LOC methods doesn't change DATAFRAME's INDEX
#### Code Sample, a copy-pastable example if possible


# Your code here

I use code in pandas guide as an example 
http://pandas.pydata.org/pandas-docs/stable/generated/pandas.IndexSlice.html

while we using a loc to select some data we want, we hope the result has result's index, not the raw dataframe's index.

the example code in [page](http://pandas.pydata.org/pandas-docs/stable/generated/pandas.IndexSlice.html) could also say something:

here we make a multiindex_dataframe
```python
import pandas as pd
import numpy as np
midx = pd.MultiIndex.from_product([['A0','A1'], ['B0','B1','B2','B3']])
columns = ['foo', 'bar']
dfmi = pd.DataFrame(np.arange(16).reshape((len(midx), len(columns))),
                        index=midx, columns=columns)
```
the we try to select some of them using ```loc```

```python
dfmi.loc[(slice(None), slice('B0', 'B1')), :]

we get 
Out[27]:
       foo  bar
A0 B0    0    1
   B1    2    3
A1 B0    8    9
   B1   10   11
```

this is all-right, however when we print the index of result

```python
 dfmi.loc[(slice(None), slice('B0', 'B1')), :].index
```
we get
```
Out[28]:
MultiIndex(levels=[['A0', 'A1'], ['B0', 'B1', 'B2', 'B3']],
           labels=[[0, 0, 1, 1], [0, 1, 0, 1]])
```

this is the index of raw dataframe, now new dataframes' index

In financial, we using multiindex dataframe to [contain data](https://github.com/QUANTAXIS/QUANTAXIS/blob/master/QUANTAXIS/QAData/base_datastruct.py), so this problem maybe asked to be solved as soon as possible, thanks ~~

@yutiansut


#### Output of ``pd.show_versions()``

<details>

                                                             
INSTALLED VERSIONS                                           
------------------                                           
commit: None                                                 
python: 3.6.5.final.0                                        
python-bits: 64                                              
OS: Windows                                                  
OS-release: 10                                               
machine: AMD64                                               
processor: Intel64 Family 6 Model 158 Stepping 10, GenuineInt
byteorder: little                                            
LC_ALL: None                                                 
LANG: None                                                   
LOCALE: None.None                                            
                                                             
pandas: 0.23.0                                               
pytest: 3.5.1                                                
pip: 10.0.1                                                  
setuptools: 39.1.0                                           
Cython: 0.28.2                                               
numpy: 1.14.3                                                
scipy: 1.1.0                                                 
pyarrow: 0.4.1                                               
xarray: None                                                 
IPython: 6.4.0                                               
sphinx: 1.7.4                                                
patsy: 0.5.0                                                 
dateutil: 2.7.3                                              
pytz: 2018.3                                                 
blosc: None                                                  
bottleneck: 1.2.1                                            
tables: 3.4.3                                                
numexpr: 2.6.5                                               
feather: None                                                
matplotlib: 2.2.2                                            
openpyxl: 2.5.3                                              
xlrd: 1.1.0                                                  
xlwt: 1.3.0                                                  
xlsxwriter: 1.0.4                                            
lxml: 4.2.1                                                  
bs4: 4.6.0                                                   
html5lib: 1.0.1                                              
sqlalchemy: 1.2.7                                            
pymysql: 0.8.1                                               
psycopg2: None                                               
jinja2: 2.10                                                 
s3fs: None                                                   
fastparquet: None                                            
pandas_gbq: None                                             
pandas_datareader: None                                      
                                                             
</details>
