Even when predicting asset returns with classical CAPM or Fama-French 3, 4, or 5 factor models, estimates will tend to have significant estimation error, and as explained by the others, univariate vs multivariate are equivalent. The difficulty of predicting asset means has been well known since Merton (1980) and that's why most people, at least in asset management, decide to forecast the second moment of asset returns instead, volatility. Asset volatility can be more reliably predicted than asset means can, and there are a variety of univariate volatility estimators out there, as well as multivariate volatility models for the covariance matrix in the case of portfolios, that will give you better results. GARCH, EWMA, and Ledoit-Wolf covariance models that reduce the volatility of risk estimates through the introduction of bias are some examples. How far ahead your forecast horizon is is the next thing to consider.