An important task of human genetics studies is to predict accurately disease risks in individuals based on genetic markers, which allows for identifying individuals at high disease risks, and facilitating their disease treatment and prevention. Although hundreds of genome-wide association studies (GWAS) have been conducted on many complex human traits in recent years, there has been only limited success in translating these GWAS data into clinically useful risk prediction models. The predictive capability of GWAS data is largely bottlenecked by the available training sample size due to the presence of numerous variants carrying only small to modest effects. Recent studies have shown that different human traits may share common genetic bases. Therefore, an attractive strategy to increase the training sample size and hence improve the prediction accuracy is to integrate data from genetically correlated phenotypes. Yet, the utility of genetic correlation in risk prediction has not been explored in the literature. In this paper, we analyzed GWAS data for bipolar and related disorders and schizophrenia with a bivariate ridge regression method, and found that jointly predicting the two phenotypes could substantially increase prediction accuracy as measured by the area under the receiver operating characteristic curve. We also found similar prediction accuracy improvements when we jointly analyzed GWAS data for Crohn's disease and ulcerative colitis. The empirical observations were substantiated through our comprehensive simulation studies, suggesting that a gain in prediction accuracy can be obtained by combining phenotypes with relatively high genetic correlations. Through both real data and simulation studies, we demonstrated pleiotropy can be leveraged as a valuable asset that opens up a new opportunity to improve genetic risk prediction in the future.