I did not say the heavy bullet would nor would not penetrate better.
Me earlier: "Given that fact that the bullet mass only varies by 25% I would guess that in a ballistic gelatin test KE is going to be a pretty good indication of penetration."
My point was that if were are talking about the range of possible 40S&W loads which seems to be about 135 grain to 180 grains (lighter and heaver do exist but are had to find in factory ammo) then kinetic energy is going to be better indicator than bullet weight when it comes to which will penetrate more in a lab like testing situation like ballistic gelatin.
The link agalindo provided gives a little support to my assumptions.
The Winchester 155 grain load with 400ft-lbs of energy average 12 inches of bare gelitane and 4 of 5 got over 18+ inches of penetration in denim covered gelatin. The 180 grain load that had 327ft-lbs (18.25% less) had 11.2 inches of penetration on bare gelatin and with the denim in place averaged only 13 inches.
Just for completeness the momentum of the two loads was 155 grain load had .881 slug-ft/sec and the 180 grain load had .858 slug-ft/sec (2.6% less). It seem that momentum in this case is nearly as bad an indicator as bullet mass.
To rehash, I believe that kinetic energy is going to be a good indicator of possible penetration when comparing 40S&W loads. The higher the kinetic energy a bullet has the better the penetrations; I believe this will be nearly independent of bullet weight when looking at the range possible in 40 S&W loads. Given the propensity of lighter bullets to structurally fail in real world situations I would opt for the slightly lower kinetic energy of the heavier bullets for the reliability they bring in real world situations.
Again a rambling JMHO