This paper investigates the link between exchange-traded funds (ETFs) and the macroeconomy. Using a nonlinear approach, we find that the one-month T-bill rate, default risk premium, change in the money supply, growth of industrial production, and dividend yield have predictive power with regards to the return on ETFs. Moreover, the predictive power of these macro variables depends both on the underlying volatility state as well as the focus of the ETF. Additionally, our evidence suggests that ETFs have asymmetric risk exposure across expansion and recession states.