Results like that are generally bunk, or if they really cared, they would have made a broader statement (in these and those periods they performed like that).
I have only looked at the Credit Suisse paper that I think started this meme, and they clearly use a cut off point that makes women led companies look good. If they start their comparison a couple of years earlier, suddenly it looks different.
That's just standard methodology for companies like Credit Suisse whose main business is convincing people to buy stock. That same method is used to make stock market funds look good all the time (so that gullible people pay the 5% premium for the seemingly brilliant manager of that fund).
Other explanations of course could be: categories of businesses were trending that were more attractive to women (like digital services vs mining or something like that). Or the market in the time favored a risk averse approach and women tend to be more risk averse (don't know that) - there was a bad economical recession in that period of time (as they claim women "manage risk better" - well there are times when more or less risk taking are called for).
Don't get me wrong, I don't mind if women are CEOs and lead companies. I'm just wary of "narratives" that sound too good or too ideologically motivated.