title: Why PerformanceWarning when indexed lookup on sorted index?
body: <p>Does anyone know why this gives a PerformanceWarning?</p>
  
  <pre><code>d=pd.DataFrame(
      [
          [1,2,3],
          [1,2,4],
          [1,None,5],
          [2,3,5],
      ],
      columns=['i','j','k']
  )
  print d.dtypes
  d = d.set_index(['i','j'])['k']
  d = d.sort_index()
  
  print d.loc[(2,3)] #  PerformanceWarning: indexing past lexsort depth may impact performance.
  </code></pre>
  
  <p>My understanding from the docs is that the PerformanceWarning follows from not sorting the index (the index was sorted).</p>