Meaningful climate predictions must be accompanied by their corresponding range of uncertainty. Quantifying the uncertainties is non-trivial, and different methods have been suggested and used in the past. Here, we propose a method that does not rely on any assumptions regarding the distribution of the ensemble member predictions. The method is tested using the CMIP5 1981-2010 decadal predictions and is shown to perform better than two other methods considered here. The improved estimate of the uncertainties is of great importance for both practical use and for better assessing the significance of the effects seen in theoretical studies.