Actually this reminds me of something I read in “Thinking, fast and slow”.
Consider this:
SET A of a dinner set contains these:
Dinner plates: 8, all in good condition
Soup/Salad bowls: 8, all in good condition
Dessert plates: 8 all in good condition
Cups: 8, 2 of them broken
Saucers: 8, 7 of them broken
SET B of a dinner set contains these:
Dinner plates: 8, all in good condition
Soup/Salad bowls: 8, all in good condition
Dessert plates: 8 all in good condition
When asked to value these individually (single evaluation), SET B was priced much higher than A, at $33 vs $23 for SET A. Why? Because it doesn’t have anything thats defective in it.
When people compared these in a “joint evaluation” i.e both together, people were willing to pay $32 for SET B and $30 for SET A - Still higher for SET B.
But, SET B is a subset of SET A! All you have to do is buy SET A for cheap and throw away the broken pieces and you will still end with 2 good cups and 1 good saucer more for much less the price.
This comparison of index with loss-making companies is just the same thing! Throw away the loss-making companies - shutter them and this I feel is how you should evaluate them in combination as well.
Just my 2 cents.