Pretty Little Head will be a specialist agency that advises businesses on the best way to target females and make the most of the marketing opportunities they present.
Its first client is the Conservative Party, which has sought its advice on how to attract female voters.
Cunningham and Roberts, who worked together at DDB before moving to Ogilvy to become its planning director and client services director respectively, have also released a book called Inside Her Pretty Little Head.
It outlines the idea behind the consultancy and aims to offer a new mode of thinking when attempting to develop a marketing strategy that appeals to women.
"A huge amount of work has been done on understanding gender difference that completely changes the way you think about how you communicate with women," Cunningham said. "Most of it has been languishing in the academic world instead of being put to use in the commercial world."
Pretty Little Head will open in January.