The correct characterization of uncertainty when predicting human motion is equally important as the accuracy of this prediction. We present a new method to correctly predict the uncertainty associated with the predicted distribution of future trajectories. Our approach, CovariaceNet, is based on a Conditional Generative Model with Gaussian latent variables in order to predict the parameters of a bi-variate Gaussian distribution. The combination of CovarianceNet with a motion prediction model results in a hybrid approach that outputs a uni-modal distribution. We will show how some state of the art methods in motion prediction become overconfident when predicting uncertainty, according to our proposed metric and validated in the ETH data-set . CovarianceNet correctly predicts uncertainty, which makes our method suitable for applications that use predicted distributions, e.g., planning or decision making.