Aggregate capital utilization, as inferred from electricity usage, forecasts realized stock returns in accordance with a simple production-based asset pricing model. Capital utilization contains information not captured by typical forecast variables such as valuation ratios, Treasury bill rates, default spreads and term spreads. Out-of-sample results imply that a mean-variance investor with a risk aversion parameter of three can increase her portfolio return by 5.1% per year by using the information inherent in capital utilization.