Dear all, I hope that you can help me with the following problem. My data file contains quarterly earnings surprises. I want to create quintile-portfolios that are sorted on a quarterly basis. In other words: I want to have 5 portfolios PF={1,2,3,4,5}.  Each quarter I want to rank the corresponding earnings-surprises and assign them to one of these portfolios. For example PF1 contains the 20% lowest earnings surprises of each period, and PF5 the 20% highest earnings surprises of each period. I thought about simply including a variable Portfolio that can take the values PF={1,2,3,4,5}, and hence indicates the quintile the earnings surprise is in. However, I do not know how to do that. What I look for is the following: A function that says: variable PF takes the value      1      if surprise<[20%-percentile of surprises in that quarter of that year]                                                                             2      if [20%-percentile of surprises in that quarter of that year]< surprise < [40%-percentile of surprises in that quarter of that year]                                                                             3 .......... Below is a small sample of how the data looks like at the moment. I would really appreciate it if ssomebody who knows how to solve this problem could help me. Thank you very much in advance.                  CUSIP date SURPRISE quarter year 2 00036020 20090630 -0.023 2 2009 3 00036020 20090930 0.096 3 2009 4 00036110 20090228 -0.001 1 2009 5 00036110 20090531 0.057 2 2009 6 00036110 20090831 0.044 3 2009 7 00036110 20091130 0.078 4 2009 8 00036110 20100228 -0.188 1 2010 9 00036110 20100531 0.020 2 2010 10 00036110 20100831 0.184 3 2010 11 00036110 20101130 0.293 4 2010 12 00081T10 20081231 0.045 4 2008 13 00081T10 20100331 1.000 1 2010 14 00081T10 20100630 0.091 2 2010 ... View more