This study examines the relationship between gender diversity, financial return, and performance volatility. Based on gender differences in risk behaviors, we predict that a greater presence of women in managerial positions will reduce volatility in companies. We test our hypothesis on a panel data set (2006-2016) of 76 Swedish firms and find that the association between return and volatility is significantly negative in companies with mid and high levels of performance. Our results show that for a given return, a performing company minimizes volatility if they have more female managers, indicating a greater level of efficiency (higher return for same volatility). These results are particularly promising in light of advancing our knowledge on why women are good for business.