During the last Usenix Security Symposium was presented a research by G. Aggrawal, E. Bursztein, C. Jackson, and D. Boneh. This research was published as a PDF and you can download it.

According to their research the “private mode” features offered by the major browsers (Internet Explorer, Firefox, Chrome and Safari) don’t work as promised.
In theory these features should let you to browse the Web without leaving any trace on your computer , but they don’t. For example when you visit a website that uses SSL security certification,also if you are using Firefox, IE, and Safari “private mode”, this visit will be recorded in a file on your computer.
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