Kim Deal, a foreign exchange (FX) researcher working at AMBS hedge fund in New York, US, has developed a clever way of determining over or undervaluation (OU) of currencies for 50 countries in the world. Using historical data, Kim Deal forms 5 portfolios based on the rankings, constructs a zero-cost portfolio using forwards (HML_OE), and finds spectacular $ average returns on HML_OE. Kim Deal claims that HML_OE is a new anomaly, and wants to convince her hedge fund boss to invest into HML_OE. However, her boss is not yet convinced and asks you to verify Kim's claim.

Critically evaluate Kim's claim on HML_OE.