Iginla2011

"Reconstitution effects are detrimental to performance, although the underperformance does not show up in conventional performance evaluation as a negative alpha because the reconstitution effect affects the benchmark as well as the investor’s actual portfolio."

It affects the benchmark itself so we can't see it in a conventional performance evaluation.

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The trade-Offs in Constructing International Indexes:

BuFfaLO: Buffalo Sabres

Breadth vs Investability.
precise Float adjustment vs transaction costs from rebalancing.
Liquidity and crossing opportunities vs index reconstitution effects.
Objectivity and transparency vs judgment.