always be getting richer faster than you. This is not a tragedy." What is tragic is taking risks you don't understand and buying assets at the top of bubbles only because you view investing as a competition with others, instead of a way to secure your own financial well-being.

"It's different this time."
A cliche among famous last words, but easily the most important. Risk will never be eliminated, growth will never be limitless, and markets are never fully efficient. When it comes to big, basic principles of investing, it's never different this time. This truth explains the majority of investment blunders.

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Fool contributor Morgan Housel doesn't own shares in any of the companies mentioned in this article. Follow him on Twitter @TMFHousel. The Motley Fool has a disclosure policy. We Fools may not all hold the same opinions, but we all believe that considering a diverse range of insights makes us better investors. Try any of our Foolish newsletter services free for 30 days.