In this paper we construct a large macroeconomic data set for the UK, model it using a dynamic factor model and compare the resulting forecasts with those from a set of standard time series models. We find that just six factors are sufficient to explain 50% of the variability of all the variables in the data set. Moreover, these factors are related to key variables such as interest rates, monetary aggregates, prices, etc. Finally the factor based forecasts are shown to improve upon standard benchmarks for many variables at no additional costs.