Check out the prctile function (Statistics toolbox). You can do something like this:
returnQuintiles = prctile(returns,[20 40 60 80]);
Then you could get all the values in each quintile:
quintile1 = returns(returns<returnedQuintiles(1));
quintile2 = returns(returns>=returnedQuintiles(1) & returns<returnedQuintiles(2));
quintile3 = returns(returns>=returnedQuintiles(2) & returns<returnedQuintiles(3));
quintile4 = returns(returns>=returnedQuintiles(3) & returns<returnedQuintiles(4));
quintile5 = returns(returns>=returnedQuintiles(4));
If you need the indexes of each quintile so that you can grab other information, such as date and ticker, from the corresponding row, just save the index values first with a minor variation on the above, perhaps something like this:
quintile1idx = returns<returnedQuintiles(1);
quintile1 = returns(quintile1Idx);
tickersq1 = tickers(quintile1Idx);
dateq1 = tickers(quintile1Idx);
....
Note that it's possible to not have exactly an even number of cases in each quintile since you could have values that repeat right around the quintile boundaries.
Paul Shoemaker
