Should you ever tax-loss harvest Nvidia?

Tax-loss harvesting with a tracking error mandate is a precise art

Parametric's June 16, 2025, blog, "Lessons Learned: Potential Pitfalls of Loss Harvesting During High Volatility," warns that tax-loss harvesting haphazardly may cost investors.

Suppose a direct indexing portfolio held shares of Nvidia, which were bought around $125 sometime in 2024.

In Q1 2025, the shares briefly dropped below $100 (-20%).

“Time to harvest those losses,” the portfolio manager may have thought at the time. And let’s suppose they did harvest those losses.

To stay exposed to the market and avoid the wash sale rule, they replaced the Nvidia with Snap Inc., the millennial-now-gen-z chat app.

What happened next is really interesting.