I suggested this after I read Leonarda's summary. Trade looks like two parts - enter a hedged spread trade (long one index, short another). If the correlation is reliable the hedge works so broadly you don't expect to make or lose very much on this part.
Then at some point, you close the losing side, in the belief that momentum will continue. At the point you do this, if the correlation has been perfect, you would not expect to have made or lost any money (apart from bid/ask spreads). After this point, you have a position in a single index, and you now have a completely different trade. I offer no opinion on whether this second part is generally a good or bad strategy - as a very crude approximation it seems like attempting to jump on a trend halfway through the trend - I could not say how viable that is in the long run. But yes, you can implement the same (second part of the) trade simply by entering in a single index at that point.
I simply cannot understand why the original spread trade is included. But it is good business for brokers.
If anyone is mystified by why performance is down while correlation is high, this is because DAX/CAC correlation is more or less irrelevant to final outcome - once you're in the second half of the trade (the part where you hope to profit), you're no longer using the correlation hedge, so it becomes irrelevant.