TY - JOUR T1 - Beware the Bounce: Tax-Loss Harvesting during a Stock Market Crash JF - The Journal of Beta Investment Strategies SP - 62 LP - 74 DO - 10.3905/jbis.2022.1.007 VL - 13 IS - 2 AU - Ben Davis AU - Tianchuan Li AU - Vassilii Nemtchinov Y1 - 2022/05/19 UR - https://pm-research.com/content/13/2/62.abstract N2 - We compare three different approaches to mitigating post-crash underperformance risk associated with tax-loss harvesting strategies: a stock-bounds approach, a risk model approach, and an enhanced risk model approach, adding extra controls on factors associated with reversal risk. We analyze the reversal risk by conducting a comprehensive sweep, evaluating the performance of 60,000 realistically simulated accounts over the past 25 years, and quantifying the extent of pre-tax underperformance during the most stressful periods for index tracking. ER -