The chemical index of alteration has been used widely for reconstruction of the palaeoclimate. However, the mechanisms and environmental factors controlling the chemical index of alteration of sediments are not yet fully understood. In this study, autocorrelations of the chemical index of alteration in nine sedimentary profiles, from both the land and the sea, spanning different geological times, are discussed. The sediments of these profiles have different origins (dust, fluvial or ocean sediments) and are from various climate situations and sedimentary environments. Autocorrelations of chemical index of alteration series are ubiquitously evident in all profiles. It is suggested here that autocorrelations may be caused by post-depositional changes such as persistent weathering and diagenesis. As a result, the chemical index of alteration may not reflect climatic conditions during the time of sediment deposition. This study strongly recommends the confirmation of the reliability and veracity of the chemical index of alteration before it is adopted to evaluate the weathering degree of parent rocks and to reconstruct the past climate. Significant autocorrelations in loess profiles were specifically observed, suggesting that the existing understanding of loess deposition in terms of climate conditions requires re-examination, and that previous reconstructions of rapid climate changes (for example, in centennial-millennial scales) should be treated with caution.