We construct a composite index to measure real activity of the Swiss economy on a weekly frequency. The index is based on
a novel high-frequency data-set capturing economic activity across distinct dimensions over a long-time horizon. An adequate
adjustment of raw data prior to deriving the latent factor is crucial for obtaining precise business cycle signals. By means
of a real-time evaluation, we highlight the importance of our proposed adjustment procedure: first, our weekly index significantly
outperforms a comparable index without adjusted input variables; secondly, the weekly index outperforms established monthly
indicators in nowcasting GDP growth. These insights should help improve recently developed high-frequency indicators.
