This paper constructs six leading indexes of New Zealand employment and compares their short term forecasting performance. Forecasting New Zealand employment is particularly difficult owing to the volatility of the data and the short sample size of available time series. These restrictions make leading indexes especially appealing. The paper has two aims. The first is to construct an effective forecasting tool. The second is to evaluate leading indexes constructed using different methods available in the literature. The results show that an index constructed using the traditional NBER method dominates in terms of forecasting performance. The results also suggest that increasing the dataset does not strengthen the index and that exogenously determining the weights of component series can add to forecasting performance.