This paper develops a methodology to build a leading indicator for economic activity in Chile, that can be applied more generally to other economic series. The first step is to evaluate the leading capacities of a group of series. The second step is to build leading indicators to summarize the information content of those series that better anticipate economic activity. Finally, since there are many ways to combine the leading series into a single indicator, a third step is to evaluate the extent to which these indicators are able to properly signal turning points in economic activity.