Tax-Loss Harvesting During Market Turmoil: Who Did It, Who Didn't

Less impressive, the report said, were TLH accounts held at SigFig, Citizens Bank and UBS, which showed little or no activity during the first half.

It noted that because Citizens Bank and UBS leverage SigFig's technology to power their robo-advisors, their results were clustered together.

SigFig and Citizens Bank demonstrated zero TLH trades in spite of the market selloff in the first quarter, the report said. Similarly, researchers identified only one THL trade at UBS.

"We saw a fair amount of tax loss harvesting in accounts where it could be done effectively in the first half of the year," a spokesman at SigFig said in an email message.

"But factors such as size of losses within holdings and wash sale avoidance dictate its use. The algorithm responds to different market conditions and may prioritize rebalancing to manage a portfolio's risk exposure over capturing small tax losses."

The spokesman noted that the platform's older accounts have enjoyed a long bull run and have lots of capital gains. "Those accounts may not have experienced losses (even in the dramatic March downturn), so they may not have fallen enough to trigger any losses to harvest."

— Check out Fidelity Loses Top Slot: Q2 Robo Report on ThinkAdvisor.