This isn’t exactly what I had in mind. Let me go into more detail:
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Whenever a Hamiltonian has some symmetry, its eigenstates can always be chosen to also be eigenstates of the symmetry operator. Hence, its non-degenerate eigenstates must be eigenstates of the symmetry, i.e. exhibit no symmetry breaking.
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The XXZ model has a Z2 symmetry. For infinite \Delta it becomes the classical Ising model, whose ground states are the two symmetry-related Neel states. Since they’re degenerate, one of them is as good a ground state as their symmetric or anti-symmetric superpositions. However, at any finite \Delta the S^+_jS^-_{j+1} terms introduce mixing between the Neel states, opening a gap and leaving a Z2 symmetric state with \langle S^z_i \rangle =0 as the unique ground state (and a Z2 anti-symmetric state as the first excited state) for any finite L and \Delta. This can be easily checked using exact diagonalization for L=16. The gap decays exponentially as system size is increased since mixing the Neel states requires an L order term in perturbation theory, thus allowing for spontaneous symmetry breaking in the thermodynamic limit.
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Specifically for L=16 and \Delta=2, the gap between the ground state and the first excited state is about 0.07, or 4e-3 per site. The energy difference between the ground state and the best symmetry broken state would be of that order of magnitude, i.e. well within the resolution of a high quality DMRG run. When the system size is increased or the run quality decreased, DMRG finds a symmetry broken state instead of the exact ground state.