Stock market return predictability is a challenging area in finance. A new predictor called average correlation has been developed to forecast stock market returns. The predictor uses data from industry portfolio returns to predict stock market movements in the US and other countries. The research found that average correlation is a significant predictor for US stock market returns with a two-month lag, and for other stock markets with a one-month lag. This means that average correlation can help predict how stock markets will perform in the future.