The present study reports the results of assessing a number of indicator series that are considered to provide timely and pertinent information about real estate activity. It examines whether these indicators can trace changes in the path of real estate activity individually, or through alternative combinations or through an overall index. The individual series considered are real macro-economic and monetary components together with real estate data. Real estate activity is measured by reference to rental growth, which reflects the underlying balance between demand and supply of space. Non-parametric analysis and econometric techniques are deployed to investigate the potential advance in forecasting by using the selected indicator series. Formal statistical criteria are applied to evaluate the out of sample forecast performance. The analysis is completed with an outline of the implications of this work for investment decision making.