st: Creating quantile portfolios based on multiple values

["Daniel Brodback" <schmani@gmx.de>]

Dear all,

for my analysis I am trying to create portfolios based on more than 1 value.
I want to test whether one can generate abnormal returns by combining value measures such as price/earnings and e.g. market/book ratios.

To get the single portfolio rankings, I am using the following command:
egen portfolio_pe = xtile(pe), nquantiles(10) by(date)

This works without a problem and generates a new variable that indicates the position of each company in my portfolio.

However, if I try to do something like:
egen portfolio_new = xtile(portfolio_mom portfolio_pe), nquantiles(10) by(date)

I get: too many variables specified
r(103);

Xtile seems to accept only one variable. Is there a way I can obtain portfolio decile/quantile ranks for more than one variable?

I would appreciate your thoughts on my problem.

Best,
Daniel
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/