1. Exchange a Stock with an ETF
If you have a stock, for example, an energy stock, suffered substantial loss in 2015, you can sell it to harvest tax loss, at the same time, you can buy an Energy ETF, for example, iShares US Energy ETF (IYE), to keep energy as part of portfolio in case it turns around after the stock sale.
2. Swap a Mutual Fund with an Index ETF
You can sell an actively managed mutual fund if it's at a loss this year, and buy an index ETF that is similar to the benchmark that the actively managed mutual fund tracks to replace it, as long as the two funds do not have 70% overlap in stock holdings.
3. Sell Index ETFs and Buy Smart-beta ETFs
If you have an index ETF that is at a loss, you can sell it, and buy a smart-beta ETF that is similar in nature. Recall, a smart-beta ETF tries to beat the index by following different rules dictating stock inclusion and weightings, such strategy could prevail in front of IRS as not "substantially identical" to the underlying index.