An economic tracking portfolio (ETP) is a portfolio of assets whose returns track an economic variable. This paper applies the ETP approach to predicting the future values of macroeconomic variables in Taiwan financial market at different time horizons. We construct the tracking portfolios whose returns have the maximum correlations with the target variables of any base assets. From the analysis, the ETP approach is able to track the changes in the market expectations about future economic variables. Particularly, the returns of the “new economy” stocks and the financial stocks have good explanatory power for the future values of target variables. Furthermore, our results also support for the use of industry portfolios in out-of-sample forecasting.