In this research, we evaluate the effect of gender in analyzing the performance of sponsored search advertising. We examine a log file with data comprised of nearly 7,000,000 records spanning 33 consecutive months of a search engine marketing campaign from a major US retailer. We classify key phrases selected for the campaign with a probability of being targeted for a specific gender and then compare the consumer actions using the critical sponsored search metrics of impressions, clicks, cost-per-click, sales revenue, orders, and items sold. Findings from our analysis show that the gender-orientation of the key phrase is a significant determinant in predicting behaviors and performance, with statistically different consumer behaviors for all attributes as the probability of a male or female keyword phrase changes. However, gender neutral phrases perform the best overall, calling into question the benefits of demographic targeting. Insight from this research could result in sponsored results being more effectively targeted to searchers and potential consumers.