The significance level of a manager series vs. a benchmark series indicates the level of confidence with which the statement "the manager's annualized excess return over the benchmark is positive" or "the manager's annualized excess return over the benchmark is negative," as the case may be, holds true. The significance level is calculated from the T-Statistic using a numerical approximation known as the incomplete beta function. For further details, we refer the reader to Press et al. , Chapter 14.2.

References
Press, William H., Saul A. Teukolsky, William T. Vetterling and Brian P. Flannery. Numerical Recipes in C, Second Edition, Cambridge University Press, Cambridge, 1992.

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