Compare Sharpe , Sortino Ratios, yearly Profit,Max Drawdowns per year of your strategy to
1) buy and hold all of the stocks in your universe
2) few strategies (with different random seeds) which randomly buy /sells stocks in your universe with monthly re-balancing
If you want to go more mathematical and get p-values that your strategy's Sharpe Ratio if higher than buy and hold then compare buy and hold of index comprising your universe's stocks to your Sharpe ratio by using formulas (2-sided) from
http://www.datamineit.com/Sharpe%20Ratio%20Comparisons%20-%20J.D.%20Opdyke%20-%20preprint%20-%20Journal%20of%20Asset%20Management,%20Vol8(5),%202007.pdf