DataFrame slice retaining unsliced MultiIndex
When slicing a data frame with MultiIndex, the returned dataframes 'index' attribute is not sliced.  It remains equal to the index of the unsliced object.

``` python
# Setup test DF
df = pd.DataFrame(np.random.randint(0, 10, size=(10,5)))
df['date'] = pd.date_range(start='2015-01-01', periods=10)
df.loc[0:4, 'id'] = 'ABC'
df.loc[4:, 'id'] = 'DEF'
df.set_index(['date', 'id'], inplace=True)
df = pd.DataFrame(np.random.randint(0, 10, size=(10,5)))
df['date'] = pd.date_range(start='2015-01-01', periods=10)
df.loc[0:4, 'id'] = 'ABC'
df.loc[4:, 'id'] = 'DEF'
df.set_index(['date', 'id'], inplace=True)
```

Formatting is a bit screwed up here. The columns are 0-4

``` python
In [5]: df
Out[5]:
                  0 1   2   3   4
date         id         
2015-01-01  ABC 4   3   2   9   7
2015-01-02  ABC 6   4   7   6   6
2015-01-03  ABC 5   6   9   2   5
2015-01-04  ABC 7   6   7   4   1
2015-01-05  DEF 0   5   9   0   2
2015-01-06  DEF 9   6   4   3   5
2015-01-07  DEF 0   9   2   4   4
2015-01-08  DEF 8   7   8   9   7
2015-01-09  DEF 2   2   1   4   7
2015-01-10  DEF 2   7   7   3   2
```

Filter a date range and look at the index

``` python
In [6]:df.loc['2015-01-01':'2015-01-05'].index.levels[0]

Out[6]:
DatetimeIndex(['2015-01-01', '2015-01-02', '2015-01-03', '2015-01-04', '2015-01-05', '2015-01-06', '2015-01-07', '2015-01-08', '2015-01-09', '2015-01-10'], dtype='datetime64[ns]', name=u'date', freq=None, tz=None)
```

The current workaround involves resetting the index and setting it again.

Surprised no one else has encountered this.  We are encountering this very frequently.  Is there a cleaner workaround others are using?

``` python
pandas: 0.16.2
```
