One tax advantage to approximating an index with individual stock positions is "tax loss harvesting": sell one stock at a loss and buy an equivalent. e.g., sell

One tax advantage to approximating an index with individual stock positions is "tax loss harvesting": sell one stock at a loss and buy an equivalent. e.g., sell Coke and buy Pepsi. An advisor told me that you can add ~1% to your after tax returns. You need sufficiently large positions such that rebalancing transaction fees are negligible.