How to calculate t-statistic for portfolio

Question

I recently did a portfolio sort. I had following data:

Time FIRM return size
  1  1       0.2   5
  2  1       0.1   6
  1  2       0.1   7
  2  2       0.1   8
  .  .         .   .
  .  .         .   .
  .  .         .   .

Every month I sorted the date according to their size into 5 buckets (p1..p5) and calculated the average return of each bucket, giving me:

Time p1  p2    p3   p4   p5    p5-p1
 1  0.5  0.4  0.3  0.2   0.1   -0.4
 2  0.5  0.4  0.3  0.2   0.1   -0.4
 3   .    .    .    .    .      .
 4   .    .    .    .    .      .
 5   .    .    .    .    .      .

In the end I calculate the Average return of each bucket:

 p1  p2    p3   p4   p5    p5-p1
0.5  0.4  0.3  0.2   0.1   -0.4

Now, I want to know if these average return and especially if p5-p1 is statistically significant. Do you guys have an idea how I could do this?