st: Creating quintiles with "xtile"

["Yvonne Capstick" <yvonnecapstick@hotmail.com>]

Hi,
I have a dataset of stock returns each month. For each month, I'd like to 
sort the stocks into quintiles. What I'd really like to do is something 
like:

sort date
by date: xtile newvar = ret, nq(5)

However, Stata doesn't let me combine "xtile" with "by". I can obviously get 
around this by looping through the dates, but this is time-consuming. In 
many other applications, I can use "by" to save on a loop (e.g. sort date, 
by date: egen newvar = mean(ret)) but I can't seem to use it here. Does 
anyone know of a more efficient way to generate my quintiles per month?

Thanks, Yvonne

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